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

15

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21,951

SSRN CITATIONS
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Top 5,897

in Total Papers Citations

284

CROSSREF CITATIONS

30

Scholarly Papers (15)

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 10,616 (980)
Citation 124

Abstract:

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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 2,511 (10,884)
Citation 58

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

3.

The Volatility Puzzle of the Beta Anomaly

Number of pages: 59 Posted: 12 Jul 2021 Last Revised: 06 Mar 2023
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 2,093 (14,551)
Citation 4

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

4.

The Risk-Return Tradeoff Among Equity Factors

Journal of Empirical Finance (forthcoming)
Number of pages: 51 Posted: 02 Feb 2017 Last Revised: 12 Jun 2024
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 1,526 (23,810)
Citation 1

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Asset pricing, risk-return tradeoff, ICAPM, realized volatility, profitability and investment factors JEL classification: G11, G12, G17

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 1,045 (41,301)
Citation 7

Abstract:

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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 771 (62,823)
Citation 11

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

7.

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 736 (66,798)
Citation 1

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

8.

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 635 (80,521)
Citation 6

Abstract:

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

9.

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 613 (84,169)
Citation 2

Abstract:

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Volatility-managed portfolios, limits to arbitrage, anomalies

10.

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, Nova School of Business and Economics and ESCP Business School
Downloads 521 (103,260)
Citation 8

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

11.

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 University of Strathclyde
Downloads 263 (220,617)
Citation 8

Abstract:

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Foreign exchange, currency market, currency overlay.

12.

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, Florida International University and UNSW Australia Business School, School of Banking and Finance
Downloads 189 (301,504)
Citation 5

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

13.

An International Equity and Currency Optimisation with Frictions

Number of pages: 48 Posted: 18 Jul 2019 Last Revised: 21 Jul 2023
CATÓLICA-LISBON School of Business & Economics, University of Strathclyde, UBS AG and Florida International University
Downloads 174 (324,589)

Abstract:

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asset allocation, currency overlay, portfolio choice, portfolio optimization

14.

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 146 (376,355)

Abstract:

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

15.

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 112 (461,108)
Citation 3

Abstract:

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