Volatility Timing Using ETF Options: Evidence from Hedge Funds
ETF options offer a unique device for hedge funds to exploit their information about volatilities in different asset markets.
with George Aragon and Zhen Shi
Executive Pay-for-Performance Sensitivity and Stochastic Volatility
PPS decreases in both short- and long-run volatilities, but only the short-run volatility affects executives' incentive.
with Ping Liu and Yan Liu
Market Power in the Securities Lending Market
The delegated OTC nature of the securities lending market plays a critical role in shaping market participants’ payoffs and valuations.
with Ron Kaniel and Christian C. Opp
Tomorrow Is Another Day: Stocks Overweighted by Active Mutual Funds Predict the Next-Day Market
When stocks overweighted by active mutual funds outperform other stocks, the S&P 500 tends to do well the next day, and vice-versa.
with Yixin Chen and Randolph B. Cohen
Do Institutional Investors Affect News Coverage? The Role of Media Ownership
A media outlet issues more positive news coverage of a firm when they have common institutional investors.
with Zhao Jin and Yucheng (John) Yang