Forthcoming Articles

Option Factor Momentum

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…

Leverage and Stablecoin Pegs

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…