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Working Paper

Risk Everywhere: Modeling and Managing Volatility

This paper finds similarities in realized volatility patterns across assets and asset classes, based on a high-frequency dataset for more than 50 commodities, currencies, equity indices and fixed income instruments spanning more than two decades.

Journal Article

Covered Call Strategies: One Fact and Eight Myths

Call overwriting is a method of simultaneously expressing a view on a security and its volatility, and the CBOE S&P 500 BuyWrite Index (BXM) is one of many ways to get exposure to the equity and volatility risk premia.

Journal Article

The Low-Volatility Anomaly: Market Evidence on Systemic Risk vs. Mispricing

Researchers have demonstrated a long-term connection between future stock returns and various measures of prior stock price variability.

Journal Article

Asset Reliability and Security Prices Evidence From Credit Markets

This paper explores the relation between the reliability of an enterprise’s accounting and its security prices.

Journal Article

Asset Pricing With Liquidity Risk

This paper presents a simple theoretical model that helps explain how asset prices are affected by liquidity risk — the inability to find buyers or sellers of securities at will — and commonality in liquidity. This liquidity-adjusted capital asset pricing model (CAPM) provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices.

Journal Article

A Framework for Identifying Accounting Characteristics for Asset Pricing Models, with an Evaluation of Book-to-Price

We provide a framework for identifying accounting numbers that indicate risk and expected return.

Working Paper

Embedded Leverage

Embedded leverage—the amount of market exposure per unit of committed capital—has become an important feature of financial instruments. We study embedded leverage in equity options, index options and ETFs, and how it affects the required returns.

Working Paper

Deleveraging Risk

Using various measures of short selling activity for a large sample of U.S. securities, we find evidence that deleveraging risk—the risk of losses due to a sudden and widespread reduction in stocks held by levered investors—affects equity returns.

White Paper

Equity Term Structures without Dividend Strips Data

We use a large cross-section of equity returns to estimate a rich affine model of equity prices, dividends, returns and their dynamics.. The new term structure data generated by our model represent new empirical moments that can be used to guide and evaluate asset pricing models.

Working Paper

A Reduced Form CoCo Model With Deterministic Conversion Intensity

Some financial institutions issue contingent convertible bonds to cushion their capital reserves in times of crisis. This paper builds a contingent convertible bond model with a minimum of stochastic factors that can be calibrated to market prices of related securities.