4
H index
3
i10 index
350
Citations
Universidade Católica Portuguesa | 4 H index 3 i10 index 350 Citations RESEARCH PRODUCTION: 6 Articles RESEARCH ACTIVITY: 7 years (2015 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pba1463 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Financial Economics | 3 |
Year | Title of citing document |
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2024 | Frequency-Dependent Higher Moment Risks. (2021). BarunÃk, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper |
2024 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper |
2023 | Constructing Time-Series Momentum Portfolios with Deep Multi-Task Learning. (2023). Herremans, Dorien ; Ong, Joel. In: Papers. RePEc:arx:papers:2306.13661. Full description at Econpapers || Download paper |
2023 | Network Momentum across Asset Classes. (2023). Zohren, Stefan ; Dong, Xiaowen ; Roberts, Stephen ; Pu, Xingyue. In: Papers. RePEc:arx:papers:2308.11294. Full description at Econpapers || Download paper |
2023 | Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2023). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Papers. RePEc:arx:papers:2311.15635. Full description at Econpapers || Download paper |
2023 | Stochastic volatility models with skewness selection. (2023). Lopes, Hedibert Freitas ; Batista, Igor Ferreira. In: Papers. RePEc:arx:papers:2312.00282. Full description at Econpapers || Download paper |
2023 | CEO incentive compensation and stock price momentum. (2023). Yan, Shu ; Li, Xingjian ; Feng, Hongrui ; Huang, Yanhuang ; Wang, Jian. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:975-1028. Full description at Econpapers || Download paper |
2023 | Idiosyncratic momentum and the crossâ€section of stock returns: Further evidence. (2020). Lin, QI. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:579-627. Full description at Econpapers || Download paper |
2024 | Overreaction?based momentum in the real estate investment trust market. (2022). Wu, Zhenxing ; Huang, Guanying ; Chen, Tsungyu. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:3:p:453-471. Full description at Econpapers || Download paper |
2023 | The trend premium around the world: Evidence from the stock market. (2023). Zhang, Cheng ; Liu, Pengfei ; Lin, Hai. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:317-358. Full description at Econpapers || Download paper |
2023 | Model Comparison with Transaction Costs. (2023). Velikov, Mihail ; Novymarx, Robert ; Detzel, Andrew. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1743-1775. Full description at Econpapers || Download paper |
2023 | Stop-loss rules and momentum payoffs in cryptocurrencies. (2023). Butt, Hilal Anwar ; Sadaqat, Mohsin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000473. Full description at Econpapers || Download paper |
2023 | Analysts’ underreaction and momentum strategies. (2023). Azevedo, Vitor. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002639. Full description at Econpapers || Download paper |
2024 | Robust portfolio selection with smart return prediction. (2024). Li, Bin ; Tu, Xueyong. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750. Full description at Econpapers || Download paper |
2023 | Can monthly-return rank order reveal a hidden dimension of momentum? The post-cost evidence from the U.S. stock markets. (2023). Yeomans, Julian Scott ; Luukka, Pasi ; Ahmed, Sheraz ; Patari, Eero. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000074. Full description at Econpapers || Download paper |
2023 | Overlapping momentum portfolios. (2023). Remesal, Alvaro ; de Jesus, Miguel ; Blanco, Ivan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:1-22. Full description at Econpapers || Download paper |
2023 | Forecasting realized volatility with machine learning: Panel data perspective. (2023). Liu, Zhi ; He, Lidan ; Bai, LU ; Zhu, Haibin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:251-271. Full description at Econpapers || Download paper |
2023 | Foreign institutions, local investors and momentum trading. (2023). Wu, Winston ; Bradrania, Reza. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:40-64. Full description at Econpapers || Download paper |
2023 | A seesaw effect in the cryptocurrency market: Understanding the return cross predictability of cryptocurrencies. (2023). Yan, Shu ; Jia, yuecheng ; Liu, Yuzheng ; Wu, Yangru. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000956. Full description at Econpapers || Download paper |
2023 | A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081. Full description at Econpapers || Download paper |
2024 | Enhancing betting against beta with stochastic dominance. (2024). Xu, Xia ; Kolokolova, Olga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:76:y:2024:i:c:s0927539823001329. Full description at Econpapers || Download paper |
2023 | Factor investing and currency portfolio management. (2023). Cerrato, Mario ; Zhang, Zhekai ; Li, Danyang. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001424. Full description at Econpapers || Download paper |
2024 | Bank credit, consumption risk, and the cross-section of expected returns. (2024). Ho, JI. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000358. Full description at Econpapers || Download paper |
2024 | Zoom in on momentum. (2024). Kim, Junyong. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001492. Full description at Econpapers || Download paper |
2023 | Biweekly performance of low-risk anomalies over the FOMC cycle. (2023). Kwon, Kyung Yoon ; Yun, Jaesun. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s154461232300870x. Full description at Econpapers || Download paper |
2023 | The disappearing profitability of volatility-managed equity factors. (2023). Angelidis, Timotheos ; Tessaromatis, Nikolaos. In: Journal of Financial Markets. RePEc:eee:finmar:v:65:y:2023:i:c:s1386418123000551. Full description at Econpapers || Download paper |
2023 | The long-run risk premium in the intertemporal CAPM: International evidence. (2023). Sakemoto, Ryuta. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001221. Full description at Econpapers || Download paper |
2024 | Are consensus FX forecasts valuable for investors?. (2024). Rubaszek, Michał ; Beckmann, Joscha ; Kwas, Marek. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:268-284. Full description at Econpapers || Download paper |
