Paulo F. Maio

Hanken School of Economics - Department of Finance and Statistics

SCHOLARLY PAPERS

31

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30

Scholarly Papers (31)

Return Dispersion and the Predictability of Stock Returns

Number of pages: 48 Posted: 17 Jan 2012 Last Revised: 28 Aug 2013
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 798 (26,329)
Citation 1

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asset pricing, return dispersion;\, predictability of stock returns, out-of-sample predictability, stock market volatility, size, value, and momentum anomalies

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 570 (41,485)
Citation 1

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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 1,246 ( 13,730)
Citation 7

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 715 (30,580)
Citation 7

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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 Expected Asset Returns

Number of pages: 63 Posted: 17 Mar 2008 Last Revised: 14 Dec 2008
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 531 (45,448)
Citation 7

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Asset Pricing, FED Model, Earnings yield, Bond yield, Predictability of Returns, Stock and Bond Returns, Out-of-sample predictability, Yield gap

3.

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 590 (26,145)
Citation 2

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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

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 35 Posted: 02 Feb 2017
Pedro Barroso and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 457 (55,015)

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Asset Pricing, Risk-Return Tradeoff, Risk Factors, Market Anomalies, Realized Volatility, Predictability of Stock Returns, Profitability, Asset Growth

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 35 Posted: 02 Jun 2017 Last Revised: 18 Aug 2017
Pedro Barroso and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 91 (259,063)

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Asset Pricing, Risk-Return Tradeoff, Risk Factors, Market Anomalies, Realized Volatility, Predictability of Stock Returns, Profitability, Asset Growth

5.

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 493 (50,567)
Citation 5

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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

6.

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 348 (47,953)

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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

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 341 (35,991)

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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.

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 339 (72,379)
Citation 2

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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

9.

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 316 (61,507)
Citation 4

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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

10.

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

Number of pages: 54 Posted: 02 Nov 2012 Last Revised: 27 Mar 2018
Paulo F. Maio and Danielle Xu
Hanken School of Economics - Department of Finance and Statistics and Gonzaga University
Downloads 267 (76,975)

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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

11.

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 265 (67,553)

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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

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 229 (120,283)
Citation 8

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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

Intertemporal CAPM with Time-Varying Risk Aversion

Posted: 04 Jun 2007 Last Revised: 06 Mar 2012
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics

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Asset Pricing, Conditional Asset Pricing Models, Intertemporal CAPM, Linear Multifactor Models, Predictability of Returns, Time-Varying Risk Aversion, Momentum

13.

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 195 (106,991)
Citation 1

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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

14.

Does Dividend Policy Lead the Economy?

Number of pages: 59 Posted: 30 May 2013 Last Revised: 01 Nov 2014
Paulo F. Maio and Dennis Philip
Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 171 (124,559)

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dividend-payout ratio; dividend policy; financial markets and the economy; forecasting macro variables; earnings predictability; out-of-sample predictability; principal components analysis

What Drives Exchange Rates? Reassessing Currency Return Predictability

Number of pages: 45 Posted: 16 Sep 2014 Last Revised: 07 Jan 2018
Sara Ferreira Filipe and Paulo F. Maio
Luxembourg School of Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 150 (177,939)

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exchange rates, currency return predictability, interest rate differentials, variance decomposition, present-value relation, carry trade, uncovered interest rate parity

What Drives Exchange Rates? Reassessing Currency Return Predictability

Number of pages: 42 Posted: 17 Feb 2015
Sara Ferreira Filipe and Paulo F. Maio
Luxembourg School of Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 3 (595,408)

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exchange rates, currency return predictability, interest rate differentials, variance decomposition, present-value relation, carry trade, uncovered interest rate parity

16.

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 135 (73,747)

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

17.

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 111 (87,442)

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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

18.

Comparing Asset Pricing Models with Traded and Macro Risk Factors

Number of pages: 63 Posted: 10 Dec 2014 Last Revised: 19 May 2018
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 109 (91,345)

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

19.

