Thiago de Oliveira Souza

affiliation not provided to SSRN

University of Southern Denmark

Campusvej 55

DK-5230 Odense, 5000

Denmark

  • University of Southern Denmark

SCHOLARLY PAPERS

14

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2,247

SSRN CITATIONS

2

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2

Ideas:
“  Currently comparing the performance of ("elite") academics relative to industry professionals as money managers.  ”

  • University of Southern Denmark

Scholarly Papers (14)

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1.

Macro-Finance and Factor Timing: Time-Varying Factor Risk and Price of Risk Premiums

Downloads 375 (103,760)
Citation 1

Macro-Finance and Factor Timing: Time-Varying Factor Risk and Price of Risk Premiums

Number of pages: 55 Posted: 26 Dec 2018 Last Revised: 04 May 2020
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 320 (122,891)

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Out of sample, factor timing, time-varying risk, macro-finance, Fama and French

Macro-Finance and Factor Timing: Time-Varying Factor Risk and Price of Risk Premiums

Discussion Papers on Business and Economics, University of Southern Denmark, 7/2019
Number of pages: 42 Posted: 15 May 2019
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 55 (480,412)
Citation 1

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Out of Sample, Factor Timing, Time-Varying Risk, Macro-Finance, Fama and French

2.

A Critique of Momentum Anomalies

Downloads 356 (109,920)

A Critique of Momentum Anomalies

Number of pages: 47 Posted: 28 Aug 2018 Last Revised: 29 Sep 2020
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 269 (147,616)

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momentum, risk, puzzle, ranking, conditional

A Critique of Momentum Anomalies

Discussion Papers on Business and Economics, University of Southern Denmark, Forthcoming
Number of pages: 51 Posted: 16 Mar 2019
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 87 (373,699)

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Momentum, Risk, Puzzle, Ranking, Conditional

3.

Externalities, Incentives, Government Failure, and the Coronavirus Outbreak

Downloads 231 (172,136)

Externalities, Incentives, Government Failure, and the Coronavirus Outbreak

Number of pages: 20 Posted: 01 May 2020
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 204 (193,314)

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Externalities, government failure, Coronavirus, COVID-19, pandemic

Externalities, Incentives, Government Failure, and the Coronavirus Outbreak

Discussion Papers on Business and Economics, University of Southern Denmark, 12/2020
Number of pages: 21 Posted: 11 Nov 2020
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 27 (628,028)

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Externalities, government failure, Coronavirus, COVID-19, pandemic

4.

The X-value factor - A tale of the systematic failure of academia in the real world

Downloads 206 (191,773)

The X-value factor - A tale of the systematic failure of academia in the real world

Number of pages: 41 Posted: 08 Apr 2019 Last Revised: 05 Mar 2021
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 156 (244,728)

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Risk premiums, Fama and French, cash flow forecasting, out of sample.

The X-Value Factor

Discussion Paper on Business and Economics, University of Southern Denmark, 2/2020
Number of pages: 41 Posted: 17 Mar 2020
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 50 (501,669)

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Risk Premiums, Stock Returns, Fama and French, Cash Flow Forecasting, Out of Sample

5.

Price of Risk Fluctuations and the Size Premium

Discussion Papers on Business and Economics, University of Southern Denmark, 3/2016
Number of pages: 50 Posted: 18 Jun 2016 Last Revised: 02 Feb 2020
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 182 (214,308)

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Size factor, conditional tests, subsamples, CAPM, Fama and French

6.

Strategic Asset Allocation with Heterogeneous Beliefs

Number of pages: 35 Posted: 05 Mar 2009 Last Revised: 15 Nov 2011
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 164 (234,177)

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asset pricing, intertemporal asset allocation, heterogeneous beliefs, adaptative learning

7.

