Vitor Azevedo

Department of Financial Management - RPTU Kaiserslautern-Landau

Professor of Finance

Kaiserslautern

Germany

SCHOLARLY PAPERS

8

DOWNLOADS

7,466

SSRN CITATIONS

16

CROSSREF CITATIONS

6

Scholarly Papers (8)

1.

Analyst Recommendations and Mispricing Across the Globe

Number of pages: 88 Posted: 13 Oct 2020 Last Revised: 17 Jul 2024
Vitor Azevedo and Sebastian Müller
Department of Financial Management - RPTU Kaiserslautern-Landau and Technische Universität München (TUM) - TUM School of Management
Downloads 1,547 (23,281)
Citation 7

Abstract:

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Analysts, analysts' recommendations, anomalies, international stock markets, market efficiency JEL classifications: G12, G29, M41

2.

Stock Market Anomalies and Machine Learning Across the Globe

Journal of Asset Management, Forthcoming
Number of pages: 42 Posted: 13 Apr 2022 Last Revised: 20 Jul 2023
Vitor Azevedo, Sebastian Kaiser and Sebastian Müller
Department of Financial Management - RPTU Kaiserslautern-Landau, Technische Universität München (TUM) - TUM School of Management and Technische Universität München (TUM) - TUM School of Management
Downloads 1,506 (24,235)
Citation 6

Abstract:

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International stock market, anomalies, machine learning models, market efficiency, publication impact.

3.

The Expected Returns on Machine-Learning Strategies

Number of pages: 26 Posted: 07 Feb 2024 Last Revised: 21 Mar 2024
Vitor Azevedo, Christopher Hoegner and Mihail Velikov
Department of Financial Management - RPTU Kaiserslautern-Landau, Technische Universität München (TUM), Department of Financial Management and Capital Markets, Students and Pennsylvania State University - Smeal College of Business
Downloads 1,403 (26,938)

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Stock market anomalies, machine learning models, return prediction, transaction costs, asset pricing models.

4.

Enhancing Stock Market Anomalies with Machine Learning

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 51 Posted: 11 Jan 2021 Last Revised: 29 Aug 2022
Vitor Azevedo and Christopher Hoegner
Department of Financial Management - RPTU Kaiserslautern-Landau and Technische Universität München (TUM), Department of Financial Management and Capital Markets, Students
Downloads 1,205 (33,631)
Citation 6

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Anomalies, machine learning models, efficient market hypothesis, asset pricing models

5.

Earnings Forecasts: The Case for Combining Analysts' Estimates with a Cross-Sectional Model

Review of Quantitative Finance and Accounting, Forthcoming
Number of pages: 47 Posted: 20 Jun 2017 Last Revised: 25 Jul 2022
Vitor Azevedo, Patrick Bielstein and Manuel Gerhart
Department of Financial Management - RPTU Kaiserslautern-Landau, Barclays PLC and Technische Universität München (TUM), Students
Downloads 672 (74,894)

Abstract:

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Earnings forecasts, analysts' forecasts, forecast evaluation, implied cost of capital, expected returns

6.

Analysts' Underreaction and Momentum Strategies

Journal of Economic Dynamics and Control, Forthcoming
Number of pages: 49 Posted: 10 May 2022 Last Revised: 21 Nov 2022
Vitor Azevedo
Department of Financial Management - RPTU Kaiserslautern-Landau
Downloads 450 (122,828)

Abstract:

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Analysts' predictable error, Analysts' forecasts, Momentum, Post-earnings announcement drift, Stock market anomaly

7.

Investor Sentiment and the Time-varying Sustainability Premium

Journal of Asset Management, Forthcoming
Number of pages: 41 Posted: 09 Jan 2020 Last Revised: 20 Jul 2023
Department of Financial Management - RPTU Kaiserslautern-Landau, Technische Universität München (TUM) and Federal University of Santa Catarina (UFSC)
Downloads 371 (153,167)

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sustainability, corporate social responsibility, corporate environmental responsibility, expected returns, financial performance, investor sentiment

8.

Mispricing Decomposition and Global Mispricing Index

Number of pages: 49 Posted: 19 Jan 2023 Last Revised: 16 Mar 2024
Department of Financial Management - RPTU Kaiserslautern-Landau, Technische Universität München (TUM) - Department of Financial Management and Capital Markets, Technische Universität München (TUM) and Technische Universität München (TUM) - TUM School of Management
Downloads 312 (184,516)
Citation 1

Abstract:

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Mispricing; stock market anomalies; market efficiency; instrumented principal components analysis (IPCA)