Details about Thiago de Oliveira Souza

Access statistics for papers by Thiago de Oliveira Souza.

Last updated 2024-11-08. Update your information in the RePEc Author Service.

Short-id: pde868

Working Papers

2024

1. Model risk pricing and hedging
   MPRA Paper, University Library of Munich, Germany

2020

2. Dollar carry timing
   Discussion Papers on Economics, University of Southern Denmark, Department of Economics
3. Externalities, incentives, government failure, and the Coronavirus outbreak
   Discussion Papers on Economics, University of Southern Denmark, Department of Economics
4. Observable implications of the conditional CAPM
   Discussion Papers on Economics, University of Southern Denmark, Department of Economics
5. The X-value factor
   Discussion Papers on Economics, University of Southern Denmark, Department of Economics
6. Two out-of-sample forecasting models of the equity premium
   Discussion Papers on Economics, University of Southern Denmark, Department of Economics

2019

7. A critique of momentum anomalies
   Discussion Papers on Economics, University of Southern Denmark, Department of Economics View citations (2)
8. Macro-finance and factor timing: Time-varying factor risk and price of risk premiums
   Discussion Papers on Economics, University of Southern Denmark, Department of Economics View citations (3)
9. Predictability concentrates in bad times. And so does disagreement
   Discussion Papers on Economics, University of Southern Denmark, Department of Economics View citations (1)

2018

10. Red tape asset pricing
    Discussion Papers on Economics, University of Southern Denmark, Department of Economics View citations (1)
11. Size-related premiums
    Discussion Papers on Economics, University of Southern Denmark, Department of Economics View citations (1)

2016

12. The size premium and intertemporal risk
    Discussion Papers on Economics, University of Southern Denmark, Department of Economics

2014

13. Discount rates, market frictions, and the mystery of the size premium
    Discussion Papers on Economics, University of Southern Denmark, Department of Economics View citations (1)
    Also in Working Papers ECARES, ULB -- Universite Libre de Bruxelles (2013)
    2013 Papers, Job Market Papers (2013)

2011

14. Forecasting Investment-Grade Credit-Spreads. A Regularized Approach
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles

2010

15. Strategic Asset Allocation with Heterogeneous Beliefs
    Working Papers ECARES, ULB -- Universite Libre de Bruxelles

Journal Articles

2022

1. Dissecting Market Expectations in the Cross-Section of Book-to-Market Ratios
   Critical Finance Review, 2022, 11, (2), 361-373