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

12

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Top 16,004

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3,278

SSRN CITATIONS
Rank 17,067

SSRN RANKINGS

Top 17,067

in Total Papers Citations

42

CROSSREF CITATIONS

14

Scholarly Papers (12)

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 919 (26,913)
Citation 15

Abstract:

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

2.

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

Journal of Financial Economics (JFE), Vol. 130, 2018, pp. 48–73
Number of pages: 91 Posted: 02 Nov 2014 Last Revised: 26 Sep 2018
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 460 (67,446)
Citation 6

Abstract:

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

3.

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

Journal of Financial and Quantitative Analysis (JFQA), Vol. 52, No. 4, 2017
Number of pages: 49 Posted: 04 Nov 2013 Last Revised: 27 Nov 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 415 (76,177)
Citation 2

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

4.

Instability of Return Prediction Models

Number of pages: 43 Posted: 31 May 2005
Bradley S. Paye and Allan Timmermann
Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law and UCSD
Downloads 349 (93,030)
Citation 21

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Stock return predictability, model instability, structural breaks

5.

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 275 (120,612)
Citation 5

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dividends, share repurchases, net payouts

6.

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 - Finance & Economics and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 220 (150,874)

Abstract:

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

7.

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 178 (183,246)
Citation 7

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

8.

Monetary Policy and Asset Prices: A Jumps-Based Approach to Identifying Monetary Surprises

Number of pages: 45 Posted: 10 Sep 2015 Last Revised: 09 Feb 2019
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 155 (206,231)
Citation 6

Abstract:

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monetary policy, asset prices, jumps, event study, jump dependence

9.

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 125 (244,741)

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Combined estimators, Shrinkage, Portfolio choice, Estimation risk

10.

Firm Uncertainty and Corporate Policies

Number of pages: 55 Posted: 29 May 2018 Last Revised: 24 Mar 2020
John C. Easterwood, Bradley S. Paye and Yutong Xie
Virginia Polytechnic Institute & State University - Pamplin College of Business, Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law and The College of New Jersey - School of Business
Downloads 73 (347,674)

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Corporate policies, cash flow news, asymmetries, volatility, skewness, leverage, cash holdings, payout, dividends

11.

Jumps in Stock Prices: New Insights from Old Data

Number of pages: 56 Posted: 17 Aug 2018 Last Revised: 17 Mar 2020
James A Johnson, Marcelo C. Medeiros and Bradley S. Paye
University of Georgia, C. Herman and Mary Virginia Terry College of Business, Students, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 72 (350,344)

Abstract:

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jumps, discontinuities, equity premium, high-frequency data, realized variance, jump variation, stock return predictability

12.

One Vol to Rule Them All: Common Volatility Dynamics in Factor Returns

Number of pages: 61 Posted: 15 Jun 2020
Nishad Kapadia, Matthew Linn and Bradley S. Paye
Tulane University - Finance & Economics, Isenberg School of Management, University of Massachusetts and Virginia Polytechnic Institute & State University - Department of Finance, Insurance, and Business Law
Downloads 37 (471,035)

Abstract:

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Volatility, Predictability, Equities, Discount Rate News, Cash Flow News