Bradley S. Paye

Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law

Assistant Professor of Finance

1016 Pamplin Hall (0221)

Blacksburg, VA 24060-0221

United States

SCHOLARLY PAPERS

9

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CITATIONS
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Top 6,783

in Total Papers Citations

72

Scholarly Papers (9)

1.

Deja Vol: Predictive Regressions for Aggregate Stock Market Volatility Using Macroeconomic Variables

Number of pages: 41 Posted: 23 Aug 2005 Last Revised: 18 Dec 2011
Bradley S. Paye
Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 788 (22,232)
Citation 4

Abstract:

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Conditional Volatility, Realized Volatility, Granger Causality, Forecast Evaluation, Forecast Combination

2.

Instability of Return Prediction Models

Number of pages: 43 Posted: 31 May 2005
Bradley S. Paye and Allan G. Timmermann
Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law and University of California, San Diego (UCSD) - Department of Economics
Downloads 317 (75,571)
Citation 52

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Stock return predictability, model instability, structural breaks

3.

Has the Propensity to Pay Out Declined?

Number of pages: 34 Posted: 02 Sep 2007
Rice University - Jesse H. Jones Graduate School of Business, Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law, Baylor University and Rice University - Jesse H. Jones Graduate School of Business
Downloads 254 (98,458)
Citation 12

Abstract:

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dividends, share repurchases, net payouts

4.

High-Frequency Returns, Jumps and the Mixture of Normals Hypothesis

Number of pages: 51 Posted: 28 Nov 2005
Jeff Fleming and Bradley S. Paye
Rice University - Jesse H. Jones Graduate School of Business and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 166 (147,227)
Citation 4

Abstract:

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Realized variance, realized bipower variance, microstructure noise, mixture of normals, jump process

5.

Estimating the Cost of Equity: Why Do Simple Benchmarks Outperform Factor Models?

Number of pages: 62 Posted: 29 Jul 2012 Last Revised: 06 Nov 2014
Nishad Kapadia and Bradley S. Paye
Tulane University - A.B. Freeman School of Business and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 163 (131,379)

Abstract:

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Cost of equity, CAPM, Fama-French three factor model, estimation error, mispricing, Bayesian

6.

Payout Yields and Stock Return Predictability: How Important is the Measure of Cash Flow?

Number of pages: 49 Posted: 04 Nov 2013 Last Revised: 11 Apr 2017
Gregory W. Eaton and Bradley S. Paye
Oklahoma State University - Stillwater - Department of Finance and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 100 (96,960)

Abstract:

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Stock return predictability, dividend yield, net payout yield, stock issuances, stock repurchases, portfolio choice

7.

The Economic Value of Estimated Portfolio Rules Under General Utility Specifications

Number of pages: 34 Posted: 19 Jul 2010 Last Revised: 07 Dec 2012
Bradley S. Paye
Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 92 (217,687)

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Combined estimators, Shrinkage, Portfolio choice, Estimation risk

8.

Micro(structure) before Macro? The Predictive Power of Aggregate Illiquidity for Stock Returns and Economic Activity

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 91 Posted: 02 Nov 2014 Last Revised: 29 Apr 2017
Yong Chen, Gregory W. Eaton and Bradley S. Paye
Texas A&M University - Department of Finance, Oklahoma State University - Stillwater - Department of Finance and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 65 (111,680)

Abstract:

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Stock market liquidity, stock return predictability, macroeconomic forecasts, transactions costs, equity premium

9.

Asset Price Reactions to Unconventional Monetary Policy Announcements

Number of pages: 60 Posted: 10 Sep 2015 Last Revised: 02 Oct 2016
James A Johnson and Bradley S. Paye
University of Georgia, C. Herman and Mary Virginia Terry College of Business, Students and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 21 (189,252)

Abstract:

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Quantitative easing, unconventional monetary policy, forward guidance, stock returns, jumps, event study, large scale asset purchases (LSAPs)