My first paper proposes two new risk factors in the equities markets: investor attention and investor sentiment. Stocks that co-vary negatively with attention to the stock market outperform in the following months in a behavior that is consistent with a priced risk factor. On the other hand,...

My second, related, paper further hones in on the underlying channel of the discovered cross-sectional investor attention-performance patterns. The paper further relates the tradable attention portfolio to 11 prominent anomalies and finds that the short leg is related to 7 of them. Part of the...

My third paper proposes a simple approach to hedge currency risk based on a backward-looking mean-variance analysis that is robust to overfitting. In particular, the paper finds that the current baseline of mean-variance currency hedging as offered in the literature breaks down out-of-sample and...