Abstract
“Asset Pricing, Not Equity Pricing” demonstrates that building characteristicsmanaged factors using firms’ asset returns greatly reduces the number of factors necessary to explain the cross-section.“Betting on Stocks with Options?” examines whether the expected return of the underlying stock predicts option returns and finds, contrary to standard asset pricing theory, a disconnect between stock and option return predictability. “Can the Liquidity Channel Explain the Currency Carry Trade?” explains the risk premia of currency carry trade, or the deviation from the uncovered interest rate parity (UIP), with traders’ liquidity constraints, evidenced by the asymmetrical effect of a clean measure of such constraints: the deviation from the covered interest rate parity (CIP)