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Working Paper

Future Liquidity, Present Value: Measuring and Pricing Liquidity Risk

In 1991, John Y. Campbell showed how an asset’s return is related to new information about its future cash flows and discount rates. We extend Campbell’s return decomposition to show how it is also related to new information on future liquidity.

Working Paper

Being Right is Not Enough: Buying Options to Bet on Higher Realized Volatility

Should investors who buy options expect to profit when realized volatility increases? If so, under what conditions? To answer these questions, we analyzed the relationship between long volatility performance (buying options) and contemporaneous changes in volatility.

Working Paper

Which Index Options Should You Sell?

We study return and risk properties of equity-hedged options across the S&P 500 option surface. We evaluate returns by estimating alpha to the S&P 500 and quantify risk using return volatility, losses under stress tests, and conditional value at risk.

Trade Publication

Ahead of the Curve: Time to Embrace Downside Risk

Buying equity put options to reduce a portfolio’s downside risk exposure is so attractive that the high cost of doing so all but offsets the benefit, the authors contend.

Journal Article

To Trade or Not to Trade? Informed Trading With Short-Term Signals for Long-Term Investors

One of the great frustrations in the asset management profession is to watch trading costs render useless a signal that predicts near-term returns beautifully.

Journal Article

Embracing Downside Risk

This paper shows that downside risk tends to be the main source of long-run returns in equities and other asset classes, and argues that long-term investors may be better off embracing downside risk in certain cases.

Journal Article

Combining Empirical Likelihood and Generalized Method of Moments Estimators

This paper presents a new family of estimators for use in statistical estimation and econometrics.

Journal Article

Still Not Cheap: Portfolio Protection in Calm Markets

This paper investigates the relationship between option richness and volatility across 10 global equity indices.

Journal Article

Covered Calls Uncovered

Journal Article

International Diversification Works (Eventually)

Critics of international diversification observe that it does not protect investors against short-term market crashes because markets become more correlated during downturns.