Paulo F. Maio

Hanken School of Economics - Department of Finance and Statistics

SCHOLARLY PAPERS

33

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20,587

SSRN CITATIONS
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Top 5,315

in Total Papers Citations

319

CROSSREF CITATIONS

23

Scholarly Papers (33)

1.

The Volatility Puzzle of the Beta Anomaly

Number of pages: 59 Posted: 12 Jul 2021 Last Revised: 06 Mar 2023
Pedro Barroso, Andrew L. Detzel and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics, Baylor University - Hankamer School of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 2,069 (14,549)
Citation 4

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Betting-against-beta, time-varying risk, realized volatility, risk factors, scaled factors, anomalies, lottery preferences, leverage constraints

2.

The 'Fed Model' and the Predictability of Stock Returns

Forthcoming in Review of Finance
Number of pages: 50 Posted: 17 Mar 2008 Last Revised: 13 Apr 2019
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 1,679 (20,170)
Citation 17

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Predictability of stock returns, Fed model, Out-of-sample predictability, VAR-implied predictability, Economic significance of predictability

3.

Cross-Sectional Return Dispersion and the Equity Premium

Journal of Financial Markets, Forthcoming
Number of pages: 42 Posted: 17 Jan 2012 Last Revised: 13 Apr 2019
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 1,595 (21,793)
Citation 18

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asset pricing, stock return dispersion, cross-sectional variance of stock returns, predictability of stock returns, out-of-sample predictability

4.

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 56 Posted: 02 Feb 2017 Last Revised: 08 Feb 2023
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 1,502 (23,930)
Citation 1

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Asset pricing, risk-return trade-off, ICAPM, realized volatility, profitability and investment factors

5.

Dispersion in Options Investors’ Versus Analysts’ Expectations: Predictive Inference for Stock Returns

Number of pages: 35 Posted: 17 Jan 2014 Last Revised: 19 Nov 2022
Cyprus University of Technology, University of Liverpool Management School, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 1,286 (30,164)
Citation 11

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Dispersion in beliefs; Predictability of stock returns; Equity premium; Trading volume dispersion; Out-of-sample predictability; Economic signi ficance

6.

Multifactor Models and Their Consistency with the APT

Review of Asset Pricing Studies (forthcoming)
Number of pages: 51 Posted: 27 May 2016 Last Revised: 31 Dec 2020
Ilan Cooper, Liang Ma, Paulo F. Maio and Dennis Philip
BI Norwegian Business School, University of South Carolina - Darla Moore School of Business, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 1,166 (34,673)
Citation 67

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asset pricing; linear multifactor models; APT; equity risk factors; statistical factors; stock market anomalies; cross-section of stock returns; asymptotic principal components; spanning regressions

7.

Dividend Yields, Dividend Growth, and Return Predictability in the Cross-Section of Stocks

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 46 Posted: 08 Oct 2012 Last Revised: 02 Apr 2015
Paulo F. Maio and Pedro Santa-Clara
Hanken School of Economics - Department of Finance and Statistics and Nova School of Business and Economics
Downloads 1,020 (41,995)
Citation 30

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asset pricing, predictability of stock returns, dividend-growth predictability, long-horizon regressions, dividend yield, VAR implied predictability, present-value model, size premium, value premium, cross-section of stocks

8.

Short-Term Interest Rates and Stock Market Anomalies

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 58 Posted: 17 Jan 2012 Last Revised: 10 Feb 2017
Paulo F. Maio and Pedro Santa-Clara
Hanken School of Economics - Department of Finance and Statistics and Nova School of Business and Economics
Downloads 992 (43,712)
Citation 14

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cross-section of stock returns; asset pricing; intertemporal CAPM; state variables; linear multifactor models; predictability of returns; value premium; long-term reversal in returns; equity duration anomaly; corporate investment anomaly; inventory growth anomaly

9.

