JFQA Admin

JFQA Admin

Tail Risk Around FOMC Announcements

Kris Jacobs, Sai Ke, and Xuhui (Nick) Pan ♦ Predictive regressions of market returns on option-implied moments measured before pre-scheduled FOMC meetings show that tail risks play an important role in understanding the market risk premium around FOMC announcement days. Skewness and…

2024 Sharpe Award winners!

Hearty congratulations to Ming Yuan and Guofu ZhouWinners of the 2024 William F. Sharpe Award for Scholarship in Financial Research for Why Naive 1/N Diversification Is Not So Naive, and How to Beat It?Vol. 59, No. 8, pp. 3601–3632 a…