Paulo F. Maio

Hanken School of Economics - Department of Finance and Statistics

SCHOLARLY PAPERS

30

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16,150

SSRN CITATIONS
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Top 6,964

in Total Papers Citations

161

CROSSREF CITATIONS

29

Scholarly Papers (30)

1.

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 1,510 (14,896)
Citation 8

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

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 1,414 (16,551)
Citation 10

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

3.

Managing the Risk of the Beta Anomaly

30th Australasian Finance and Banking Conference 2017
Number of pages: 43 Posted: 29 Nov 2016 Last Revised: 28 Jun 2021
Pedro Barroso, Andrew L. Detzel and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics, University of Denver - Daniels College of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 1,210 (20,901)
Citation 8

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

4.

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 1,189 (21,470)
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

5.

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 - Department of Economics and Finance
Downloads 1,034 (26,317)
Citation 24

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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

6.
Downloads 990 ( 28,032)
Citation 2

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 66 Posted: 02 Feb 2017 Last Revised: 27 May 2021
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 588 (56,160)
Citation 1

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

The Risk-Return Trade-Off Among Equity Factors

Number of pages: 66 Posted: 16 Jul 2017 Last Revised: 27 May 2021
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 289 (129,246)

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

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 66 Posted: 02 Jun 2017 Last Revised: 27 May 2021
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 113 (297,399)
Citation 1

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

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 New University of Lisbon - Nova School of Business and Economics
Downloads 914 (31,440)
Citation 19

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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 New University of Lisbon - Nova School of Business and Economics
Downloads 875 (33,370)
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

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 694 (45,782)
Citation 9

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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 - Department of Economics and Finance
Downloads 583 (57,442)
Citation 8

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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.

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 553 (61,370)
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

12.

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 507 (68,324)
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

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 487 (71,823)
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 479 (73,301)
Citation 11

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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.

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 444 (80,315)
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

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 435 (82,282)

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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.

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 421 (85,507)
Citation 12

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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

18.

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 396 (92,016)
Citation 4

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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

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 386 (94,507)
Citation 4

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

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 299 (125,403)
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

21.

Does Dividend Policy Lead the Economy?

Number of pages: 60 Posted: 30 May 2013 Last Revised: 04 Jun 2021
Paulo F. Maio
Hanken School of Economics - Department of Finance and Statistics
Downloads 263 (143,245)
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

22.

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

Number of pages: 66 Posted: 16 Sep 2014 Last Revised: 25 Mar 2021
Paulo F. Maio and Ming Zeng
Hanken School of Economics - Department of Finance and Statistics and University of Gothenburg - Centre for Finance
Downloads 240 (156,696)

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

23.

What Drives Marginal Q Fluctuations?

Number of pages: 60 Posted: 24 Mar 2017 Last Revised: 11 Feb 2021
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 233 (161,287)
Citation 2

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

24.

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 188 (196,963)

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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

25.

The Risk-Return Tradeoff Among Equity Factors

Number of pages: 66 Posted: 26 Jan 2018 Last Revised: 27 May 2021
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 153 (234,867)
Citation 2

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

26.

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 131 (265,704)
Citation 2

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

27.

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 Hanyang University
Downloads 94 (334,597)

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

28.

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

Number of pages: 66 Posted: 07 Apr 2021 Last Revised: 09 Apr 2021
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 21 (620,278)

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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

29.

The Volatility Puzzle of the Low-Risk Anomaly

Number of pages: 45 Posted: 12 Jul 2021 Last Revised: 20 Jul 2021
Pedro Barroso, Andrew L. Detzel and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics, University of Denver - Daniels College of Business and Hanken School of Economics - Department of Finance and Statistics
Downloads 4 (747,418)

Abstract:

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

30.

The Risk-Return Trade-Off Among Equity Factors

Number of pages: 46 Posted: 01 Oct 2018
Pedro Barroso and Paulo F. Maio
CATÓLICA-LISBON School of Business & Economics and Hanken School of Economics - Department of Finance and Statistics
Downloads 3 (755,499)

Abstract:

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