Intertemporal CAPM with Conditioning Variables

Forthcoming in Management Science
Number of pages: 34 Posted: 04 Jun 2007 Last Revised: 13 Apr 2019
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 740 (65,197)
Citation 13

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Asset pricing, Asset pricing models, Conditional asset pricing models, Conditional CAPM, ICAPM, Linear multifactor models, Predictability of returns, Cross-section of stock returns, Time-varying risk aversion, Momentum, Value premium

10.

Macro Variables and the Components of Stock Returns

Journal of Empirical Finance, Forthcoming
Number of pages: 58 Posted: 15 Mar 2012 Last Revised: 02 Apr 2015
Paulo F. Maio and Dennis Philip
Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 662 (75,148)
Citation 11

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asset pricing, macroeconomy and stock returns, return decomposition, stock return predictability, discount-rate news, cash-flow news, Intertemporal CAPM, cross-section of stock returns, factor analysis

11.

Interest Rate Risk and the Cross-Section of Stock Returns

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 48 Posted: 04 Apr 2010 Last Revised: 27 Feb 2013
Abraham Lioui and Paulo F. Maio
EDHEC Business School and Hanken School of Economics - Department of Finance and Statistics
Downloads 613 (82,686)
Citation 26

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Asset pricing models, Consumption CAPM, Interest rates, Opportunity cost of money, Equity premium, Risk-free rate puzzle, Linear multifactor models, Crosssection of stock returns, Size and value anomalies

12.

Another Look at the Stock Return Response to Monetary Policy Actions

Review of Finance (Forthcoming)
Number of pages: 58 Posted: 31 Jan 2008 Last Revised: 23 Nov 2012
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 608 (83,546)
Citation 10

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Monetary policy and stock returns, Federal Funds rate, Stock characteristics, Return decomposition, Predictability of returns, Cash flow news, Discount rate news, financial constraints

13.

Asset Growth, Profitability, and Investment Opportunities

Management Science (Forthcoming)
Number of pages: 49 Posted: 25 Jan 2015 Last Revised: 03 Jan 2018
Ilan Cooper and Paulo F. Maio
BI Norwegian Business School and Hanken School of Economics - Department of Finance and Statistics
Downloads 546 (95,725)
Citation 13

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Asset pricing models; Equity risk factors; Intertemporal CAPM; Predictability of stock returns; Cross-section of stock returns; stock market anomalies

14.

New Evidence on Conditional Factor Models

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 59 Posted: 16 Mar 2015 Last Revised: 05 May 2018
Ilan Cooper and Paulo F. Maio
BI Norwegian Business School and Hanken School of Economics - Department of Finance and Statistics
Downloads 542 (96,586)
Citation 18

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asset pricing models; conditional factor models; conditional CAPM; equity risk factors; investment and profitability risk factors; stock market anomalies; cross-section of stock returns; time-varying betas

15.

Comparing Asset Pricing Models: The (Neglected) Impact of "Tradability"

Number of pages: 56 Posted: 10 Dec 2014 Last Revised: 27 Apr 2023
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 533 (98,660)
Citation 1

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asset pricing models; traded risk factors; equity risk factors; macro factors; cross-sectional $R^{2}$; stock market anomalies; cross-section of stock returns; linear multifactor models; factor risk premia; ICAPM

16.

What Does the Cross-Section Tell About Itself? Explaining Equity Risk Premia with Stock Return Moments

Journal of Money, Credit and Banking (forthcoming)
Number of pages: 67 Posted: 01 Mar 2007 Last Revised: 16 Feb 2021
Ilan Cooper, Liang Ma and Paulo F. Maio
BI Norwegian Business School, University of South Carolina - Darla Moore School of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 498 (107,230)
Citation 8

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asset pricing, stock market anomalies, linear multifactor models, CAPM, cross-section of stock returns, realized return variance, realized return skewness, cross-sectional return moments, ICAPM

17.

