Bradley S. Paye

Virginia Tech - Department of Finance, Insurance, and Business Law

Assistant Professor of Finance

1016 Pamplin Hall (0221)

Blacksburg, VA 24060-0221

United States

SCHOLARLY PAPERS

14

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4,721

SSRN CITATIONS
Rank 9,883

SSRN RANKINGS

Top 9,883

in Total Papers Citations

148

CROSSREF CITATIONS

15

Scholarly Papers (14)

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 Tech - Department of Finance, Insurance, and Business Law
Downloads 997 (42,728)
Citation 43

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, University of Georgia and Virginia Tech - Department of Finance, Insurance, and Business Law
Downloads 627 (79,201)
Citation 8

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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
University of Georgia and Virginia Tech - Department of Finance, Insurance, and Business Law
Downloads 511 (102,306)
Citation 6

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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 Tech - Department of Finance, Insurance, and Business Law and UCSD
Downloads 410 (132,781)
Citation 56

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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 Tech - Department of Finance, Insurance, and Business Law, Baylor University and Rice University - Jesse H. Jones Graduate School of Business
Downloads 307 (182,201)
Citation 14

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dividends, share repurchases, net payouts

6.

Taking Over the Size Effect: Asset Pricing Implications of Merger Activity

Number of pages: 63 Posted: 13 Apr 2022 Last Revised: 10 Jan 2023
Virginia Tech, Department of Finance, Virginia Tech - Department of Finance, Insurance, and Business Law and Baylor University
Downloads 301 (186,057)
Citation 2

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Takeovers, mergers, acquisitions, return premia, factor models, expected returns

7.

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 Tech - Department of Finance, Insurance, and Business Law
Downloads 259 (216,910)

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

8.

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

Number of pages: 62 Posted: 15 Jun 2020 Last Revised: 05 Aug 2021
Nishad Kapadia, Matthew Linn and Bradley S. Paye
Tulane University - Finance & Economics, Isenberg School of Management, University of Massachusetts and Virginia Tech - Department of Finance, Insurance, and Business Law
Downloads 244 (230,100)
Citation 2

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

9.

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 Tech - Department of Finance, Insurance, and Business Law
Downloads 201 (276,217)
Citation 8

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

10.

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 Tech - Department of Finance, Insurance, and Business Law
Downloads 194 (285,197)
Citation 6

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

11.

Jumps in Stock Prices: New Insights from Old Data

Number of pages: 53 Posted: 17 Aug 2018 Last Revised: 19 Mar 2021
James A Johnson, Marcelo C. Medeiros and Bradley S. Paye
University of Georgia, C. Herman and Mary Virginia Terry College of Business, Students, The University of Illinois at Urbana-Champaign and Virginia Tech - Department of Finance, Insurance, and Business Law
Downloads 186 (296,228)

Abstract:

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

12.

Firm Uncertainty and Corporate Policies: The Role of Stock Return Skewness

Number of pages: 58 Posted: 29 May 2018 Last Revised: 25 Jun 2021
John C. Easterwood, Bradley S. Paye and Yutong Xie
Virginia Tech - Pamplin College of Business, Virginia Tech - Department of Finance, Insurance, and Business Law and The College of New Jersey - School of Business
Downloads 178 (308,011)

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

13.

High (on) Sharpe Ratios: Optimistically Biased Factor Model Assessments

Number of pages: 58 Posted: 21 Feb 2023 Last Revised: 29 Jun 2023
Sara Easterwood and Bradley S. Paye
Virginia Tech and Virginia Tech - Department of Finance, Insurance, and Business Law
Downloads 156 (346,828)

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Factor models, data snooping, Sharpe ratio, anomalies, machine learning

14.

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 Tech - Department of Finance, Insurance, and Business Law
Downloads 150 (356,275)

Abstract:

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Combined estimators, Shrinkage, Portfolio choice, Estimation risk