Paulo F. Maio

Hanken School of Economics - Department of Finance and Statistics

SCHOLARLY PAPERS

28

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30

Scholarly Papers (28)

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 810 (26,592)
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 583 (41,474)
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 1,267 ( 13,825)
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 731 (30,582)
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 536 (46,243)
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

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 81 Posted: 17 Jan 2014 Last Revised: 18 Sep 2018
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 949 (21,072)

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

Dispersion in Options Investors' Expectations and Stock Return Predictability

Number of pages: 81 Posted: 06 Oct 2014 Last Revised: 18 Sep 2018
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 92 (263,535)

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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 Beta Anomaly

30th Australasian Finance and Banking Conference 2017
Number of pages: 58 Posted: 29 Nov 2016 Last Revised: 31 Jul 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 875 (24,138)

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

5.

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 821 (26,478)
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 479 (53,436)

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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: 46 Posted: 16 Jul 2017 Last Revised: 28 Sep 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 227 (124,739)

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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

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 96 (256,243)

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

7.
Downloads 764 ( 29,211)

New Factor Models and the APT

Number of pages: 54 Posted: 12 Dec 2016 Last Revised: 28 Sep 2018
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 520 (48,140)

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

New Factor Models and the APT

Number of pages: 54 Posted: 27 May 2016 Last Revised: 23 Jun 2018
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 244 (115,944)

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

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 New University of Lisbon - Nova School of Business and Economics
Downloads 662 (35,591)

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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.

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 524 (48,204)

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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 498 (51,463)
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

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 432 (61,348)
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

12.

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 393 (68,719)

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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

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 390 (69,342)

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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.

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 368 (74,199)
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

15.

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

Number of pages: 54 Posted: 02 Nov 2012 Last Revised: 28 Sep 2018
Paulo F. Maio and Danielle Xu
Hanken School of Economics - Department of Finance and Statistics and Gonzaga University
Downloads 366 (74,709)

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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.

Comparing Asset Pricing Models with Traded and Macro Risk Factors

Number of pages: 63 Posted: 10 Dec 2014 Last Revised: 16 Jul 2018
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 327 (85,046)

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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

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 321 (86,834)

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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.

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 315 (88,654)

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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

19.

Factor Dispersion and Cross-sectional Risk Premia

Number of pages: 62 Posted: 01 Mar 2007 Last Revised: 10 Sep 2018
Ilan Cooper and Paulo F. Maio
BI Norwegian Business School and Hanken School of Economics - Department of Finance and Statistics
Downloads 285 (98,990)

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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

20.

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 259 (109,485)
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

21.
Downloads 232 ( 36,445)
Citation 8

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 232 (122,041)
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

22.

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 222 (127,943)

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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

23.

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 172 (162,060)

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Corporate Bond Market, Variance Decomposition, Monetary Policy

What Drives Exchange Rates? Time-series and Cross-sectional Evidence

Number of pages: 53 Posted: 16 Sep 2014 Last Revised: 28 Sep 2018
Pedro Barroso, Sara Ferreira Filipe and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance, Luxembourg School of Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 160 (172,758)

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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? Time-series and Cross-sectional Evidence

Number of pages: 53 Posted: 17 Feb 2015 Last Revised: 27 Sep 2018
Pedro Barroso, Sara Ferreira Filipe and Paulo F. Maio
UNSW Australia Business School, School of Banking and Finance, Luxembourg School of Finance and Hanken School of Economics - Department of Finance and Statistics
Downloads 9 (572,935)

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

25.

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 137 (196,082)

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

26.

The Risk-Return Tradeoff Among Equity Factors

Asian Finance Association (AsianFA) 2018 Conference
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 115 (224,380)

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

27.

What Drives Q and Investment Fluctuations?

Number of pages: 39 Posted: 24 Mar 2017 Last Revised: 28 Sep 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 98 (251,017)

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

28.

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: 23 Jul 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 50 (363,151)

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

Other Papers (1)

Total Downloads: 28    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 28

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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