We propose a new measure of time-varying tail risk that is directly estimable from the cross-
section of returns. We exploit firm-level price crashes every month to identify common …

Managed portfolios that take less risk when volatility is high produce large alphas, increase
Sharpe ratios, and produce large utility gains for mean‐variance investors. We document …

We apply the concept of carry, which has been studied almost exclusively in currency
markets, to any asset. A security's expected return is decomposed into its “carry,” an ex-ante …

Financial market behavior and key trading strategies—illuminated by interviews with top
hedge fund experts Efficiently Inefficient describes the key trading strategies used by hedge …

We investigate the relationship between ex ante total skewness and holding returns on
individual equity options. Recent theoretical developments predict a negative relationship …

We test whether the low-risk effect is driven by leverage constraints and, thus, risk should be
measured using beta versus behavioral effects and, thus, risk should be measured by …

Warren Buffett's Berkshire Hathaway has realized a Sharpe ratio of 0.79 with significant
alpha to traditional risk factors. The alpha became insignificant, however, when we …

We show that market volatility of volatility is a significant risk factor that affects index and
volatility index option returns, beyond volatility itself. The volatility and volatility of volatility …

We construct a panel of S&P 500 Index call and put option portfolios, daily adjusted to
maintain targeted maturity, moneyness, and unit market beta, and test multi-factor pricing …

The strategy of buying safe low-beta stocks while shorting (or underweighting) riskier high-
beta stocks (“betting against beta”) has been shown to deliver significant risk-adjusted …