Pedro Barroso, Jr. : Citation Profile

Universidade Católica Portuguesa

6

H index

3

i10 index

414

Citations

RESEARCH PRODUCTION:

8

Articles

RESEARCH ACTIVITY:

   9 years (2015 - 2024). See details.
   Cites by year: 46
   Journals where Pedro Barroso, Jr. has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 4 (0.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba1463
   Updated: 2025-12-27    RAS profile: 2024-12-06    
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Relations with other researchers

Works with:

Karehnke, Paul (2)

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

Is cited by:

Sakemoto, Ryuta (15)

Sarno, Lucio (10)

Li, Youwei (9)

Fuertes, Ana-Maria (5)

Yan, Shu (5)

Suh, Sangwon (5)

faff, robert (4)

Thomakos, Dimitrios (4)

Beckmann, Joscha (4)

Rubaszek, Michał (4)

Pätäri, Eero (4)

Cites to:

Campbell, John (23)

French, Kenneth (15)

Santa-Clara, Pedro (11)

Cochrane, John (7)

Fama, Eugene (7)

Jagannathan, Ravi (7)

Uppal, Raman (6)

Nagel, Stefan (6)

Sarno, Lucio (5)

Stambaugh, Robert (5)

Pedersen, Lasse (5)

Main data

Where Pedro Barroso, Jr. has published?

Journals with more than one article published# docs
Journal of Financial Economics3
Journal of Financial and Quantitative Analysis2

Recent works citing Pedro Barroso, Jr. (2025 and 2024)

YearTitle of citing document
2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2024). Zhang, Huacheng ; Lamoureux, Christopher G. In: Papers. RePEc:arx:papers:2104.12975.

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2024Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2024). Wunderlich, Ralf ; Lamert, Kerstin ; Auer, Benjamin R. In: Papers. RePEc:arx:papers:2311.15635.

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2024DeepUnifiedMom: Unified Time-series Momentum Portfolio Construction via Multi-Task Learning with Multi-Gate Mixture of Experts. (2024). Ong, Joel ; Herremans, Dorien. In: Papers. RePEc:arx:papers:2406.08742.

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2025The Exploratory Multi-Asset Mean-Variance Portfolio Selection using Reinforcement Learning. (2025). Wu, Yuhan ; Li, YU ; Zhang, Shuhua. In: Papers. RePEc:arx:papers:2505.07537.

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2025Winners vs. Losers: Momentum-based Strategies with Intertemporal Choice for ESG Portfolios. (2025). Jha, Ayush ; Rachev, Svetlozar T ; Fabozzi, Frank J ; Jaffri, Ali ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2505.24250.

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2025Covariance Matrix Estimation for Positively Correlated Assets. (2025). Liu, Weilong. In: Papers. RePEc:arx:papers:2507.01545.

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2025Momentum-integrated Multi-task Stock Recommendation with Converge-based Optimization. (2025). Li, Xujia ; Shen, Yanyan ; Peng, Jingshu ; Wang, Hao ; Chen, Lei. In: Papers. RePEc:arx:papers:2509.10461.

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2025A Practitioners Guide to AI+ML in Portfolio Investing. (2025). Qingliang, Mehmet Caner. In: Papers. RePEc:arx:papers:2509.25456.

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2025Re(Visiting) Time Series Foundation Models in Finance. (2025). Rahimikia, Eghbal ; Ni, Hao ; Wang, Weiguan. In: Papers. RePEc:arx:papers:2511.18578.

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2024A Multifactor Perspective on Volatility‐Managed Portfolios. (2024). Uppal, Raman ; Martnutrera, Alberto ; Demiguel, Victor. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:3859-3891.

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2025The nexus of overnight trend and asset prices in China. (2025). Li, Youwei ; Guo, Jiaqi ; Han, Xing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001891.

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2024Robust portfolio selection with smart return prediction. (2024). Tu, Xueyong ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000750.

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2025A common component of Fama and French factor variances. (2025). Grobys, Klaus ; Fathi, Masoumeh ; Ij, Janne. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002171.

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2025Active portfolio management in the face of ESG uncertainty: An agile framework for adaptive investment strategies. (2025). Li, Junxue ; Wen, Limin ; Zhang, YI ; Sheng, Jiliang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002201.

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2025Hedging political risk in international portfolios. (2025). Pagliardi, Giovanni ; Lotfi, Somayyeh ; Zenios, Stavros A ; Paparoditis, Efstathios. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:2:p:629-646.

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2024Enhancing 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.

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2025On the performance of volatility-managed equity factors — International and further evidence. (2025). Schwarz, Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s092753982400094x.

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2025Market neutrality and beta crashes. (2025). Xu, Xia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s0927539824001117.

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2024Extant linkages between Shanghai crude oil and US energy futures: Insights from spillovers of higher-order moments. (2024). Sensoy, Ahmet ; Goodell, John W ; Dionisio, Andreia ; Banerjee, Ameet Kumar. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324003918.

