Niclas Käfer, Mathis Mörke, and Tobias Wiest ♦ We document significant time-series and cross-sectional momentum in 28 equity option factors. Factor momentum is distinct from a static factor portfolio, and prominent option factor models cannot fully explain its returns. Despite…
Gary B. Gorton, Elizabeth C. Klee, Chase P. Ross, Sharon Y. Ross, and Alexandros P. Vardoulakis ♦ Stablecoins are a new form of private money. They are fragile but largely trade at par. How? We present a model and empirical…
Joost Driessen, Joren Koeter, and Ole Wilms ♦ We show that investors price short-term stock market outcomes very different from outcomes that occur further into the future. To this end, we introduce the expected forward pricing kernel, and decompose long-term…
Jana Boeckx, Kristof Struyfs, and Wouter Torsin ♦ In 2017, the European Union Emissions Trading System underwent a policy intervention which resulted in a surge in carbon prices. Using this setting as a quasi-natural experiment, we focus on employment, productivity,…
Yong Chen, Sophia Zhengzi Li, Yushan Tang, and Guofu Zhou ♦ We identify a parsimonious set of factors from a large set of candidates for explaining hedge fund returns, ranging from equity market, anomaly and trend-following factors to macroeconomic factors.…
Tarun Chordia, Tse-Chun Lin, and Vincent Xiang ♦ This paper provides the first comprehensive evidence that the return extrapolation behavior of investors leads to biases in the expectations of volatility. Lower past returns are associated with higher expectations of volatility…
