Pedro Barroso

UNSW Australia Business School, School of Banking and Finance

Senior Lecturer

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

13

DOWNLOADS
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Top 3,181

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10,685

CITATIONS
Rank 28,660

SSRN RANKINGS

Top 28,660

in Total Papers Citations

8

Scholarly Papers (13)

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 5,925 (991)
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 1,835 (7,432)
Citation 5

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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: 58 Posted: 29 Nov 2016 Last Revised: 31 Jul 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 834 (25,994)

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

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 471 (54,017)

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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: 46 Posted: 16 Jul 2017 Last Revised: 23 Jun 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 219 (127,159)

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

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 92 (259,537)

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

5.

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 433 (60,215)

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

6.

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 294 (95,844)

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Portfolio Optimization, Estimation Error, Covariance Matrix, Risk Management

7.

Time-Varying State Variable Risk Premia in an ICAPM

30th Australasian Finance and Banking Conference 2017, Paris December 2017 Finance Meeting EUROFIDAI - AFFI
Number of pages: 64 Posted: 17 Mar 2017 Last Revised: 21 Jul 2018
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 167 (166,224)

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

8.

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, Virginia Tech and UNSW Australia Business School, School of Banking and Finance
Downloads 116 (223,734)

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

9.

The Risk-Return Tradeoff Among Equity Factors

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 35 Posted: 26 Jan 2018 Last Revised: 05 Jun 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 96 (254,054)

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

10.

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

Number of pages: 40 Posted: 18 Dec 2017 Last Revised: 05 Jun 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 84 (272,673)

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Volatility-managed portfolios, limits to arbitrage, 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 66 (315,408)

Abstract:

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

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
UNSW Australia Business School, School of Banking and Finance, Liechtenstein University and Hochschule Liechtenstein - Institute of Financial Services
Downloads 52 (357,890)

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Foreign exchange, currency market, currency overlay.

13.

Do External Imbalances Matter in Explaining the Cross-Section of Currency Excess Returns?

Number of pages: 64
Pedro Barroso, Li Yang, Florent Rouxelin and Frickson Kho
UNSW Australia Business School, School of Banking and Finance, UNSW Australia Business School, School of Banking and Finance, University of New South Wales (UNSW) and affiliation not provided to SSRN
Downloads 1

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External imbalances, Financial variables, Cross-section of currency excess returns, portfolios versus individual assets.