Pedro Barroso, Jr. : Citation Profile

Are you Pedro Barroso, Jr.?

Universidade Católica Portuguesa

2

H index

2

i10 index

245

Citations

RESEARCH PRODUCTION:

3

Articles

RESEARCH ACTIVITY:

   6 years (2015 - 2021). See details.
   Cites by year: 40
   Journals where Pedro Barroso, Jr. has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 1 (0.41 %)

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   Permalink: http://citec.repec.org/pba1463
   Updated: 2022-08-13    RAS profile: 2021-02-26    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Pedro Barroso, Jr..

Is cited by:

Sarno, Lucio (9)

Smajlbegovic, Esad (4)

Szafarz, Ariane (4)

Sakemoto, Ryuta (4)

GUPTA, RANGAN (4)

Li, Youwei (4)

Nitschka, Thomas (3)

Suh, Sangwon (3)

Schmeling, Maik (3)

Dobrynskaya, Victoria (3)

Schrimpf, Andreas (3)

Cites to:

Campbell, John (11)

Jagannathan, Ravi (4)

Cochrane, John (4)

Fama, Eugene (4)

Sarno, Lucio (3)

Weil, Philippe (3)

French, Kenneth (3)

Santa-Clara, Pedro (3)

Schmeling, Maik (3)

Ludvigson, Sydney (3)

Nagel, Stefan (3)

Main data

Where Pedro Barroso, Jr. has published?

Journals with more than one article published# docs
Journal of Financial Economics2

Recent works citing Pedro Barroso, Jr. (2022 and 2021)

YearTitle of citing document
2021Machine Learning Portfolio Allocation. (2020). Ruppert, David ; Pinelis, Michael. In: Papers. RePEc:arx:papers:2003.00656.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2022An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2021Firm-specific risk-neutral distributions with options and CDS. (2021). Jahan-Parvar, Mohammad ; Aramonte, Sirio ; Schindler, John W ; Rosen, Samuel. In: BIS Working Papers. RePEc:bis:biswps:921.

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2022A timing momentum strategy. (2022). Ko, Kuancheng ; Chou, Robin K ; Yang, Nientzu ; Lin, Chaonan. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:s1:p:1339-1379.

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2021Economic policy uncertainty and momentum. (2021). Wu, Yangru ; Sun, Minxing ; Gu, Ming ; Xu, Weike. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:1:p:237-259.

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2021Anomalies enhanced: A portfolio rebalancing approach. (2021). Zhou, Guofu ; Huang, Dayong ; Han, Yufeng. In: Financial Management. RePEc:bla:finmgt:v:50:y:2021:i:2:p:371-424.

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2022A reexamination of factor momentum: How strong is it?. (2022). Li, Youwei ; Fan, Minyou ; Liu, Jiadong ; Liao, Ming. In: The Financial Review. RePEc:bla:finrev:v:57:y:2022:i:3:p:585-615.

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2021Risk reduction using trailing stop?loss rules. (2021). Visaltanachoti, Nuttawat ; Marshall, Ben R ; Dai, Bochuan ; Nguyen, Nhut H. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:4:p:1334-1352.

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2021When it rains, it pours: Multifactor asset management in good and bad times. (2021). Szafarz, Ariane ; Briere, Marie. In: Journal of Financial Research. RePEc:bla:jfnres:v:44:y:2021:i:3:p:641-669.

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2021Bond intraday momentum. (2021). Li, YI ; Wang, Pengfei ; Zhang, Wei. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:31:y:2021:i:c:s2214635021000599.

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2021Momentum in real economy and industry stock returns. (2021). Eichel, Ron. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001209.

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2021Nonlinear effect of sentiment on momentum. (2021). Li, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001883.

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2021Dispersion in analysts’ target prices and stock returns. (2021). Wang, Heng ; Yan, Shu ; Feng, Hongrui ; Li, Xingjian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082100022x.

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2021A filtered currency carry trade. (2021). Suh, Sangwon ; Ho, Jin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000930.

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2021Market efficiency in foreign exchange market. (2021). Pae, Yuntaek ; Choi, Wonseok ; Lee, Namhoon. In: Economics Letters. RePEc:eee:ecolet:v:205:y:2021:i:c:s0165176521002081.

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2021Non-parametric momentum based on ranks and signs. (2021). Rhee, Ghon S ; Ko, Kuan-Cheng ; Chou, Pin-Huang ; Chen, Tsung-Yu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:60:y:2021:i:c:p:94-109.

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2021Can interest rate factors explain exchange rate fluctuations?. (2021). Yung, Julieta. In: Journal of Empirical Finance. RePEc:eee:empfin:v:61:y:2021:i:c:p:34-56.

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2022Isolating momentum crashes. (2022). Krupski, Jan ; Dierkes, Maik. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:1-22.

