Thiago de Oliveira Souza

University of Southern Denmark

Campusvej 55

DK-5230 Odense, 5000

Denmark

affiliation not provided to SSRN

  • University of Southern Denmark

SCHOLARLY PAPERS

14

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2

CROSSREF CITATIONS

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 480 (91,235)
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 413 (107,570)

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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 67 (507,946)
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 400 (112,681)

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 300 (153,353)

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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 100 (398,484)

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Momentum, Risk, Puzzle, Ranking, Conditional

3.

Externalities, Incentives, Government Failure, and the Coronavirus Outbreak

Downloads 256 (182,057)

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 218 (211,385)

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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 38 (655,952)

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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 243 (190,944)

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 179 (253,077)

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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 64 (520,434)

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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 215 (215,478)

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

6.

On the Dynamics of Changing Correlations: Identification and Stock Returns

Downloads 186 (244,636)

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 136 (318,375)

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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 50 (586,542)

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

7.

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 177 (255,380)

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

8.

Dollar Carry Timing

Downloads 168 (267,291)

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 103 (390,485)

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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 65 (516,257)

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

9.

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

Suggested Citation: Thiago de Oliveira Souza (2022), "Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios", Critical Finance Review: Vol. 11: No. 2, pp 361-373. http://dx.doi.org/10.1561/104.00000116
Number of pages: 13 Posted: 16 Sep 2019 Last Revised: 09 May 2022
Thiago de Oliveira Souza and Thiago de Oliveira Souza
University of Southern Denmarkaffiliation not provided to SSRN
Downloads 118 (352,544)

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

10.

Observable Implications of the Conditional CAPM

Downloads 112 (365,917)

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 73 (484,549)

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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 39 (649,768)

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

11.

Consumption, Government Failure, and Asset Prices

Downloads 99 (398,088)

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 68 (503,924)

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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 31 (704,427)

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Equity Premium Puzzle, Intervention, Regulation, Risk

12.

Predictability Concentrates in Bad Times. And so Does Disagreement

Downloads 95 (408,931)

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 52 (576,254)

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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 43 (625,377)

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

13.

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

Downloads 94 (411,739)
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 67 (507,946)
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 27 (735,802)

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

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 59 (533,632)

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