Julio A. Crego

Assistant Professor

Nova School of Business and Economics

Curriculum vitae

Publications

  1. Genetic Mimicking Portfolios for ETF Arbitrage

    With Jens Kvaerner, Åvald Sommervoll, Dag Einar Sommervoll, and Niek Stevens.

    Journal of Fixed Income, 2026.

    Paper

  2. The Dynamic Informativeness of Scheduled News

    With Jasmin Gider.

    Management Science, 2024.

    PaperAppendix

  3. Endogenous Health Groups and Heterogeneous Dynamics of the Elderly

    With Dante Amengual and Jesús Bueren.

    Journal of Applied Econometrics, 2021.

    PaperAppendixHRS dataSHARE and ELSA data

  4. Why Does Public News Augment Information Asymmetries?

    Journal of Financial Economics, 2020.

    PaperAppendix

Working papers

  1. What Are Diseases Worth? Evidence from 18.5 Million Diagnoses

    With Daniel Kárpati, Jens Kvaerner, and Luc Renneboog.

    Conditionally accepted, Review of Financial Studies.

    SSRN

  2. Expected Return, Realized Return, and Machine Learning

    With Jens Kvaerner and Marc Stam.

    SSRN

  3. From Options to Fractions: The Effects of Fractional Trading on the Options Market

    With Pedro A. Garcia-Ares.

    SSRN

  4. Eliciting the Private Signal Distribution from Option Prices

    SSRN

  5. The Capacity of Equity Anomalies

    With Doron Avramov, Dion Bongaerts, and Jens Kvaerner.

    SSRN