Julio A. Crego

Tilburg University

Assistant Professor

P.O. Box 90153

Tilburg, DC Noord-Brabant 5000 LE

Netherlands

SCHOLARLY PAPERS

8

DOWNLOADS

1,419

SSRN CITATIONS

12

CROSSREF CITATIONS

2

Scholarly Papers (8)

1.

The Dynamic Informativeness of Scheduled News

Number of pages: 37 Posted: 15 Apr 2020 Last Revised: 01 Nov 2023
Julio A. Crego and Jasmin Gider
Tilburg University and Tilburg University - Tilburg University School of Economics and Management
Downloads 395 (129,725)

Abstract:

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Corporate Disclosure, Scheduled News, Earnings Announcements, Option Prices, Informed Trading, Financial Analysts

2.

Machine Learning and Expected Returns

Number of pages: 58 Posted: 02 Feb 2023 Last Revised: 20 Jun 2023
Julio A. Crego, Jens Soerlie Kvaerner and Marc Stam
Tilburg University, Tilburg University and Tilburg University
Downloads 382 (134,691)

Abstract:

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Machine Learning, Big Data, Equity Options, Return Prediction, Cross-Section of Returns, Transaction Costs

3.

Evolutionary Arbitrage

Number of pages: 42 Posted: 15 Mar 2022 Last Revised: 29 Nov 2022
Tilburg University, Tilburg University, Digital infrastructure and security, Norwegian University of Life Sciences (NMBU) and SIG-i Capital AG
Downloads 288 (182,964)

Abstract:

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Statistical Arbitrage, Mimicking Portfolio, Corporate bond ETFs, Evolutionary algorithms

4.

Why Does Public News Augment Information Asymmetries?

Number of pages: 48 Posted: 14 May 2018 Last Revised: 10 Jul 2019
Julio A. Crego
Tilburg University
Downloads 105 (435,156)
Citation 2

Abstract:

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Public Information, News Release, Asymmetric Information, Liquidity

5.

The Economic Value of Eliminating Diseases

CentER Discussion Paper Nr. 2022-029
Number of pages: 55 Posted: 12 Dec 2022
Tilburg University, Tilburg University, Tilburg University and Tilburg University - Department of Finance
Downloads 92 (478,893)

Abstract:

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health shocks, household finance, life cycle, health economics, public health expenditure, labor earnings, labor participation, mortality, medical expenses

6.
Downloads 73 (545,851)
Citation 3

Cyclical Dependence in Market Neutral Hedge Funds

Number of pages: 92 Posted: 18 Nov 2022
Julio Gálvez and Julio A. Crego
Bank of Spain and Tilburg University
Downloads 39 (745,672)

Abstract:

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Hedge funds, market neutrality, market timing, tail dependence, risk management.

Cyclical Dependence in Market Neutral Hedge Funds

Banco de Espana Working Paper No. 2141
Number of pages: 92 Posted: 24 Nov 2021
Julio A. Crego and Julio Galvez
Tilburg University and Centre for Monetary and Financial Studies (CEMFI)
Downloads 34 (784,167)
Citation 3

Abstract:

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hedge funds, market neutrality, market timing, tail dependence, risk management

7.

Cyclical Dependence and Timing in Market Neutral Hedge Funds

Number of pages: 41 Posted: 29 May 2018
Julio A. Crego and Julio Galvez
Tilburg University and Centre for Monetary and Financial Studies (CEMFI)
Downloads 66 (580,801)

Abstract:

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Hedge funds, market neutrality, state timing, tail dependence, risk management

8.

Heterogeneous Health Groups and the Dynamics of the Elderly

Number of pages: 40 Posted: 19 Aug 2019
Dante Amengual, Jesus Bueren and Julio A. Crego
Centre for Monetary and Financial Studies (CEMFI), European University Institute and Tilburg University
Downloads 18 (900,494)
Citation 1

Abstract:

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Latent groups, Frailty, Long-Term Care, Medical expenses