Research

Published papers:

1. 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

2. 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

3. 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.

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

Management Science, Accepted

5. Anticipating Jumps: Decomposition of Straddle Price with Bei Chen and Quan Gan

Journal of Banking and Finance, 2023, Volume 149, Pages 106755.

Working papers:

• 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

• Non-Standard Errors with Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, et al.

• 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