WORKING PAPERS

“Quality Portfolios and Funding Liquidity Crisis”, September 2017.

Quality Portfolios and Funding Liquidity Crisis

“Expected Stock Returns” (with A. González-Urteaga and B. Nieto), April 2018.

Expected Stock Returns_April2018

Opening Lecture Academic Year 2017-2018 (in Spanish), Universidad CEU Cardenal Herrera

Lección Inaugural. Gonzalo Rubio

“Risk-Neutral Volatilities of Equity and Treasury Bond Returns” (with A. González-Urteaga and B. Nieto), June 2018.

Risk-Neutral Volatilities June_2018

Work in progress:

* “The Dynamic Effects of Uncertainty on Real Activity Betas of Stock and Corporate Bond Returns” (M. González, J. Nave, and G. Rubio).

* “The Pricing of Market Frictions in Value, Momentum, and Quality Portfolios” (D. Abad, B. Nieto, R. Pascual, and G. Rubio)

* “Market Frictions and the Volatility of the Stochastic Discount Factor and Economic Activity” (D. Abad, B. Nieto, R. Pascual, and G. Rubio)

* “Connectedness Dynamics in the Spanish Financial Market” (with A. González-Urteaga)