Pedro Barroso

UNSW Australia Business School, School of Banking and Finance

Senior Lecturer

Sydney, NSW 2052

Australia

View CV
SCHOLARLY PAPERS

8

DOWNLOADS
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SSRN RANKINGS

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8,049

CITATIONS
Rank 27,039

SSRN RANKINGS

Top 27,039

in Total Papers Citations

9

Scholarly Papers (8)

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
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 4,228 (979)
Citation 3

Abstract:

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
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 1,405 (6,973)
Citation 6

Abstract:

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

3.

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
UNSW Australia Business School, School of Banking and Finance
Downloads 261 (62,947)

Abstract:

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

4.

Time-Varying Predictability of Consumption Growth, Macro-Uncertainty, and Risk Premiums

Number of pages: 49 Posted: 17 Mar 2017
Pedro Barroso, Martijn Boons and Paul Karehnke
UNSW Australia Business School, School of Banking and Finance, New University of Lisbon - Nova School of Business and Economics and UNSW Australia Business School, School of Banking and Finance
Downloads 0 (404,448)

Abstract:

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

5.

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 35 Posted: 02 Feb 2017
Pedro Barroso and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 0 (121,910)

Abstract:

Asset Pricing, Risk-Return Tradeoff, Risk Factors, Market Anomalies, Realized Volatility, Predictability of Stock Returns, Profitability, Asset Growth

6.

Managing the Risk of the 'Betting-Against-Beta' Anomaly: Does It Pay to Bet Against Beta?

Number of pages: 41 Posted: 29 Nov 2016 Last Revised: 17 Jan 2017
Pedro Barroso and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 0 (79,222)

Abstract:

Betting-against-beta, BAB, volatility managed portfolios, momentum, market anomalies

7.

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
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 0 (377,985)

Abstract:

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

8.

Using Out-Of-Sample Errors in Portfolio Optimization

Number of pages: 45 Posted: 29 Apr 2016 Last Revised: 15 Aug 2016
Pedro Barroso
UNSW Australia Business School, School of Banking and Finance
Downloads 0 (129,143)

Abstract:

Portfolio Optimization, Estimation Error, Covariance Matrix, Risk Management