Cash-Flow or Return Predictability at Long Horizons? The Case of Earnings Yield

Journal of Empirical Finance, Forthcoming
Number of pages: 47 Posted: 02 Nov 2012 Last Revised: 21 Oct 2020
Paulo F. Maio and Danielle Xu
Hanken School of Economics - Department of Finance and Statistics and Gonzaga University
Downloads 483 (111,177)
Citation 6

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predictability of stock returns; earnings-growth predictability; long-horizon regressions; earnings yield; VAR implied predictability; present-value model; dividend-payout ratio

18.

Economic Activity and Momentum Profits: Further Evidence

Journal of Banking and Finance, Forthcoming
Number of pages: 40 Posted: 29 Apr 2013 Last Revised: 19 Feb 2018
Paulo F. Maio and Dennis Philip
Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 465 (116,301)
Citation 16

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momentum; industry momentum; asset pricing; cross-section of stock returns; Intertemporal CAPM; macro risk factors; linear multifactor models; predictability of stock returns

19.

ICAPM and the Accruals Anomaly

Quarterly Journal of Finance (forthcoming)
Number of pages: 57 Posted: 04 Feb 2015 Last Revised: 02 Sep 2020
Hui Guo and Paulo F. Maio
University of Cincinnati - Department of Finance - Real Estate and Hanken School of Economics - Department of Finance and Statistics
Downloads 441 (123,796)
Citation 4

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Accruals anomaly; Asset pricing; Term spread; Value spread; Intertemporal CAPM

20.

Return Decomposition and the Intertemporal CAPM

Journal of Banking and Finance, Forthcoming
Number of pages: 43 Posted: 17 Mar 2008 Last Revised: 04 Oct 2013
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 440 (124,135)
Citation 7

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Asset pricing, Asset pricing models, Linear multifactor models, Intertemporal CAPM, Predictability of returns, Return decomposition, cash flow news, discount rate news, Dimson betas, Conditional asset pricing models

21.

Don't Fight the Fed!

Review of Finance, Forthcoming
Number of pages: 72 Posted: 11 Mar 2012 Last Revised: 22 Dec 2012
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 362 (154,934)
Citation 5

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asset pricing, predictability of stock returns, monetary policy and stock returns, out-of-sample predictability, economic significance of predictability, Federal Funds rate, stock rotation strategies, market-timing strategies, asset allocation, portfolio choice, size, value and momentum anomalies

22.

Does Dividend Policy Lead the Economy?

Journal of Money, Credit and Banking (forthcoming)
Number of pages: 33 Posted: 30 May 2013 Last Revised: 10 Apr 2023
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 344 (163,787)
Citation 2

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dividend-payout ratio; earnings growth; variance decomposition; financial markets and the economy; forecasting economic activity; earnings predictability; out-of-sample predictability; long-horizon regressions

23.

On the Driving Forces of Real Exchange Rates: Is the Japanese Yen Different?

Journal of Empirical Finance, Forthcoming
Number of pages: 48 Posted: 16 Sep 2014 Last Revised: 07 Apr 2024
Paulo F. Maio and Ming Zeng
Hanken School of Economics - Department of Finance and Statistics and University of Gothenburg - Centre for Finance
Downloads 329 (171,760)

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currency return and interest spread predictability, Japanese Yen, variance decompositions, present-value relation, liquidity premium, calibration and simulation

24.

The Marginal Profits-to-Q Ratio: Reassessing the Cash-Flow Channel

Number of pages: 63 Posted: 24 Mar 2017 Last Revised: 05 Aug 2022
Ilan Cooper, Paulo F. Maio and Chunyu Yang
BI Norwegian Business School, Hanken School of Economics - Department of Finance and Statistics and BI Norwegian Business School
Downloads 302 (187,993)
Citation 1

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Tobin's q; Marginal profits-to-q ratio; Investment return; Marginal profit of capital; Variance decomposition; VAR implied predictability; Aggregation bias; Long-horizon regressions; Dividend-to-price ratio; Structural estimation

25.