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2025Stock returns and macroeconomic uncertainty. (2025). Smedts, Kristien ; Nguyen, Thao P ; Iania, Leonardo. In: International Review of Financial Analysis. RePEc:eee:finana:v:104:y:2025:i:pa:s1057521925003503.

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2024Bank 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.

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2024Zoom in on momentum. (2024). Kim, Jun Yong. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001492.

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2024Left-tail risk and UK stock return predictability: Underreaction, overreaction, and arbitrage difficulties. (2024). Khasawneh, Maher ; Kambouroudis, Dimos ; McMillan, David G. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002655.

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2024VIX-managed portfolios. (2024). Boovi, Milo. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002850.

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2024A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545.

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2024Commodity sectors and factor investment strategies. (2024). Sakemoto, Ryuta ; Nakagawa, Kei. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pc:s1057521924004253.

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2025Conditional currency momentum portfolios. (2025). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: International Review of Financial Analysis. RePEc:eee:finana:v:99:y:2025:i:c:s1057521925000511.

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2024Currency portfolios and global foreign exchange ambiguity. (2024). Sakemoto, Ryuta ; Cai, Xiaojing ; Asano, Takao. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s1544612324005646.

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2025Uncovering the risk-return trade-off through ridge regressions. (2025). Arag, Vicent ; Alemany, Nuria ; Salvador, Enrique. In: Finance Research Letters. RePEc:eee:finlet:v:71:y:2025:i:c:s1544612324014491.

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2024Are 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.

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2025New accounting standards and the performance of quantitative investors. (2025). Dyer, Travis ; Guest, Nicholas ; Yu, Elisha. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:79:y:2025:i:2:s0165410124000703.

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2024The value of growth: Changes in profitability and future stock returns. (2024). Yao, Yaqiong ; Sotes-Paladino, Juan ; Wang, George Jiaguo ; Lim, Bryan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:158:y:2024:i:c:s0378426623002273.

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2024Decomposing momentum: The forgotten component. (2024). Siedhoff, Susanne ; Mohrschladt, Hannes ; Busing, Pascal. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002061.

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2024Information spillover and cross-predictability of currency returns: An analysis via Machine Learning. (2024). Yan, Shu ; Wu, Yangru ; Liu, Yuzheng ; Jia, Yuecheng. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:169:y:2024:i:c:s0378426624002279.

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2025Factor momentum versus price momentum: Insights from international markets. (2025). Fieberg, Christian ; Metko, Daniel ; Zaremba, Adam ; Cakici, Nusret. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002462.

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2025Global currency hedging with ambiguity. (2025). Vasiljevi, Nikola ; Ulrych, Urban. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:172:y:2025:i:c:s0378426624002802.

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2025Global foreign exchange volatility, ambiguity, and currency carry trades. (2025). Sakemoto, Ryuta ; Asano, Takao ; Cai, Xiaojing. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001281.

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2024Conditional risk. (2024). Gormsen, Niels ; Jensen, Christian Skov. In: Journal of Financial Economics. RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001569.

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2024Comparing factor models with price-impact costs. (2024). Martn-Utrera, Alberto ; Demiguel, Victor ; Li, Sicong. In: Journal of Financial Economics. RePEc:eee:jfinec:v:162:y:2024:i:c:s0304405x24001727.

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2025The volatility puzzle of the beta anomaly. (2025). Barroso, Pedro ; Detzel, Andrew ; Maio, Paulo. In: Journal of Financial Economics. RePEc:eee:jfinec:v:165:y:2025:i:c:s0304405x25000029.

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2024Cross-momentum strategies in the equity futures and currency markets. (2024). Sakemoto, Ryuta ; Iwanaga, Yasuhiro. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001578.

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2024Volatility-managed portfolios in the Chinese equity market. (2024). Li, Junye ; Wang, Chuyu. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24003263.

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2024Industry bubbles and unexpected consumption shocks: A cross-sectional explanation of stock returns under recursive preferences. (2024). Lago-Balsalobre, Ruben ; Rojo-Suarez, Javier ; Alonso-Conde, Ana B. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1156-1169.

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2024Mechanisms of overpricing: An investigation on momentum crashes. (2024). Huang, Alex. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:118-142.

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2025Subjective probabilities under behavioral heuristics. (2025). Semenov, Andrei ; Rahman, Oriana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000620.

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2025Volatility forecasting and volatility-timing strategies: A machine learning approach. (2025). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531924005166.

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2024Twitter Economic Uncertainty and Herding Behavior in ESG Markets. (2024). Koutmos, Dimitrios. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:11:p:502-:d:1516484.

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2024Quantitative Portfolio Management: Review and Outlook. (2024). Yew, Rand Kwong ; Senescall, Michael. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2897-:d:1479653.

