Publications and Accepted Papers:
Journal of Financial Economics, July 2023, Vol. 149 (1), pp.27–51.
Review of Financial Studies, February 2023, Vol. 36 (2), pp.615–677.
Journal of Political Economy, November 2020, Vol. 128 (11), pp. 4097–4162.
with J. Ramos.
American Economic Review, July 2020, Vol. 110 (7), pp. 2128–2152.
Journal of Finance, August 2018, Vol. 73 (4), pp. 1785–1818.
The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications (Updated Data)
Journal of Financial Economics, February 2016, Vol. 119 (2), pp. 249–283.
Working papers:
Hedging Risk Factors, Revise and Resubmit at Review of Financial Studies