Pedro Barroso

CATÓLICA-LISBON School of Business & Economics

Palma de Cima

Lisbon, Lisboa 1649-023

Portugal

http://https://clsbe.lisboa.ucp.pt/person/pedro-monteiro-e-silva-barroso

SCHOLARLY PAPERS

17

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14,631

SSRN CITATIONS
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Top 7,927

in Total Papers Citations

128

CROSSREF CITATIONS

36

Scholarly Papers (17)

1.

Momentum Has Its Moments

Journal of Financial Economics (JFE), vol. 116, Issue 1, 2015, 111-120
Number of pages: 39 Posted: 18 Apr 2012 Last Revised: 20 Nov 2015
Pedro Barroso and Pedro Santa-Clara
CATÓLICA-LISBON School of Business & Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 7,571 (959)
Citation 89

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Stock momentum, risk management, anomalies

2.

Beyond the Carry Trade: Optimal Currency Portfolios

Journal of Financial and Quantitative Analysis (JFQA), Vol. 50, No. 5, 2015
Number of pages: 43 Posted: 18 Apr 2012 Last Revised: 01 May 2016
Pedro Barroso and Pedro Santa-Clara
CATÓLICA-LISBON School of Business & Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 2,059 (8,921)
Citation 32

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forward rate premium, carry trade, currency market, optimal portfolios

3.

Managing the risk of the low risk anomaly

30th Australasian Finance and Banking Conference 2017
Number of pages: 54 Posted: 29 Nov 2016 Last Revised: 16 Jun 2020
Pedro Barroso, Andrew L. Detzel and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics, University of Denver - Daniels College of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 1,193 (21,052)
Citation 8

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Betting-against-beta, time-varying risk, realized volatility, scaled factors, market anomalies, lotteries, leverage constraints

4.
Downloads 979 ( 28,084)
Citation 3

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 66 Posted: 02 Feb 2017 Last Revised: 27 May 2021
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 583 (56,110)
Citation 1

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Asset pricing, risk-return trade-off, ICAPM, realized volatility, profitability and investment factors

The Risk-Return Trade-Off Among Equity Factors

Number of pages: 66 Posted: 16 Jul 2017 Last Revised: 27 May 2021
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 286 (129,186)
Citation 1

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Asset pricing, risk-return trade-off, ICAPM, realized volatility, profitability and investment factors

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 66 Posted: 02 Jun 2017 Last Revised: 27 May 2021
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 110 (300,028)
Citation 1

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Asset pricing, risk-return trade-off, ICAPM, realized volatility, profitability and investment factors

5.

Lest we forget: learn from out-of-sample forecast errors when optimizing portfolios

Review of Financial Studies (RFS), forthcoming
Number of pages: 62 Posted: 29 Apr 2016 Last Revised: 27 Apr 2021
Pedro Barroso and Konark Saxena
CATÓLICA-LISBON School of Business & Economics and University of New South Wales
Downloads 582 (56,890)
Citation 1

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Portfolio Optimization, Estimation Error, Covariance Matrix, Risk Management

6.

The Bottom-Up Beta of Momentum

29th Australasian Finance and Banking Conference 2016
Number of pages: 21 Posted: 11 Sep 2012 Last Revised: 04 Oct 2016
Pedro Barroso
CATÓLICA-LISBON School of Business & Economics
Downloads 510 (66,995)
Citation 6

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Momentum, time-varying beta, momentum crashes, risk management

7.

Time-Varying State Variable Risk Premia in an ICAPM

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 17 Mar 2017 Last Revised: 01 Feb 2020
Pedro Barroso, Martijn Boons and Paul Karehnke
CATÓLICA-LISBON School of Business & Economics, Tilburg University and ESCP Business School
Downloads 356 (102,492)
Citation 8

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Conditional Asset Pricing Models, State Variable Risk Premiums, Intertemporal CAPM, Time-Varying Consumption Predictability

8.

Do Limits to Arbitrage Explain the Benefits of Volatility-Managed Portfolios?

