Julio A. Crego

Tilburg University

Assistant Professor

P.O. Box 90153

Tilburg, DC Noord-Brabant 5000 LE

Netherlands

SCHOLARLY PAPERS

6

DOWNLOADS

584

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (6)

1.

The Dynamic Informativeness of Scheduled News

Number of pages: 42 Posted: 15 Apr 2020 Last Revised: 08 Feb 2022
Julio A. Crego and Jasmin Gider
Tilburg University and Tilburg University - Tilburg University School of Economics and Management
Downloads 315 (133,976)

Abstract:

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

2.

Evolutionary Arbitrage

Number of pages: 37 Posted: 15 Mar 2022
Tilburg University, Tilburg University, University of Oslo, Norwegian University of Life Sciences (NMBU) and SIG-i Capital AG
Downloads 110 (336,946)

Abstract:

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

3.

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 81 (408,562)
Citation 2

Abstract:

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Public Information, News Release, Asymmetric Information, Liquidity

4.

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 48 (533,061)

Abstract:

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

5.

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 27 (643,043)

Abstract:

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

6.

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 3 (849,316)
Citation 1

Abstract:

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