Paulo F. Maio

Hanken School of Economics - Department of Finance and Statistics

SCHOLARLY PAPERS

24

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13,544

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Top 8,134

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104

CROSSREF CITATIONS

33

Scholarly Papers (24)

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 853 (29,073)
Citation 1

Abstract:

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

Cross-Sectional Return Dispersion and the Equity Premium

Journal of Financial Markets, Forthcoming
Number of pages: 42 Posted: 14 Mar 2012 Last Revised: 07 Sep 2015
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 627 (44,259)
Citation 2

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

2.
Downloads 1,369 ( 14,658)
Citation 6

The 'Fed Model' and the Predictability of Stock Returns

Forthcoming in Review of Finance
Number of pages: 50 Posted: 30 Mar 2009 Last Revised: 26 Jan 2013
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 814 (31,051)
Citation 5

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Predictability of stock returns, Asset pricing, Fed model, Earnings yield, Dividend yield, Long-horizon regressions, Out-of-sample predictability, Yield gap, Return decomposition, VAR implied predictability, Joint return-dividend-earnings predictability, Economic significance of predictability

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 555 (51,874)
Citation 1

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

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

Number of pages: 35 Posted: 17 Jan 2014 Last Revised: 15 Aug 2019
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 1,030 (22,090)
Citation 7

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

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

Number of pages: 35 Posted: 06 Oct 2014 Last Revised: 15 Aug 2019
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University - Department of Economics and Finance
Downloads 125 (242,974)
Citation 1

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

4.

Managing the Risk of the Low-Risk Anomaly

30th Australasian Finance and Banking Conference 2017
Number of pages: 55 Posted: 29 Nov 2016 Last Revised: 05 Feb 2020
Pedro Barroso, Andrew L. Detzel and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance, University of Denver - Daniels College of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 1,061 (21,479)
Citation 7

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Betting-against-beta, BAB, time-varying risk, momentum, realized volatility, risk factors, scaled factors, market anomalies

Multifactor Models and Their Consistency with the APT

Number of pages: 55 Posted: 12 Dec 2016 Last Revised: 28 Dec 2019
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 - Department of Economics and Finance
Downloads 666 (40,790)
Citation 8

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

Multifactor Models and Their Consistency with the APT

Number of pages: 55 Posted: 27 May 2016 Last Revised: 28 Dec 2019
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 - Department of Economics and Finance
Downloads 275 (118,570)
Citation 1

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

6.

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 New University of Lisbon - Nova School of Business and Economics
Downloads 881 (28,201)
Citation 14

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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

7.

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 New University of Lisbon - Nova School of Business and Economics
Downloads 717 (37,451)
Citation 5

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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

8.
Downloads 681 ( 40,205)
Citation 10

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 443 (68,867)
Citation 2

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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

Intertemporal CAPM with Conditioning Variables

Forthcoming in Management Science
Number of pages: 34 Posted: 17 Mar 2009 Last Revised: 26 Jan 2013
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 238 (137,647)
Citation 10

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Asset pricing, Asset pricing models, Conditional pricing models, Equity premia, ICAPM, Linear multifactor models, Predictability of returns, Risk aversion, Time-varying risk aversion, Momentum

9.

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 - Department of Economics and Finance
Downloads 568 (51,011)
Citation 5

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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

10.

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 527 (56,083)
Citation 7

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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

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 Scientific Beta Research Chair and Hanken School of Economics - Department of Finance and Statistics
Downloads 484 (62,364)
Citation 15

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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.

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 453 (67,690)
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

13.

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 449 (68,387)
Citation 6

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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

14.

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 - Department of Economics and Finance
Downloads 416 (75,031)
Citation 5

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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

15.

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

Number of pages: 58 Posted: 02 Nov 2012 Last Revised: 03 Mar 2020
Paulo F. Maio and Danielle Xu
Hanken School of Economics - Department of Finance and Statistics and Gonzaga University
Downloads 416 (75,031)
Citation 2

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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

16.

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 384 (82,296)
Citation 3

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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

17.

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

Number of pages: 79 Posted: 01 Mar 2007 Last Revised: 22 Dec 2019
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 377 (84,048)

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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

18.

A Simple Model that Helps Explaining the Accruals Anomaly

Number of pages: 53 Posted: 04 Feb 2015 Last Revised: 11 May 2018
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 358 (89,245)
Citation 1

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Accruals anomaly; Asset pricing; Cross-section of stock returns; Term spread; Value spread; Intertemporal CAPM; Linear multifactor models; Predictability of stock returns; Fama-French factors; Investment and profitability factors

19.

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 278 (117,774)
Citation 3

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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

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

Number of pages: 71 Posted: 16 Sep 2014 Last Revised: 14 Mar 2020
Paulo F. Maio and Ming Zeng
Hanken School of Economics - Department of Finance and Statistics and University of Gothenburg - Centre for Finance
Downloads 193 (168,382)

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

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

Number of pages: 71 Posted: 17 Feb 2015 Last Revised: 14 Mar 2020
Paulo F. Maio and Ming Zeng
Hanken School of Economics - Department of Finance and Statistics and University of Gothenburg - Centre for Finance
Downloads 29 (518,138)

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

21.

What Drives Q and Investment Fluctuations?

Number of pages: 70 Posted: 24 Mar 2017 Last Revised: 06 Apr 2020
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 141 (220,411)

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Asset pricing; Tobin's q; Present-value model; Investment return; Variance decomposition; VAR implied predictability; Aggregation bias; Marginal pro fit of capital; Long-horizon regressions

22.
Downloads 68 (357,620)

Wage Growth and Equity Risk Premia

Number of pages: 52 Posted: 09 Jan 2019 Last Revised: 16 Mar 2019
Paulo F. Maio and Byoung-Kyu Min
Hanken School of Economics - Department of Finance and Statistics and University of Neuchatel - Institute of Financial Analysis
Downloads 52 (414,385)

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Asset Pricing, Consumption-Based Asset Pricing Model, Leisure, Wage Growth, Cross-Section of Stock Returns, Stock Market Anomalies

Wage Growth and Equity Risk Premia

Number of pages: 52 Posted: 17 Dec 2018 Last Revised: 16 Mar 2019
Paulo F. Maio and Byoung-Kyu Min
Hanken School of Economics - Department of Finance and Statistics and University of Sydney Business School
Downloads 16 (604,060)

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

23.

What Drives Q and Investment Fluctuations?

Finance Down Under 2018 Building on the Best from the Cellars of Finance Paper
Number of pages: 70 Posted: 01 Oct 2017 Last Revised: 06 Apr 2020
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 61 (378,116)

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Asset pricing; Tobin's q; Present-value model; Investment return; Variance decomposition; VAR implied predictability; Aggregation bias; Marginal profit of capital; Long-horizon regressions

24.

Monetary Policy and Corporate Bond Returns

Review of Asset Pricing Studies (forthcoming)
Number of pages: 95 Posted: 26 Mar 2020 Last Revised: 28 Apr 2020
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 57 (390,860)

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