On the Dynamics of Changing Correlations: Identification and Stock Returns

Downloads 160 (240,382)

On the Dynamics of Changing Correlations: Identification and Stock Returns

Previously circulated as: "Correlation, causation, and stock returns" and "Size-Related Risk Premiums", Discussion Papers on Business and Economics, University of Southern Denmark, 3/2018
Number of pages: 89 Posted: 21 Nov 2017 Last Revised: 10 Nov 2020
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 122 (298,943)

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Size premium, value premium, correlation, causation, missing risk

Size-Related Risk Premiums

Discussion Papers on Business and Economics, University of Southern Denmark, 3/2018
Number of pages: 51 Posted: 05 May 2018 Last Revised: 06 Apr 2019
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 38 (560,761)

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Size Premium, Value Premium, Risk, Conditional, Portfolio Sorts

8.

Dollar Carry Timing

Downloads 128 (285,436)

Dollar Carry Timing

Discussion Papers on Business and Economics, University of Southern Denmark, 10/2020
Number of pages: 75 Posted: 12 Jan 2021
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 74 (411,741)

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carry trade, risk premium, business cycle, microeconomic dispersion, foreign exchange

Dollar Carry Timing

Number of pages: 72 Posted: 03 Dec 2020 Last Revised: 10 Mar 2021
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 54 (484,407)

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Carry trade, risk premium, business cycle, microeconomic dispersion, foreign exchange.

9.

Observable Implications of the Conditional CAPM

Downloads 84 (378,411)

Observable Implications of the Conditional CAPM

Number of pages: 23 Posted: 18 Mar 2020 Last Revised: 08 Jan 2021
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 54 (484,407)

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Conditional CAPM, anomalies, test, proxy, mean-variance frontier

Observable Implications of the Conditional CAPM

Discussion Papers on Business and Economics, University of Southern Denmark, 13/2020
Number of pages: 24 Posted: 19 Jan 2021
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 30 (607,777)

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Conditional CAPM, Anomalies, Test, Proxy, Mean-Variance Frontier

10.

Two Out-of-Sample Forecasting Models of the Equity Premium

Downloads 79 (392,300)
Citation 1

Two Out-of-Sample Forecasting Models of the Equity Premium

Number of pages: 20 Posted: 30 Dec 2020
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 59 (464,481)
Citation 1

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predictability, out-of-sample, equity premium, disaggregated book-to-markets

Two Out-of-Sample Forecasting Models of the Equity Premium

Discussion Papers on Business and Economics, University of Southern Denmark, 11/2020
Number of pages: 21 Posted: 12 Jan 2021
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 20 (680,712)

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predictability, out-of-sample, equity premium, disaggregated book-to-markets

11.

Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios

Critical Finance Review
Number of pages: 15 Posted: 16 Sep 2019 Last Revised: 18 Feb 2021
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 79 (392,300)

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Predictability, out-of-sample, equity premium, disaggregated book-to-markets.

12.

Consumption, Government Failure, and Asset Prices

Downloads 79 (392,300)

Consumption, Government Failure, and Asset Prices

Number of pages: 46 Posted: 26 Jun 2018 Last Revised: 09 Oct 2019
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 55 (480,412)

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government failure, equity premium puzzle, intervention, regulation, risk

Red Tape Asset Pricing

Discussion Papers on Business and Economics, University of Southern Denmark, 8/2018
Number of pages: 43 Posted: 26 Dec 2018 Last Revised: 29 Jan 2019
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 24 (649,949)

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Equity Premium Puzzle, Intervention, Regulation, Risk

13.

Predictability Concentrates in Bad Times. And so Does Disagreement

Downloads 75 (404,065)

Predictability Concentrates in Bad Times. And so Does Disagreement

Discussion Papers on Business and Economics, University of Southern Denmark, 8/2019
Number of pages: 27 Posted: 31 Aug 2019
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 42 (539,852)

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Predictability Concentrates in Bad Times. And so Does Disagreement

Number of pages: 26 Posted: 15 May 2019 Last Revised: 26 Jun 2019
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 33 (589,252)

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predictability, bad times, efficient market hypothesis, disagreement, rational expectations

14.

A Cross-sectional Theory of Price of Risk (and Risk) Proxies

Number of pages: 17 Posted: 08 Apr 2019 Last Revised: 08 May 2019
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 49 (497,185)

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Value premium, value spread, dividend-price, price of risk proxies, ranking.