Thiago de Oliveira Souza

University of Southern Denmark

Campusvej 55

DK-5230 Odense, 5000

Denmark

Danish Finance Institute

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 32,389

in Total Papers Downloads

1,602

SSRN CITATIONS

0

CROSSREF CITATIONS

2

Scholarly Papers (14)

1.
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

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

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

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

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

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.