Pedro Barroso

UNSW Australia Business School, School of Banking and Finance

Senior Lecturer

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

12

DOWNLOADS
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SSRN RANKINGS

Top 3,367

in Total Papers Downloads

9,792

CITATIONS
Rank 26,962

SSRN RANKINGS

Top 26,962

in Total Papers Citations

9

Scholarly Papers (12)

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 (997)
Citation 3

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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
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 1,405 (7,191)
Citation 6

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

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 420 (58,849)

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

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 35 Posted: 16 Jul 2017 Last Revised: 01 Oct 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 173 (151,544)

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Asset pricing, risk-return tradeoff, risk factors, market anomalies, realized volatility, predictability of stock returns, profitability, asset growth

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 35 Posted: 02 Jun 2017 Last Revised: 18 Aug 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 86 (259,691)

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

4.

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 (59,749)

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

5.

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 35 Posted: 26 Jan 2018
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 (352,646)

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Asset pricing, risk-return tradeoff, risk factors, market anomalies, realized volatility, predictability of stock returns, profitability, asset growth

6.

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

Number of pages: 44 Posted: 18 Dec 2017 Last Revised: 16 Feb 2018
Pedro Barroso and Andrew L. Detzel
UNSW Australia Business School, School of Banking and Finance and University of Denver - Daniels College of Business
Downloads 0 (546,136)

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Volatility-managed portfolios, limits to arbitrage, anomalies

7.

Institutional Crowding and the Moments of Momentum

Number of pages: 62 Posted: 01 Oct 2017 Last Revised: 04 Oct 2017
Pedro Barroso, Roger M. Edelen and Paul Karehnke
UNSW Australia Business School, School of Banking and Finance, University of California, Davis - Graduate School of Management and UNSW Australia Business School, School of Banking and Finance
Downloads 0 (261,327)

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

8.

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
UNSW Australia Business School, School of Banking and Finance, Hochschule Liechtenstein and Hochschule Liechtenstein - Institute of Financial Services
Downloads 0 (453,535)

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Foreign exchange, currency market, currency overlay.

9.

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

30th Australasian Finance and Banking Conference 2017, Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 57 Posted: 17 Mar 2017 Last Revised: 04 Nov 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 (198,554)

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

10.

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

30th Australasian Finance and Banking Conference 2017
Number of pages: 49 Posted: 29 Nov 2016 Last Revised: 20 Dec 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 (32,944)

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

11.

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 (355,658)

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

12.

Lest we forget: Using Out-Of-Sample Errors in Portfolio Optimization

Number of pages: 48 Posted: 29 Apr 2016 Last Revised: 14 Jun 2017
Pedro Barroso
UNSW Australia Business School, School of Banking and Finance
Downloads 0 (102,222)

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Portfolio Optimization, Estimation Error, Covariance Matrix, Risk Management