Discussions

“A Multifactor Perspective on Volatility-Managed Portfolios” by Victor DeMiguel, Alberto Martin-Utrera, and Raman Uppal, NFA, September 2022

“Is There a Macro-Announcement Premium?” by Mohammad Ghaderi and Sang Byung Seo, EFA, August 2022

“Variance Risk Premium components and International Stock Return Predictability” by Juan M. Londono and Nancy R. Xu, May 2019

“Default Risk and the Pricing of U.S. Sovereign Bonds” by Robert Dittmar, Alex Hsu, Guillaume Roussellet , and Peter Simasek, FIFI, April 2019

“International yield curves and currency puzzles” by Mikhail Chernov and Drew Creal, MFA, March 2019

“Special Repo Rates and the Cross-Section of Bond Prices: the Role of the Special Collateral Risk Premium”, by Stefania D’Amico and Aaron Pancost, PFMC, December 2018

“Recovering Factor Volatility” by Ohad Kadan, Fang Liu, and Xiao Xiao Tang, NFA, September 2018

“Variance Risk Premium, Higher Order Risk Premium, and Expected Stock Returns” by Zhenzen Fan, Xiao Xiao, and Hao Zhou, EFA, August 2018

“Extracting Latent States from High-Frequency Option Prices”, by Diego Amaya, Jean-Francois Begin, and Genevieve Gauthier, MFA, March 2017

“Information in Term Structure: A Forecasting Perspective” by Hitesh Doshi, Kris Jacobs, and Rui Liu, MFA, March 2017