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.