We provide a joint non-parametric test to gather insights on the boundaries of applicability of
Stochastic Discount Factor (SDF) models. We find that a non-trivial class of models cannot …

We analyze the lead–lag relation between VIX futures and SPX futures. The two futures
markets are weakly connected when market volatility is low. By contrast, when volatility is …

Investors' learning can drastically alter the dynamics of the variance risk premium: it no
longer increases as economic conditions deteriorate but exhibits a highly nonlinear pattern …

This study provides perspectives and insights into the importance of Maqasid al-Shari'ah in
the discourse of Shari'ah-Compliant Asset Pricing Model (SCAPM) development by …

Dynamic equilibrium models based on present value computation imply that returns are
predictable but also generate particular short-term patterns of predictability in asset returns. I …

We develop volatility risk premium (VRP) timing strategies that involve trading two assets: a
volatility asset and a risk-free asset. We first analyze a benchmark portfolio with a constant …

We provide a joint non-parametric test to gather insights on the boundaries of applicability of
Stochastic Discount Factor (SDF) models. We find that a non-trivial class of models cannot …