Crowding and Tail Risk in Momentum Returns
Pedro Barroso, Roger M. Edelen, Paul Karehnke
Journal of Financial and Quantitative Analysis, vol. 57, 2022, p. 1313-1342.

Time-Varying State Variable Risk Premia in the ICAPM
Pedro Barroso, Martijn Boons, Paul Karehnke
Journal of Financial Economics, vol. 139, 2021, p. 428-451.