Address:

      Río Hondo No. 1, 

      Col. Progreso Tizapán

      México, D.F.

      México, 01080

      Phone: 52 (55) 5628 4000 x6518

      Email: aurelio.vasquez@itam.mx

     My Google Scholar

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 Research interests: Empirical Asset pricing and Derivatives.

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.

6. Non-Standard Errors with 342 co-authors from 34 countries and 207 institutions (mostly universities). 

 Journal of Finance, Forthcoming.

7. Why Does Volatility Uncertainty Predict Equity Option Returns?  with Jay Cao, Xiao Xiao, and Xintong Zhan

Quarterly Journal of Finance, 2023, Volume 13 Number 1, 2350005.

8. Realized Semibetas and International Stock Return Predictability with Diego Amaya, Renata Herrerias, and Fernando Perez

Finance Research Letters, 58, December 2023, 104641.

9. Does the option market underreact to firm´s left tail risk? with Bei Chen and Quan Gan

Journal of Financial and Quantitative Analysis. Accepted.

Working papers:

• 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