Drawing upon more than 12 million observations over the period from 1996 to 2020, we find
that allowing for nonlinearities significantly increases the out-of-sample performance of …

Based on 10 commonly used factors, we construct a novel factor momentum strategy in the
Chinese stock market, which earns an annualized return of 9.91%, with a Sharpe ratio of …

We show that much of the profitability in equity option return strategies, which try to capture
option mispricing by taking exposure to underlying volatility, can be explained by an IPCA …

This paper explores the variance risk premium in option returns across twenty different
futures, including equities, bonds, currencies, and commodities (energy, metals, and grains) …

Classic option pricing theory values a derivative contract via dynamic delta hedging and
treating the contract as redundant relative to the underlying security. Dynamic delta hedging …

In this paper, we propose a cross-sectional option momentum strategy that is based on the
risk component of delta-hedged option returns. We find strong evidence of risk continuation …

Momentum is a well-known and studied artefact of financial markets. In this paper, we
investigate whether momentum in a country's macroeconomic variables is related to the …

We employ machine to learn the continuous fundamental information and elucidate the
fundamental momentum in the noisy Chinese stock market. We extract fundamental implied …

We identify a comprehensive list of thirty-eight characteristics for predicting cross-sectional
FX options returns. We find that three factors—long-term straddle momentum, implied …

We develop a novel methodology to measure the risk premium of higher-order cumulants
(closely related to the moments of a distribution) based on assets satisfying a single-factor …