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Maio, Paulo F.'s
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
3,139 |
Total
Citations
27 |
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1.
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The FED Model and Expected Asset Returns
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Maio, Paulo F.
Hanken School of Economics
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Posted:
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17 Mar 08
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Last Revised:
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26 Jan 13
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880
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6
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Maio, Paulo F.
Hanken School of Economics
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30 Mar 09
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Last Revised:
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26 Jan 13
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412
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6
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Predictability of stock returns, Asset pricing, Fed model, Earnings yield, Dividend yield, Long-horizon regressions, Out-of-sample predictability, Yield gap, Return decomposition, VAR implied predictability, Joint return-dividend-earnings predictability, Economic significance of predictability
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Maio, Paulo F.
Hanken School of Economics
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17 Mar 08
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Last Revised:
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14 Dec 08
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468
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Asset Pricing, FED Model, Earnings yield, Bond yield, Predictability of Returns, Stock and Bond Returns, Out-of-sample predictability, Yield gap
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2.
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Return Dispersion and the Predictability of Stock Returns
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Maio, Paulo F.
Hanken School of Economics
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Posted:
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17 Jan 12
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Last Revised:
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14 Oct 12
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437
(30,760)
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Maio, Paulo F.
Hanken School of Economics
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216
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asset pricing, return dispersion, predictability of stock returns, out-of-sample predictability, stock market volatility, CAPM, size, value, and momentum anomalies
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Maio, Paulo F.
Hanken School of Economics
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17 Jan 12
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Last Revised:
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14 Oct 12
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221
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asset pricing, return dispersion, predictability of stock returns, out-of-sample predictability, stock market volatility, CAPM size, value and momentum anomalies
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3.
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Maio, Paulo F.
Hanken School of Economics
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31 Jan 08
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Last Revised:
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23 Nov 12
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348
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5
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Monetary policy and stock returns, Federal Funds rate, Stock characteristics, Return decomposition, Predictability of returns, Cash flow news, Discount rate news, financial constraints
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4.
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Maio, Paulo F.
Hanken School of Economics
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17 Mar 08
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Last Revised:
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25 Jan 13
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293
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2
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Asset pricing, Asset pricing models, Linear multifactor models, Intertemporal CAPM, Predictability of returns, Return decomposition, cash flow news, discount rate news, Dimson betas, Conditional asset pricing models
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5.
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Maio, Paulo F.
Hanken School of Economics Santa-Clara, Pedro
Nova School of Business and Economics
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08 Oct 12
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Last Revised:
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28 Apr 13
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259
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3
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asset pricing, predictability of stock returns, dividend-growth predictability, long-horizon regressions, dividend yield, VAR implied predictability, present-value model, size premium, value premium, cross-section of stocks
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6.
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Maio, Paulo F.
Hanken School of Economics Santa-Clara, Pedro
Nova School of Business and Economics
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17 Jan 12
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Last Revised:
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18 Apr 13
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161
(92,837)
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Cross-section of stock returns, Asset pricing, Intertemporal CAPM, Conditional CAPM, Conditioning information, State variables, Linear multifactor models, Predictability of returns, Fama-French factors, Value premium, Momentum, Long-term reversal in returns, Investment anomaly
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7.
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Maio, Paulo F.
Hanken School of Economics
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02 Nov 12
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Last Revised:
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21 Dec 12
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157
(95,036)
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2
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asset pricing, predictability of stock returns, earnings-growth predictability, long-horizon regressions, earnings yield, VAR implied predictability, present-value model, dividend payout ratio
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8.
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Maio, Paulo F.
Hanken School of Economics Philip, Dennis
Durham University Business School
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15 Mar 12
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Last Revised:
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03 Jun 13
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146
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asset pricing, stock and bond returns, return decomposition, return predictability, discount-rate news, cash-flow news, bond-premia news, stock-bond correlation, Intertemporal CAPM, cross-section of returns, macroeconomic factors, principal components
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9.
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Intertemporal CAPM with Conditioning Variables
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Versions (2)
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Maio, Paulo F.
Hanken School of Economics
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Posted:
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04 Jun 07
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Last Revised:
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26 Jan 13
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558
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7
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Maio, Paulo F.
Hanken School of Economics
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17 Mar 09
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Last Revised:
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26 Jan 13
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144
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7
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Asset pricing, Asset pricing models, Conditional pricing models, Equity premia, ICAPM, Linear multifactor models, Predictability of returns, Risk aversion, Time-varying risk aversion, Momentum
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Maio, Paulo F.
Hanken School of Economics
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04 Jun 07
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Last Revised:
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06 Mar 12
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414
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Asset Pricing, Conditional Asset Pricing Models, Intertemporal CAPM, Linear Multifactor Models, Predictability of Returns, Time-Varying Risk Aversion, Momentum
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10.
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Maio, Paulo F.
Hanken School of Economics
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11 Mar 12
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Last Revised:
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22 Dec 12
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118
(121,709)
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asset pricing, predictability of stock returns, monetary policy and stock returns, out-of-sample predictability, economic significance of predictability, Federal Funds rate, stock rotation strategies, market-timing strategies, asset allocation, portfolio choice, size, value and momentum anomalies
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11.
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Lioui, Abraham
EDHEC Business School Maio, Paulo F.
Hanken School of Economics
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| Posted: |
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04 Apr 10
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Last Revised:
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27 Feb 13
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111
(126,754)
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2
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Asset pricing models, Consumption CAPM, Interest rates, Opportunity cost of money, Equity premium, Risk-free rate puzzle, Linear multifactor models, Crosssection of stock returns, Size and value anomalies
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12.
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Maio, Paulo F.
Hanken School of Economics Philip, Dennis
Durham University Business School
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| Posted: |
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29 Apr 13
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Last Revised:
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13 May 13
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47
(208,021)
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asset pricing, cross-section of stock returns, risk-return tradeoff, macro risk factors, linear multifactor models, Intertemporal CAPM, conditional CAPM, predictability of stock returns, value premium, long-term reversal in returns, factor analysis, principal components
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13.
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Maio, Paulo F.
Hanken School of Economics Philip, Dennis
Durham University Business School
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38
(228,571)
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financial markets and the economy, forecasting macro variables, asset pricing, stock-bond correlation, cross-section of stock returns, predictability of stock returns, out-of-sample predictability, factor analysis, principal components, cash flow news and discount rate news, return decomposition
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