WORKING PAPERS

Tail risk and asset prices in the short-term, (2022) (with Caio Almeida, Gustavo Freire and Rodrigo Hizmeri).

High-Frequency Tail Risk Premium and Stock Return Predictability, (2022) (with Caio Almeida, Kym Ardison and Piotr Orlowski). 

Funding Liquidity, Market Liquidity, Market Volatility in the Cross-section of Stocks, (2022) (with Jean-Sébastien Fontaine and Sermin Gungor).

Intermediary Leverage Shocks and Funding Conditions, (2022)(with Jean-Sébastien Fontaine and Sermin Gungor).

Uncovering Asset Market Participation from Household Consumption and Income, (2021), (with Veronika Czellar and François Le Grand), Appendix.

Funding conditions, transaction costs and the dynamic performance of anomalies (2021), (with Magnim Farouh), Appendix.