Associate Professor in Finance
Río Hondo No. 1,
Col. Progreso Tizapán
Phone: 52 (55) 5628 4000 x6518
Research interests: Empirical Asset pricing and Derivatives.
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
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.
Management Science, Accepted
Anticipating Jumps: Decomposition of Straddle Price with Bei Chen and Quan Gan
Journal of Banking and Finance, 2023, Volume 149, Pages 106755.
Non-Standard Errors with 342 co-authors from 34 countries and 207 institutions (mostly universities).
Journal of Finance, Forthcoming.
Why Does Volatility Uncertainty Predict Equity Option Returns? with Jay Cao, Xiao Xiao, and Xintong Zhan
Quarterly Journal of Finance, Forthcoming.
Does the option market underreact to firm´s left tail risk? with Bei Chen and Quan Gan
Revise and Resubmit requested at the Journal of Financial and Quantitative Analysis
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