Thiago de Oliveira Souza

University of Southern Denmark

Campusvej 55

DK-5230 Odense, 5000

Denmark

Danish Finance Institute

  • University of Southern Denmark

  • Danish Finance Institute

SCHOLARLY PAPERS

14

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2

Scholarly Papers (14)

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1.

A Critique of Momentum Anomalies

Downloads 319 (106,119)

A Critique of Momentum Anomalies

Number of pages: 47 Posted: 28 Aug 2018 Last Revised: 29 Sep 2020
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 236 (144,566)

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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
University of Southern Denmark
Downloads 83 (334,592)

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Momentum, Risk, Puzzle, Ranking, Conditional

2.

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

Downloads 268 (127,695)
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
University of Southern Denmark
Downloads 217 (156,823)

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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
University of Southern Denmark
Downloads 51 (433,892)
Citation 1

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

3.

Externalities, Incentives, Government Failure, and the Coronavirus Outbreak

Number of pages: 20 Posted: 01 May 2020
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 169 (197,118)

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

4.

Strategic Asset Allocation with Heterogeneous Beliefs

Number of pages: 35 Posted: 05 Mar 2009 Last Revised: 15 Nov 2011
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 161 (205,474)

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

5.

The X-value factor and the solution of the value premium puzzle

Downloads 159 (207,620)

The X-value factor and the solution of the value premium puzzle

Number of pages: 44 Posted: 08 Apr 2019 Last Revised: 01 Jul 2020
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 122 (257,422)

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Risk premiums, stock returns, 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
University of Southern Denmark
Downloads 37 (494,662)

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

6.

On the Dynamics of Changing Correlations: Identification and Stock Returns

Downloads 145 (224,062)

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: 76 Posted: 21 Nov 2017 Last Revised: 05 Oct 2020
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 111 (275,861)

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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
University of Southern Denmark
Downloads 34 (509,752)

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

7.

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
University of Southern Denmark
Downloads 143 (226,605)

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

8.

Consumption, Government Failure, and Asset Prices

Downloads 70 (365,459)

Consumption, Government Failure, and Asset Prices

Number of pages: 46 Posted: 26 Jun 2018 Last Revised: 09 Oct 2019
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 49 (441,732)

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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
University of Southern Denmark
Downloads 21 (590,659)

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Equity Premium Puzzle, Intervention, Regulation, Risk

9.

Predictability Concentrates in Bad Times. And so Does Disagreement

Downloads 61 (392,459)

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
University of Southern Denmark
Downloads 34 (509,752)

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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
University of Southern Denmark
Downloads 27 (549,873)

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

10.

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

Number of pages: 28 Posted: 16 Sep 2019 Last Revised: 15 Nov 2019
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 42 (461,997)

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predictability, out-of-sample, equity premium, disaggregated

11.

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
University of Southern Denmark
Downloads 40 (470,569)

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

12.

Observable Implications of the Conditional CAPM

Number of pages: 22 Posted: 18 Mar 2020
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 25 (546,609)

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

13.

Two out-of-sample forecasting models of the equity premium

Number of pages: 20
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 0

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

14.

Dollar Carry Timing

Number of pages: 74
Thiago de Oliveira Souza
University of Southern Denmark
Downloads 0

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