Jie (Jay) Cao, Amit Goyal, Xintong (Eunice) Zhan, and Weiming (Elaine) Zhang ♦ We find that option expensiveness, measured by delta-hedged option returns, is higher for low-ESG stocks, indicating that investors pay a premium in the options market to hedge…
See jfqa.org/jfqa-dual-submission-policy/
Elena Andreou, Patrick Gagliardini, Eric Ghysels, and Mirco Rubin ♦ We present a set of novel theoretical results providing a solution that address for the perils of beta dynamics misspecification in the estimation of conditional asset pricing models. We show…
Matthew Denes and James F. Albertus ♦ We study the effects of private equity fund debt on cash flows, performance, and agency relationships. Funds using debt delay capital calls, boosting performance measures sensitive to cash flow timing. We find that…
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…
Hearty congratulations to Joseph Engelberg, R. David McLean, Jeffrey Pontiff, and Matthew C. Ringgenberg, Do Cross-Sectional Predictors Contain Systematic Information? May 2023, Vol. 58, No. 3, pp. 1172-1201 and Andrew Y. Chen, and Mihail Velikov, Zeroing In on the Expected Returns…