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2024Optimizing Cryptocurrency Returns: A Quantitative Study on Factor-Based Investing. (2024). Seabe, Phumudzo Lloyd ; Pindza, Edson ; Bambe, Claude Rodrigue. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:9:p:1351-:d:1385677.

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2024Science or scientism? On the momentum illusion. (2024). Grobys, Klaus. In: Annals of Finance. RePEc:kap:annfin:v:20:y:2024:i:4:d:10.1007_s10436-024-00446-5.

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2024Carry Trade Dynamics Under Capital Controls: The Case of China. (2024). Tarzia, Domenico ; Gregoriou, Andros ; Balding, Christopher ; Zhang, Xiao. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:31:y:2024:i:4:d:10.1007_s10690-023-09441-8.

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2024Hidden neighbours: extracting industry momentum from stock networks. (2024). Gorduza, Dragos ; James, Joon Chul ; Park, Seonho. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:38:y:2024:i:4:d:10.1007_s11408-024-00455-4.

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2024Spread Too Thin: REIT Asset Dispersion and Divergence of Opinion. (2024). Sirmans, Stacy G ; Letdin, Mariya. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:2:d:10.1007_s11146-022-09920-1.

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2025Boosting Carry with Equilibrium Exchange Rate Estimates. (2025). Rubaszek, Michał ; Beckmann, Joscha ; Kwas, Marek ; Ca, Michele. In: Open Economies Review. RePEc:kap:openec:v:36:y:2025:i:4:d:10.1007_s11079-024-09795-0.

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2024Market volatility, momentum, and reversal: a switching strategy. (2024). Sadaqat, Mohsin ; Kolari, James W ; Butt, Hilal Anwar. In: Journal of Asset Management. RePEc:pal:assmgt:v:25:y:2024:i:5:d:10.1057_s41260-024-00372-1.

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2025Analysing investor sentiment and stock market volatility of the JSE size-based indices: a GARCH-MIDAS approach. (2025). Isah, Kazeem ; Muzindutsi, Paul-Francois ; Moores-Pitt, Peter ; Naidoo, Thiasha. In: Risk Management. RePEc:pal:risman:v:27:y:2025:i:3:d:10.1057_s41283-025-00165-9.

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2024Research on the effectiveness of the volatility–tail risk-managed portfolios in China’s market. (2024). Jia, Guangyan ; Li, Yihan ; Guo, Zirui. In: Empirical Economics. RePEc:spr:empeco:v:66:y:2024:i:3:d:10.1007_s00181-023-02493-9.

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2025FinTech: a literature review of emerging financial technologies and applications. (2025). Kou, Gang ; Lu, Yang. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00668-6.

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2025Understanding price momentum, market fluctuations, and crashes: insights from the extended Samuelson model. (2025). Han, Qingyuan. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00743-y.

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2025Discretization of continuous-time arbitrage strategies in financial markets with fractional Brownian motion. (2025). Auer, Benjamin R ; Lamert, Kerstin ; Wunderlich, Ralf. In: Mathematical Methods of Operations Research. RePEc:spr:mathme:v:101:y:2025:i:2:d:10.1007_s00186-025-00889-0.

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2024High-Dimensional Time-Varying Coefficient Estimation. (2024). Kim, Donggyu. In: Working Papers. RePEc:ucr:wpaper:202416.

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2024The role of long‐ and short‐run correlation networks in international portfolio selection. (2024). Liu, Yezheng ; Xu, Qifa ; Jiang, Cuixia. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:29:y:2024:i:3:p:3147-3176.

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2025Explaining and Predicting Momentum Performance Shifts Across Time and Sectors. (2025). Thomakos, Dimitrios ; Vlamis, Prodromos ; Mamais, Konstantinos. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:3:p:960-977.

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2025Forecasting the Market Returns And Portfolio Enhancement With Frequency‐Decomposed Institutional Investor Sentiment: Evidence From the Taiwan Futures Market. (2025). Lien, Donald ; Lee, Hsiuchuan ; Chang, Shulien ; Wang, Yihsien. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:6:p:521-546.

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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]		article90
2022Crowding and Tail Risk in Momentum Returns In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article1
2024The risk–return tradeoff among equity factors In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article3
2015Momentum has its moments In: Journal of Financial Economics.
[Full Text][Citation analysis]		article272
2021Time-varying state variable risk premia in the ICAPM In: Journal of Financial Economics.
[Full Text][Citation analysis]		article8
2021Do limits to arbitrage explain the benefits of volatility-managed portfolios? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article27
2022Hedging with an Edge: Parametric Currency Overlay In: Management Science.
[Full Text][Citation analysis]		article6
2022Lest We Forget: Learn from Out-of-Sample Forecast Errors When Optimizing Portfolios In: The Review of Financial Studies.
[Full Text][Citation analysis]		article7

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