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2021The risk premia of energy futures. (2021). Miffre, Joelle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Energy Economics. RePEc:eee:eneeco:v:102:y:2021:i:c:s0140988321003467.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2021Asymmetry, tail risk and time series momentum. (2021). Wang, Shixuan ; Lu, Shanglin ; Liu, Zhenya. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002581.

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2021Factor Investing and Risk Management: Is Smart-Beta Diversification Smart?. (2021). Pacurar, Maria ; Nazaire, Gregory ; Sy, Oumar. In: Finance Research Letters. RePEc:eee:finlet:v:41:y:2021:i:c:s1544612320316688.

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2022Crash-based quantitative trading strategies: Perspective of behavioral finance. (2022). Ying, Shangjun ; Yang, Jimmy J ; Yuan, Jie ; Fang, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002579.

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2022On the time-varying dynamics of stock and commodity momentum returns. (2022). Schuhmacher, Frank ; Auer, Benjamin R ; Stadtmuller, Immo. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s154461232100386x.

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2022Managing downside risk of low-risk anomaly portfolios. (2022). Kim, Saejoon. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321003883.

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2022State-dependent psychological anchors and momentum. (2022). Yang, Nien-Tzu ; Ko, Kuan-Cheng ; Li, Cheng ; Ran, Rong. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pb:s1544612321004256.

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2022Intraday time series momentum: Global evidence and links to market characteristics. (2022). Urquhart, Andrew ; Sakkas, Athanasios ; Li, Zeming. In: Journal of Financial Markets. RePEc:eee:finmar:v:57:y:2022:i:c:s138641812100001x.

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2021Can technical trading beat the foreign exchange market in times of crisis?. (2021). Yamani, Ehab. In: Global Finance Journal. RePEc:eee:glofin:v:48:y:2021:i:c:s1044028320300818.

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2021FX markets’ reactions to COVID-19: Are they different?. (2021). Winkelried, Diego ; Bazan-Palomino, Walter. In: International Economics. RePEc:eee:inteco:v:167:y:2021:i:c:p:50-58.

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2021An explanation for momentum with a rational model under symmetric information – Evidence from cross country equity markets. (2021). Proelss, Juliane ; Koziol, Christian. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:70:y:2021:i:c:s1042443120301426.

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2021The conditional volatility premium on currency portfolios. (2021). Sakemoto, Ryuta ; Byrne, Joseph P. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s104244312100130x.

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2021Return signal momentum. (2021). Thomakos, Dimitrios ; Liu, Jiadong ; Papailias, Fotis. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:124:y:2021:i:c:s0378426621000212.

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2021Risk-adjusted return managed carry trade. (2021). Dupuy, Philippe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:129:y:2021:i:c:s037842662100131x.

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2021Downside risk and the performance of volatility-managed portfolios. (2021). Yan, Xuemin Sterling ; Wang, Feifei. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:131:y:2021:i:c:s0378426621001576.

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2021Hedge fund portfolio selection with fund characteristics. (2021). Kahra, Hannu ; Kauppila, Mikko ; Joenvaara, Juha. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:132:y:2021:i:c:s0378426621001916.

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2022Partial moment momentum. (2022). Leung, Henry ; Satchell, Stephen ; Gao, Yang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:135:y:2022:i:c:s0378426621003125.

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2022Momentum-Managed Equity Factors. (2022). Zunft, Claudia ; Schlag, Christian ; Flogel, Volker. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:137:y:2022:i:c:s0378426621002107.

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2021Do limits to arbitrage explain the benefits of volatility-managed portfolios?. (2021). Detzel, Andrew ; Barroso, Pedro. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:3:p:744-767.

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2021Pervasive underreaction: Evidence from high-frequency data. (2021). Li, Sophia Zhengzi ; Jiang, Hao ; Wang, Hao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:573-599.

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2021Volatility and the cross-section of returns on FX options. (2021). Marsh, Ian W ; James, Jessica ; Fullwood, Jonathan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:3:p:1262-1284.

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2021Global factor premiums. (2021). Swinkels, Laurens ; van Vliet, Pim ; Baltussen, Guido. In: Journal of Financial Economics. RePEc:eee:jfinec:v:142:y:2021:i:3:p:1128-1154.

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2022Dissecting currency momentum. (2022). Zhang, Shaojun. In: Journal of Financial Economics. RePEc:eee:jfinec:v:144:y:2022:i:1:p:154-173.

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2021Attractive and non-attractive currencies. (2021). Marsh, Ian W ; James, Jessica ; Dupuy, Philippe. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:110:y:2021:i:c:s0261560620302096.

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2022The time-varying risk price of currency portfolios. (2022). Sakemoto, Ryuta ; Ibrahim, Boulis Maher ; Byrne, Joseph P. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s0261560622000390.

