Details about Jose Afonso Faias

Access statistics for papers by Jose Afonso Faias.

Last updated 2024-07-07. Update your information in the RePEc Author Service.

Short-id: pfa272

Working Papers

2023

1. Price elasticity of demand and risk-bearing capacity in sovereign bond auctions
   Working Papers, Banco de Portugal, Economics and Research Department
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2022)

Journal Articles

2023

1. Predicting the equity risk premium using the smooth cross-sectional tail risk: The importance of correlation
   Journal of Financial Markets, 2023, 63, (C)

2022

2. Equity Risk Premium Predictability from Cross-Sectoral Downturns
   (International asset allocation with regime shifts)
   The Review of Asset Pricing Studies, 2022, 12, (3), 808-842 View citations (1)

2020

3. The diffusion of complex securities: The case of CAT bonds
   Insurance: Mathematics and Economics, 2020, 90, (C), 46-57 View citations (3)

2018

4. OUT-OF-SAMPLE STOCK RETURN PREDICTION USING HIGHER-ORDER MOMENTS
   International Journal of Theoretical and Applied Finance (IJTAF), 2018, 21, (06), 1-27 View citations (3)

2017

5. Does institutional ownership matter for international stock return comovement?
   Journal of International Money and Finance, 2017, 78, (C), 64-83 View citations (12)
6. Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing
   Journal of Financial and Quantitative Analysis, 2017, 52, (1), 277-303 View citations (16)