Aurelio Vasquez

Aurelio Vasquez

Associate professor with tenure at ITAM in Mexico City.

Address:

Río Hondo No. 1,

Col. Progreso Tizapán

México, D.F.

México, 01080

Phone: 52 (55) 5628 4000 x6518

Email: aurelio.vasquez@itam.mx

My Google Scholar

My SSRN

My citations

Research interests: Empirical Asset pricing and Derivatives.

Published papers:

Does Realized Skewness Predict the Cross-Section of Equity Returns? with Diego Amaya, Peter Christoffersen, and Kris Jacobs

Journal of Financial Economics, 2015, Volume 118, Issue 1, Pages 135-167.

Featured in: Video (in Spanish), The BAM Alliance, ETF.com, VERTR Croudsource stock ratings, CXO Advisory Group

Equity Volatility Term Structures and the Cross-Section of Option Returns

Journal of Financial and Quantitative Analysis, 2017, Volume 52, Issue 6, Pages 2727-2754.

Featured in: CXO Advisory Group, Alpha Architect

Anomalies in Emerging Markets: The Case of Mexico, with Renata Herrerias and Polux Diaz-Ruiz

The North American Journal of Economics and Finance, 2020, Volume 53, Pages 101188.

Working papers:

Default Risk and Option Returns, (PDF) with Xiao Xiao

Revise and Resubmit requested at the Management Science

Volatility Uncertainty and the Cross-Section of Option Returns with Jay Cao, Xiao Xiao, and Xintong Zhan

AFA 2020

Common Factors in Equity Option Returns, (PDF) with Alex Horenstein and Xiao Xiao

Making Better Use of Option Prices to Predict Stock Returns, with Dmitriy Muravyev and Wenzhi Wang

The Cross-Section of Intraday Jumps with Diego Amaya

Every year I organize the ITAM Finance Conference.

This year the conference is via Zoom on June 3rd and 4th, 2021.

Virtual seminars:

FMA: https://www.fma.org/virtual-seminar

UCLA sponsored: https://www.virtualfinance.org/home

Michigan/UIC: https://sites.google.com/view/virtual-finance-seminar/home?authuser=0

Georgetown: https://finpolicy.georgetown.edu/news/global-virtual-seminar-series-on-fintech/

WEFI: https://sites.google.com/view/wefi

Villanova: https://sites.google.com/view/vuwifi

Cambridge: https://www.jbs.cam.ac.uk/faculty-research/subject-groups/finance/#item-8

SaMMF: https://sammf.com/

Princeton: https://bcf.princeton.edu/event-directory/covid19/

Find a list of economics virtual seminars at the AEA website: https://www.aeaweb.org/resources/online-seminars.

And also this one for economists: https://virtual-econ.info/seminars.html

20190201_Common factors in equity option returns.pdf

(512k)

Aurelio Vasquez,

Feb 11, 2019, 10:41 AM

v.1

Anomalies in the Mexican Stock Market - 21JAN2019.pdf

(858k)

Aurelio Vasquez,

Feb 11, 2019, 10:37 AM

v.1

Foto Aurelio.jpg

(71k)

Aurelio Vasquez,

Oct 12, 2014, 7:22 PM

v.1

VX_06DEC2018_SSRN.pdf

(574k)

Aurelio Vasquez,

Feb 11, 2019, 10:48 AM

v.1

Aurelio Vasquez - Associate Professor in Finance