Details about Alexandre Rubesam

Access statistics for papers by Alexandre Rubesam.

Last updated 2024-12-07. Update your information in the RePEc Author Service.

Short-id: pru312

Working Papers

2022

1. Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market
   Post-Print, HAL View citations (3)
   See also Journal Article Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market, Emerging Markets Review, Elsevier (2022) View citations (5) (2022)
2. The Long and the Short of Risk Parity
   Post-Print, HAL

2021

3. Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly
   Post-Print, HAL View citations (17)
   See also Journal Article Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly, Journal of International Money and Finance, Elsevier (2021) View citations (18) (2021)

2020

4. Bayesian Selection of Asset Pricing Factors Using Individual Stocks
   Post-Print, HAL View citations (3)
   See also Journal Article Bayesian Selection of Asset Pricing Factors Using Individual Stocks*, Journal of Financial Econometrics, Oxford University Press (2022) View citations (1) (2022)

2018

5. Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective
   Working Papers, IESEG School of Management
6. Searching the Factor Zoo
   Working Papers, IESEG School of Management View citations (1)

Journal Articles

2024

1. Forecasting realized volatility: Does anything beat linear models?
   Journal of Empirical Finance, 2024, 78, (C)

2022

2. Bayesian Selection of Asset Pricing Factors Using Individual Stocks*
   (Bayesian Variable Selection for the Seemingly Unrelated Regression Model with a Large Number of Predictors)
   Journal of Financial Econometrics, 2022, 20, (4), 716-761 View citations (1)
   See also Working Paper Bayesian Selection of Asset Pricing Factors Using Individual Stocks, Post-Print (2020) View citations (3) (2020)
3. Covid-19 and herding in global equity markets
   Journal of Behavioral and Experimental Finance, 2022, 35, (C) View citations (5)
4. Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market
   Emerging Markets Review, 2022, 51, (PB) View citations (5)
   See also Working Paper Machine learning portfolios with equal risk contributions: Evidence from the Brazilian market, Post-Print (2022) View citations (3) (2022)

2021

5. Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly
   Journal of International Money and Finance, 2021, 111, (C) View citations (18)
   See also Working Paper Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly, Post-Print (2021) View citations (17) (2021)

2015

6. The disappearance of momentum
   The European Journal of Finance, 2015, 21, (7), 584-607 View citations (25)

2013

7. A behavioral explanation of the value anomaly based on time-varying return reversals
   Journal of Banking & Finance, 2013, 37, (7), 2367-2377 View citations (5)
8. Minimum Variance Portfolios in the Brazilian Equity Market
   Brazilian Review of Finance, 2013, 11, (1), 81-118 View citations (1)