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2021Revisiting momentum profits in emerging markets. (2021). Sadaqat, Mohsin ; Kolari, James W ; Butt, Hilal Anwar. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:65:y:2021:i:c:s0927538x20306983.

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2022Does the momentum gap explain momentum in Taiwan?. (2022). Yang, Nien-Tzu ; Ko, Kuan-Cheng ; Lin, Chaonan. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:72:y:2022:i:c:s0927538x22000270.

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2021Can high trading volume and volatility switch boost momentum to show greater inefficiency and avoid crashes in emerging markets? The economic relationship in factor investing in emerging markets. (2021). Tomtosov, Aleksandr ; Teplova, Tamara. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:210-223.

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2021International portfolio allocation: The role of conditional higher moments. (2021). Le, Trung H. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:33-57.

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2022Factor portfolio and target volatility management: An analysis of portfolio performance in the U.S. and China. (2022). Wang, Zhiqiang ; Yang, Gaofei ; Xiong, Haifang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:79:y:2022:i:c:p:493-517.

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2021.

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2021A Filtering Strategy for Improving Charateristics-Based Portfolios. (2021). Suh, Sangwon. In: Journal of Economic Development. RePEc:jed:journl:v:46:y:2021:i:2:p:119-153.

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2021Asymmetrical impacts from overnight returns on stock returns. (2021). Truong, Quang Thai ; Hu, Ming-Che ; Huang, Alex Yihou . In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:56:y:2021:i:3:d:10.1007_s11156-020-00911-y.

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2022The relation between earnings and price momentum: Does it vary across regimes?. (2022). Osmer, Eric ; Wei, Peihwang ; Zheng, Yao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:3:d:10.1007_s11156-021-01021-z.

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2021The ABC’s of the alternative risk premium: academic roots. (2021). Fabozzi, Frank J ; Gorman, Stephen A. In: Journal of Asset Management. RePEc:pal:assmgt:v:22:y:2021:i:6:d:10.1057_s41260-021-00234-0.

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2022Factor momentum, option-implied volatility scaling, and investor sentiment. (2022). Rutanen, Jere ; Kolari, James W ; Grobys, Klaus. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:2:d:10.1057_s41260-021-00229-x.

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2021Economic Evaluation of Cryptocurrency Investment. (2021). Sakemoto, Ryuta. In: MPRA Paper. RePEc:pra:mprapa:108283.

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2021When it Rains, it Pours: Multifactor Asset Management in Good and Bad Times. (2021). Szafarz, Ariane ; Briere, Marie. In: Working Papers CEB. RePEc:sol:wpaper:2013/319463.

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2021Navigating the factor zoo around the world: an institutional investor perspective. (2021). Ranganathan, Ananthalakshmi ; Pope, Peter F ; Lohre, Harald ; Bartram, Sohnke M. In: Journal of Business Economics. RePEc:spr:jbecon:v:91:y:2021:i:5:d:10.1007_s11573-021-01035-y.

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2022Momentum investing: a systematic literature review and bibliometric analysis. (2022). Walia, Nidhi ; Singh, Simarjeet. In: Management Review Quarterly. RePEc:spr:manrev:v:72:y:2022:i:1:d:10.1007_s11301-020-00205-6.

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2021The impact of oil price and exchange rate on momentum strategy profits in stock market: evidence from oil-rich developing countries. (2021). Sahabi, Bahram ; Zolfaghari, Mehdi. In: Review of Managerial Science. RePEc:spr:rvmgts:v:15:y:2021:i:7:d:10.1007_s11846-020-00413-0.

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2022Investment momentum: A two?dimensional behavioural strategy. (2022). Zheng, Liyi ; Zhao, Huainan ; Xu, Fangming. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1191-1207.

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2022Momentum crashes and variations to market liquidity. (2022). Virk, Nader Shahzad ; Butt, Hilal Anwar. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1899-1911.

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2021What can we learn from the return predictability over the business cycle?. (2021). Pan, Zhiyuan ; Liu, LI ; Wang, Yudong. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:1:p:108-131.

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2021Volatility?managed commodity futures portfolios. (2021). Kwon, Kyung Yoon ; Kang, Jangkoo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:2:p:159-178.

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2021Managing volatility in commodity momentum. (2021). Wang, Ying ; Xu, QI. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:41:y:2021:i:5:p:758-782.

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2022The Term Structure of Currency Futures Risk Premia. (2022). Bernoth, Kerstin ; de Vries, Casper ; von Hagen, Jurgen ; Vonhagen, Jurgen. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:54:y:2022:i:1:p:5-38.

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Works by Pedro Barroso, Jr.:

YearTitleTypeCited
2015Beyond the Carry Trade: Optimal Currency Portfolios In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article66
2015Momentum has its moments In: Journal of Financial Economics.
[Full Text][Citation analysis]		article178
2021Time-varying state variable risk premia in the ICAPM In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1

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