Transaction Costs and the Stochastic Discount Factor
With Teng Jiao and Hao Ma. Working paper.
Extrapolation Bias and the Lottery Effect: Evidence from Cryptocurrency Markets
With Mykola Babiak. Working paper.
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.
Macroeconomic Fundamentals and the Shape of Sovereign Credit Risk
With Teng Jiao. Working paper. R&R at Journal of Financial and Quantitative Analysis
It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction
With Alexandre Rubesam and Andrea Tamoni. Working paper. R&R at Journal of Financial and Quantitative Analysis
Variational Bayes Inference for Volatility-Managed Portfolios
With Mauro Bernardi and Nicolas Bianco. Working paper.
Time-Varying Skewness and Momentum Crashes
With Andrea Depolis and Ivan Petrella. Working paper. R&R at Review of Asset Pricing Studies
Divide and Conquer: Financial Ratios and Industry Returns Predictability
With Ken McAlinn. Working paper. Previously circulated as ‘Large-scale dynamic predictive regressions’.