Pedro Barroso

UNSW Australia Business School, School of Banking and Finance

Senior Lecturer

Sydney, NSW 2052

Australia

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 3,427

SSRN RANKINGS

Top 3,427

in Total Papers Downloads

11,513

SSRN CITATIONS
Rank 9,734

SSRN RANKINGS

Top 9,734

in Total Papers Citations

79

CROSSREF CITATIONS

28

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 6,722 (958)
Citation 64

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
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 1,951 (8,093)
Citation 27

Abstract:

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

3.

Managing the Risk of the Low-Risk Anomaly

30th Australasian Finance and Banking Conference 2017
Number of pages: 55 Posted: 29 Nov 2016 Last Revised: 05 Feb 2020
Pedro Barroso, Andrew L. Detzel and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance, University of Denver - Daniels College of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 1,047 (21,423)
Citation 7

Abstract:

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

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 466 (64,043)
Citation 7

Abstract:

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

5.

Lest We Forget: Using Out-of-Sample Errors in Portfolio Optimization

Number of pages: 62 Posted: 29 Apr 2016 Last Revised: 28 Dec 2018
Pedro Barroso and Konark Saxena
UNSW Australia Business School, School of Banking and Finance and University of New South Wales
Downloads 386 (80,101)

Abstract:

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Portfolio Optimization, Estimation Error, Covariance Matrix, Risk Management

6.

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
UNSW Australia Business School, School of Banking and Finance, New University of Lisbon - Nova School of Business and Economics and ESCP Europe - Department of Finance
Downloads 266 (120,905)
Citation 2

Abstract:

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

7.

Crowding and Tail Risk in Momentum Returns

Number of pages: 65 Posted: 01 Oct 2017 Last Revised: 18 Feb 2020
Pedro Barroso, Roger M. Edelen and Paul Karehnke
UNSW Australia Business School, School of Banking and Finance, Virginia Tech and ESCP Europe - Department of Finance
Downloads 224 (143,664)
Citation 5

Abstract:

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

8.

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

Number of pages: 39 Posted: 18 Dec 2017 Last Revised: 31 Oct 2019
Pedro Barroso and Andrew L. Detzel
UNSW Australia Business School, School of Banking and Finance and University of Denver - Daniels College of Business
Downloads 161 (193,816)

Abstract:

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Volatility-managed portfolios, limits to arbitrage, anomalies

9.

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 113 (255,979)

Abstract:

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Foreign exchange, currency market, currency overlay.

10.

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 83 (313,640)

Abstract:

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

11.

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

Number of pages: 64 Posted: 27 Aug 2018 Last Revised: 31 Dec 2018
Pedro Barroso, Frickson Kho, Florent Rouxelin and Li Yang
UNSW Australia Business School, School of Banking and Finance, UNSW Business School, University of New South Wales (UNSW) and UNSW Australia Business School, School of Banking and Finance
Downloads 47 (418,316)
Citation 3

Abstract:

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External Imbalances, Financial Variables, Cross-Section of Currency Excess Returns, Portfolios Versus Individual Assets

12.

Let the Parametric Phoenix Fly

Number of pages: 41 Posted: 18 Jul 2019
UNSW Australia Business School, School of Banking and Finance, Hochschule Liechtenstein - Institute of Financial Services and UBS AG
Downloads 38 (454,040)

Abstract:

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asset allocation, currency overlay, portfolio choice, portfolio optimization

13.

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
UNSW Australia Business School, School of Banking and Finance and University of New South Wales
Downloads 9 (618,836)
Citation 3

Abstract:

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