Working Papers

Our original research not yet submitted to a peer-reviewed journal; doctoral dissertations.

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  1. Typical covered call strategies may be decomposed, using a risk and performance attribution methodology, into three components: equity exposure, short volatility exposure, and equity timing. This paper applies that attribution methodology to covered calls on eleven global indexes.

  2. This paper explores historical return and risk properties of equity-hedged options across the S&P 500 option surface.

  3. This paper tests whether the low-risk effect is driven by (a) leverage constraints and thus risk should be measured using beta vs. (b) behavioral effects and thus risk should be measured by idiosyncratic risk. Beta depends on volatility and correlation, where only volatility is related to idiosyncratic risk. Hence, the new factor betting against correlation (BAC) is particularly suited to differentiating between leverage constraints vs. lottery explanations.

  4. This paper analyzes a novel data set of commodity futures prices over a long sample period from 1877-2015, which allows us to shed light on several important and controversial questions.

  5. This paper analyzes the cross-section of bond spreads across developed countries over a 17-year time period and documents a novel finding that questions the standard view of liquidity.

  6. This paper seeks to show that two investing taboos — the early exercise of options and the early conversion of convertible bonds — can be rational under certain conditions.

  7. This paper sheds new light on this debate, both theoretically and empirically, on the Holy Grail in financial economics: decoding probabilities and risk preferences from asset prices.

  8. This paper presents a framework to evaluate the utility gains from the use of risk models, highlighting the interplay between transaction costs, the speed of different risk models and their practical implementation.

  9. We document an anomalous asset-growth effect that comprises a combination of market mispricing and pervasive global systematic risk.

  10. This paper examines whether accounting-based measures of volatility can contribute to efforts to predict bankruptcies and explain credit spreads.