Transaction Costs and the Stochastic Discount Factor
With Teng Jiao and Hao Ma. Working paper.
Asset Pricing
Do Sectors Matter for Commodity Pricing?
With Dennis Jung. Working paper.
Correlated False Discoveries and Asset Pricing Anomalies
With Junpei Komiyama, Ken McAllin, and Leyong Yang. Working paper.
Weak Signals, Small Bets: A Portfolio Perspective on Firm Characteristics
With Pedro H. M. Venturi. Working paper. REAG Investimentos Best Articles Award, XXV Brazilian Finance Meeting at INSPER.
Mispricing and Risk Compensation in Cryptocurrency Returns
With Mykola Babiak. Journal of Financial and Quantitative Analysis, forthcoming.
Time-Varying Skewness and Momentum Crashes
With Andrea Depolis and Ivan Petrella. Working paper. R&R at Review of Asset Pricing Studies
Bond Risk Premiums with Machine Learning
With Andrea Tamoni and Matthias Büchner. The Review of Financial Studies, 2021, Vol. 34, No. 2, 1046–1089. INVESCO Best Paper Award, FMA 2019.
Adaptive Expectations and Commodity Risk Premiums
Journal of Economic Dynamics and Control, March 2021, Vol. 124.
Macroeconomic Factors Strike Back: A Bayesian Change Point Model of Time-Varying Risk Exposures and Premia in the U.S. Cross Section
With Massimo Guidolin and Francesco Ravazzolo. Journal of Business and Economic Statistics, 2017, Vol. 35, No. 1.