Monetary Policy and Corporate Bond Returns

Review of Asset Pricing Studies (forthcoming)
Number of pages: 95 Posted: 26 Mar 2020 Last Revised: 04 Aug 2022
Haifeng Guo, Alexandros Kontonikas and Paulo F. Maio
Durham University Business School, Essex Business School and Hanken School of Economics - Department of Finance and Statistics
Downloads 289 (196,919)
Citation 2

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Corporate Bond Market, Bond Returns, Return Decomposition, Monetary Policy, Bond Premia, Present-Value Relation, Credit Risk

26.

Asset Pricing Implications of Money: New Evidence

Journal of Banking and Finance, Forthcoming
Number of pages: 55 Posted: 01 Feb 2014 Last Revised: 18 Sep 2020
Paulo F. Maio and Andre C. Silva
Hanken School of Economics - Department of Finance and Statistics and Nova School of Business and Economics
Downloads 221 (256,519)
Citation 6

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Asset pricing; consumption-based asset pricing models; money; cross-section of stock returns; Euler equations; stock market anomalies; macroeconomic asset pricing models

27.

Is Long-Run Risk Really Priced? Revisiting Liu and Matthies (2022)

Journal of Finance (Forthcoming)
Number of pages: 20 Posted: 25 Sep 2023
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 214 (264,384)
Citation 3

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Asset Pricing; Cross-Section of Stock Returns; CAPM anomalies; Long-Run Risk; Linear Factor Models

28.

Leisure, Labor Income, and Equity Risk Premia

Number of pages: 57 Posted: 17 Dec 2018 Last Revised: 26 Jun 2023
Paulo F. Maio and Byoung-Kyu Min
Hanken School of Economics - Department of Finance and Statistics and Hanyang University
Downloads 195 (287,786)

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Asset pricing; Consumption-based asset pricing model; Macro asset pricing models; Leisure; Wage growth; Cross-section of stock returns; Stock market anomalies

29.

Factor Mimicking Portfolios and the Cross-section of Asset Returns

Number of pages: 44 Posted: 04 Jun 2023
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 156 (351,611)

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30.

What Drives Marginal Q and Investment Fluctuations? Time-Series and Cross-Sectional Evidence

Number of pages: 77 Posted: 07 Apr 2021 Last Revised: 21 Mar 2022
Ilan Cooper, Paulo F. Maio and Chunyu Yang
BI Norwegian Business School, Hanken School of Economics - Department of Finance and Statistics and BI Norwegian Business School
Downloads 106 (470,563)
Citation 3

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Tobin's q; Present-value model; Investment return; Variance decomposition; VAR implied predictability; Aggregation bias; Marginal profit of capital; cross-section of q

31.

Resurrecting the (C)CAPM: A Cross-Sectional Test when Risk Premia are Time-Varying: A Comment

Number of pages: 33 Posted: 25 Sep 2023 Last Revised: 07 Mar 2024
Paulo F. Maio and Byoung-Kyu Min
Hanken School of Economics - Department of Finance and Statistics and Hanyang University
Downloads 85 (543,337)

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Asset pricing, conditional CAPM, conditional CCAPM, cross-section of stock returns, consumption-to-wealth ratio, value premium ratio

32.

Does Ultimate Consumption Risk Rescue the CCAPM? A Replication of Parker and Julliard (2005)

Number of pages: 25 Posted: 04 Jan 2023
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 58 (668,289)

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33.

On the (Ir)relevance of Long-Run Consumption Growth for Equity Risk Premia

Number of pages: 38 Posted: 01 Dec 2023 Last Revised: 22 Jan 2024
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 46 (740,657)

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Asset pricing; Consumption-based asset pricing model; CCAPM; Long-run consumption growth; Cross-section of stock returns; Stock market anomalies; Long-run risks