Asset Pricing Implications of Money: New Evidence

Number of pages: 49 Posted: 01 Feb 2014 Last Revised: 14 Mar 2018
Paulo F. Maio and Andre C. Silva
Hanken School of Economics - Department of Finance and Statistics and Nova School of Business and Economics
Downloads 85 (195,831)

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

20.

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 57 (103,598)

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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

21.

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 35 Posted: 26 Jan 2018 Last Revised: 05 Jun 2018
Pedro Barroso and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 0 (276,177)

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Asset pricing, risk-return tradeoff, risk factors, market anomalies, realized volatility, predictability of stock returns, profitability, asset growth

22.

What Drives Q and Investment Fluctuations?

Finance Down Under 2018 Building on the Best from the Cellars of Finance Paper
Number of pages: 39 Posted: 01 Oct 2017 Last Revised: 25 Jan 2018
Ilan Cooper, Paulo F. Maio and Andreea Mitrache
BI Norwegian Business School, Hanken School of Economics - Department of Finance and Statistics and Toulouse Business School
Downloads 0 (377,449)

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Asset pricing, Tobin's q, Present-value model, Investment returns, Long-horizon regressions, VAR implied predictability

23.

What Drives Q and Investment Fluctuations?

Number of pages: 39 Posted: 24 Mar 2017 Last Revised: 16 Jul 2017
Ilan Cooper, Paulo F. Maio and Andreea Mitrache
BI Norwegian Business School, Hanken School of Economics - Department of Finance and Statistics and Toulouse Business School
Downloads 0 (276,177)

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Asset pricing, Tobin's q, Present-value model, Investment returns, Long-horizon regressions, VAR implied predictability

24.

Managing the Risk of the 'Betting-Against-Beta' Anomaly: Does It Pay to Bet Against Beta?

30th Australasian Finance and Banking Conference 2017
Number of pages: 59 Posted: 29 Nov 2016 Last Revised: 15 Mar 2018
Pedro Barroso and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 0 (27,585)

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Betting-against-beta, BAB, volatility managed portfolios, momentum, market anomalies

25.

Monetary Policy and Corporate Bond Returns

Number of pages: 64 Posted: 27 Jan 2016 Last Revised: 01 Jun 2018
Essex Business School, Hanken School of Economics - Department of Finance and Statistics and University of Glasgow - Adam Smith Business School
Downloads 0 (181,597)

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Corporate Bond Market, Variance Decomposition, Monetary Policy

26.

Factor Dispersion and Cross-sectional Risk Premia

Number of pages: 68 Posted: 01 Mar 2007 Last Revised: 20 May 2018
Ilan Cooper and Paulo F. Maio
BI Norwegian Business School and Hanken School of Economics - Department of Finance and Statistics
Downloads 0 (104,422)

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asset pricing, stock market anomalies, factor dispersion, return dispersion, linear multifactor models, CAPM, cross-section of stock returns, ICAPM, predictability of stock returns, realized stock variance

27.

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 46 Posted: 16 Jul 2017
Pedro Barroso and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 207

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Asset pricing, risk-return trade-off, risk factors, market anomalies, realized volatility, predictability of stock returns, profitability and investment factors, momentum

28.

New Factor Models and the APT

Number of pages: 54 Posted: 12 Dec 2016
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 493

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

29.

New factor models and the APT

Number of pages: 54 Posted: 27 May 2016
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 233

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

30.

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 80 Posted: 06 Oct 2014
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 87

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

31.

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 80 Posted: 17 Jan 2014
Cyprus University of Technology, Lancaster University - Department of Accounting and Finance, Hanken School of Economics - Department of Finance and Statistics and Durham University Business School
Downloads 914

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

Other Papers (1)

Total Downloads: 27    Citations: 0
1.

Do Equity Factors Explain (Several) Stock Market Anomalies?

Number of pages: 41 Posted: 02 Nov 2014 Last Revised: 03 Nov 2014
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 0

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asset pricing models; equity risk factors; stock market anomalies; cross-section of stock returns; linear multifactor models; factor risk premia; ICAPM; macro factors