Journal of Financial Economics (JFE), Volume 140, Issue 3, June 2021, Pages 744-767
Number of pages: 40 Posted: 18 Dec 2017 Last Revised: 03 Jun 2021
Pedro Barroso and Andrew L. Detzel
CATÓLICA-LISBON School of Business & Economics and University of Denver - Daniels College of Business
Downloads 343 (106,807)
Citation 2

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Volatility-managed portfolios, limits to arbitrage, anomalies

9.

Crowding and Tail Risk in Momentum Returns

Number of pages: 69 Posted: 01 Oct 2017 Last Revised: 17 Oct 2020
Pedro Barroso, Roger M. Edelen and Paul Karehnke
CATÓLICA-LISBON School of Business & Economics, Virginia Tech and ESCP Business School
Downloads 326 (113,035)
Citation 11

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Momentum, crash risk, institutional investors, crowded trade, destabilize

10.

Hedging with an Edge: Parametric Currency Overlay

30th Australasian Finance and Banking Conference 2017
Number of pages: 39 Posted: 18 Aug 2017 Last Revised: 13 Dec 2017
CATÓLICA-LISBON School of Business & Economics, Liechtenstein University and Hochschule Liechtenstein - Institute of Financial Services
Downloads 158 (226,333)

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Foreign exchange, currency market, currency overlay.

11.

What Explains Price Momentum and 52-Week High Momentum When They Really Work?

Number of pages: 67 Posted: 30 Nov 2020 Last Revised: 02 Feb 2021
Pedro Barroso and Haoxu Wang
CATÓLICA-LISBON School of Business & Economics and UNSW Business School
Downloads 153 (232,349)
Citation 1

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Conditional Asset Pricing; Momentum; 52-Week High; Investor Underreaction; Investment CAPM; Momentum Risk; Market States

12.

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 66 Posted: 26 Jan 2018 Last Revised: 27 May 2021
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 153 (232,349)

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Asset pricing, risk-return trade-off, ICAPM, realized volatility, profitability and investment factors

13.

Internet Appendix to Beyond the Carry Trade: Optimal Currency Portfolios

Journal of Financial and Quantitative Analysis, 50, October 2015
Number of pages: 15 Posted: 01 May 2016
Pedro Barroso and Pedro Santa-Clara
CATÓLICA-LISBON School of Business & Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 94 (331,247)

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forward rate premium, carry trade, currency market, optimal portfolios

14.

Cutting the Gordian Knot of Carry and Imbalances

Number of pages: 49 Posted: 27 Aug 2018 Last Revised: 08 Jun 2021
Pedro Barroso, Frickson Kho, Florent Rouxelin and Li Yang
CATÓLICA-LISBON School of Business & Economics, UNSW Business School, University of New South Wales (UNSW) and UNSW Australia Business School, School of Banking and Finance
Downloads 71 (391,050)
Citation 5

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Carry trades; Global imbalances; Net foreign assets; Currency risk premiums.

15.

Let the Parametric Phoenix Fly

Number of pages: 41 Posted: 18 Jul 2019
CATÓLICA-LISBON School of Business & Economics, Hochschule Liechtenstein - Institute of Financial Services and UBS AG
Downloads 57 (437,244)

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asset allocation, currency overlay, portfolio choice, portfolio optimization

16.

Internet Appendix for Lest We Forget: Using Out-Of-Sample Forecast Errors in Portfolio Optimization

Number of pages: 37 Posted: 09 Jan 2019
Pedro Barroso and Konark Saxena
CATÓLICA-LISBON School of Business & Economics and University of New South Wales
Downloads 24 (594,110)
Citation 3

Abstract:

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portfolio optimization, out-of-sample robustness, covariance matrix, risk management

17.

The Risk-Return Trade-Off Among Equity Factors

Number of pages: 46 Posted: 01 Oct 2018
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 2 (758,034)

Abstract:

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Asset pricing, risk-return trade-off, risk factors, market anomalies, realized volatility, predictability of stock returns, pro fitability and investment factors, momentum