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

18

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17,942

SSRN CITATIONS
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Top 7,250

in Total Papers Citations

142

CROSSREF CITATIONS

38

Scholarly Papers (18)

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 Nova School of Business and Economics
Downloads 8,715 (989)
Citation 96

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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 Nova School of Business and Economics
Downloads 2,249 (9,828)
Citation 34

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

3.

Managing the Risk of the Beta Anomaly

30th Australasian Finance and Banking Conference 2017
Number of pages: 43 Posted: 29 Nov 2016 Last Revised: 28 Jun 2021
Pedro Barroso, Andrew L. Detzel and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics, Baylor University - Hankamer School of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 1,432 (19,957)
Citation 9

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

4.
Downloads 1,111 ( 29,064)
Citation 3

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 70 Posted: 02 Feb 2017 Last Revised: 22 Aug 2022
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 676 (56,511)
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: 70 Posted: 16 Jul 2017 Last Revised: 22 Aug 2022
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 315 (140,777)
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: 70 Posted: 02 Jun 2017 Last Revised: 22 Aug 2022
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 120 (335,937)
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 849 (42,359)
Citation 1

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Portfolio Optimization, Estimation Error, Covariance Matrix, Risk Management

6.

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 605 (66,138)
Citation 11

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

7.

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 566 (71,930)
Citation 6

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

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 Baylor University - Hankamer School of Business
Downloads 474 (89,419)
Citation 2

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Volatility-managed portfolios, limits to arbitrage, anomalies

9.

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 411 (105,583)
Citation 8

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

10.

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

Number of pages: 62 Posted: 30 Nov 2020 Last Revised: 28 Nov 2022
Pedro Barroso and Haoxu Wang
CATÓLICA-LISBON School of Business & Economics and UNSW Business School
Downloads 403 (108,343)
Citation 2

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

11.

The Volatility Puzzle of the Low-Risk Anomaly

Number of pages: 48 Posted: 12 Jul 2021 Last Revised: 11 Oct 2021
Pedro Barroso, Andrew L. Detzel and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics, Baylor University - Hankamer School of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 327 (136,603)

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Betting-against-beta, time-varying risk, realized volatility, risk factors, scaled factors, anomalies, lottery preferences, leverage constraints

12.

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 198 (223,957)
Citation 1

Abstract:

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Foreign exchange, currency market, currency overlay.

13.

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 70 Posted: 26 Jan 2018 Last Revised: 22 Aug 2022
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 190 (231,249)
Citation 2

Abstract:

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

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 123 (328,588)
Citation 5

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

15.

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 Nova School of Business and Economics
Downloads 110 (355,395)

Abstract:

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

16.

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 105 (366,789)

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asset allocation, currency overlay, portfolio choice, portfolio optimization

17.

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 58 (517,980)
Citation 3

Abstract:

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

18.

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 16 (771,520)

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