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 …

“Bali, Engle, and Murray have produced a highly accessible introduction to the techniques
and evidence of modern empirical asset pricing. This book should be read and absorbed by …

We provide a broad empirical investigation of momentum strategies in the foreign exchange
market. We find a significant cross-sectional spread in excess returns of up to 10% per …

Stocks with large increases in call (put) implied volatilities over the previous month tend to
have high (low) future returns. Sorting stocks ranked into decile portfolios by past call …

Abstract Research Summary We introduce an innovative method of identifying the risk‐
management benefit of corporate social responsibility (CSR). Option‐implied volatility …

We study whether exposure to marketwide correlation shocks affects expected option
returns, using data on S&P100 index options, options on all components, and stock returns …

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

In the presence of jump risk, expected stock return is a function of the average jump size,
which can be proxied by the slope of option implied volatility smile. This implies a negative …

This paper presents a robust new finding that delta-hedged equity option return decreases
monotonically with an increase in the idiosyncratic volatility of the underlying stock. This …

We investigate the pricing of risk-neutral skewness in the stock options market by creating
skewness assets comprised of two option positions (one long and one short) and a position …