Covered S&P 500 Index call strategies have, on average, outperformed the S&P 500 Index
over the past 15+ years while realizing lower standard deviations of returns. This analysis …

Significant attention has been paid to the importance of incorporating shorting costs and the
cost of leverage when constructing 130/30 portfolios, as they contribute negatively to net (…

This dissertation examines the predictability relation of expected risk premia on stocks and
bonds in the G-7 countries over different stages of their business cycle. I find that the …

I compare the fees, expenses, and trading costs society pays to invest in the US stock market
with an estimate of what would be paid if everyone invested passively. Averaging over 1980…

Statistical inference in long‐horizon event studies has been hampered by the fact that
abnormal returns are neither normally distributed nor independent. This study presents a new …

… Ingrid Tierens, Goldman Sachs …

In addition to attractive returns, many hedge funds claim to provide significant diversification
for traditional portfolios. This paper empirically examines the return and diversification …

High-frequency trading has become a dominant force in the US capital market, accounting
for over 70% of dollar trading volume. This study examines the implication of high-frequency …