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Address:

Río Hondo No. 1,

Col. Progreso Tizapán

México, D.F.

México, 01080

Phone: 52 (55) 5628 4000 x6518

Email: aurelio.vasquez@itam.mx

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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