2023 | Enhanced momentum strategies. (2023). Windmuller, Steffen ; Hanauer, Matthias X. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s0378426622002928. Full description at Econpapers || Download paper |
2023 | Exploiting the dynamics of commodity futures curves. (2023). Zhang, Tingxi ; Miffre, Joelle ; Fan, John Hua ; Bianchi, Robert J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001632. Full description at Econpapers || Download paper |
2024 | The value of growth: Changes in profitability and future stock returns. (2024). Wang, George Jiaguo ; Sotes-Paladino, Juan ; Lim, Bryan ; Yao, Yaqiong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002273. Full description at Econpapers || Download paper |
2023 | Some gains are riskier than others: Volatility changes and the disposition effect. (2023). Vasudevan, Ellapulli V. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:214:y:2023:i:c:p:68-81. Full description at Econpapers || Download paper |
2023 | A Bayesian perspective on commodity style integration. (2023). Zhao, Nan ; Fuertes, Ana-Maria. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000181. Full description at Econpapers || Download paper |
2023 | The Fortune and crash of common risk factors in Chinese commodity markets. (2023). Zhao, Yuqian ; Liu, Zhenya. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000521. Full description at Econpapers || Download paper |
2023 | High-dimensional portfolio optimization based on tree-structured factor model. (2023). Zhu, Shushang ; Zhao, Huimin ; Zheng, Tiantian ; Ni, Xuanming. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:81:y:2023:i:c:s0927538x23001774. Full description at Econpapers || Download paper |
2023 | Momentum investing and a tale of intraday and overnight returns: Evidence from Taiwan. (2023). Lo, Wen-Chi ; Hsiao, Yu-Jen ; Ho, Hsiao-Wei ; Yang, Nien-Tzu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002226. Full description at Econpapers || Download paper |
2024 | Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences. (2024). Lago-Balsalobre, Ruben ; Alonso-Conde, Ana B ; Rojo-Suarez, Javier. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1156-1169. Full description at Econpapers || Download paper |
2024 | Mechanisms of overpricing: An investigation on momentum crashes. (2024). Huang, Alex Yihou. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:118-142. Full description at Econpapers || Download paper |
2023 | Study of the Momentum Effect in the Price Dynamics of Highly Liquid Shares on the Russian Securities Market. (2023). Leshchev, Sergei I ; Nazarova, Varvara V. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:230104:p:58-73. Full description at Econpapers || Download paper |
2024 | . Full description at Econpapers || Download paper |
2023 | Managing the Market Portfolio. (2023). Prokopczuk, Marcel ; Hollstein, Fabian. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:6:p:3675-3696. Full description at Econpapers || Download paper |
2023 | Momentum: what do we know 30 years after Jegadeesh and Titman’s seminal paper?. (2023). Wiest, Tobias. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:37:y:2023:i:1:d:10.1007_s11408-022-00417-8. Full description at Econpapers || Download paper |
2023 | Enhancing stock market anomalies with machine learning. (2023). Hoegner, Christopher ; Azevedo, Vitor. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:1:d:10.1007_s11156-022-01099-z. Full description at Econpapers || Download paper |
2023 | Fundamental strength and the 52-week high anchoring effect. (2023). Chen, Min ; Sun, Licheng ; Zhu, Zhaobo. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:4:d:10.1007_s11156-023-01138-3. Full description at Econpapers || Download paper |
2023 | Application of Volatility-Managed Portfolios in the Context of a Volatility Index. (2023). Kayal, Parthajit ; Subramanian, Abhishek. In: Working Papers. RePEc:mad:wpaper:2023-242. Full description at Econpapers || Download paper |
2023 | The Determinants of Volatility Timing Performance. (2023). Taylor, Nick. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:4:p:1228-1257.. Full description at Econpapers || Download paper |
2023 | Empirical Asset Pricing with Functional Factors*. (2023). Sancetta, Alessio ; Nadler, Philip. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:4:p:1258-1281.. Full description at Econpapers || Download paper |
2023 | Stock market anomalies and machine learning across the globe. (2023). Mueller, Sebastian ; Kaiser, Georg Sebastian ; Azevedo, Vitor. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:5:d:10.1057_s41260-023-00318-z. Full description at Econpapers || Download paper |
2023 | Gambling on Momentum in Contests. (2023). Singleton, Carl ; de Angelis, Luca ; Deutscher, Christian ; Otting, Marius. In: Economics Discussion Papers. RePEc:rdg:emxxdp:em-dp2023-08. Full description at Econpapers || Download paper |
2023 | Investment 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. Full description at Econpapers || Download paper |
2023 | Timeâ€series momentum in Chinas commodity futures market. (2019). Cho, Hoon ; Ham, Hyuna ; Ryu, Doojin ; Kim, Hyeong Jun. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:12:p:1515-1528. Full description at Econpapers || Download paper |
2023 | Improving momentum strategies using residual returns and optionâ€implied information. (2019). Liu, Mingyu. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:4:p:499-521. Full description at Econpapers || Download paper |
2023 | Commodity momentum decomposition. (2023). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:198-216. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2015 | Beyond the Carry Trade: Optimal Currency Portfolios In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 79 |
2015 | Momentum has its moments In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 244 |
2021 | Time-varying state variable risk premia in the ICAPM In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 7 |
2021 | Do limits to arbitrage explain the benefits of volatility-managed portfolios? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 17 |
2022 | Hedging with an Edge: Parametric Currency Overlay In: Management Science. [Full Text][Citation analysis] | article | 0 |
2022 | Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 3 |
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