11 documents found, page 1 of 2
The volatility puzzle of the beta anomaly
Barroso, Pedro; Detzel, Andrew; Maio, PauloThis paper shows that leading theories of the beta anomaly fail to explain the anomaly's conditional performance. Abnormal returns and Sharpe ratios of betting-against-beta (BAB) factors rise following months with below-median realized volatility, even controlling for mispricing, limits to arbitrage, lottery preferences, analyst disagreement, and sentiment. Moreover, the leverage constraints theory counterfactu...
Quasi-iatrogenia vascular – dois relatos de caso
Pires, Patrícia; Sousa, Gonçalo; Afonso, Ana; Vieira, João; Marques, Gil; Gonçalves, Ana; Barroso, Pedro; Gonzalez, António; Ferreira, Maria JoséINTRODUÇÂO: As lesões vasculares iatrogénicas são uma causa importante de morbilidade e mortalidade após intervenções cirúrgicas ortopédicas ou neurocirúrgicas. Neste artigo, os autores apresentam dois casos clinicos de quasi-iatrogenia vascular. CASOS CLÍNICOS: Dois casos, um procedimento ortopédico e um procedimento neurocirúrgico, são apresentados. O primeiro caso refere-se a uma mulher de 80 anos com migraç...
The risk–return tradeoff among equity factors
Barroso, Pedro; Maio, PauloWe examine the time-series risk–return tradeoff among equity factors. We obtain a positive tradeoff for profitability and investment factors, which is consistent with the APT. Such relationship subsists when we control by the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain an insignificant risk–return relationship for the market and other factors. The t...
REVAS – RE-LIGATION OF THE SAPHENOUS FEMORAL JUNCTION IN THE XXI CENTURY?
Barbas, Maria José; Gonçalves, Ana; Barroso, Pedro; Afonso, Ana RaquelAim: Re-ligation of the saphenous femoral junction is considered a complex and time-consuming surgery, with risk of nervous and lymphatic injury. The development of endovenous techniques replaced most of the indications, as well as the foam injection and stab avulsion. But we are still confronted with some patients, where those techniques can´t solve their problem, so we adapted the classical re-ligation ...
Lest we forget: learn from out-of-sample errors when optimizing portfolios
Barroso, Pedro; Saxena, KonarkPortfolio optimization often struggles in realistic out-of-sample contexts. We de-construct this stylized fact, comparing historical forecasts of portfolio optimization inputs with subsequent out of sample values. We confirm that historical forecasts are imprecise guides of subsequent values but also find the resulting forecast errors are not entirely random. They have predictable patterns and can be partially ...
Crowding and tail risk in momentum returns
Barroso, Pedro; Edelen, Roger M.; Karehnke, PaulSeveral theoretical studies suggest that coordination problems can cause arbitrageur crowding to push asset prices beyond fundamental value as investors feedback trade on each others' emands. Using this logic we develop a crowding model for momentum returns that predicts tail risk when arbitrageurs ignore feedback effects. However, crowding does not generate tail risk when arbitrageurs rationally condition on f...
The risk-return tradeoff among equity factors
Barroso, Pedro; Maio, PauloWe examine the time-series risk-return trade-off among equity factors. We obtain a positive tradeoff for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton’s ICAPM. Critically, we obtain an insignificant risk-return relationship for the market factor. The factor risk-return trade-off tends to be weaker a...
A terapêutica antitrombótica: atual e em desenvolvimento
Afonso, Ana; Marques, Gil; Gonçalves, Ana; Barroso, Pedro; Gonzalez, Antonio; Rodrigues, Hugo; Ferreira, Maria JoséThrombosis is one of the major causes of death worldwide. Continous increase in the knowledge about the pathophysiological changes associated with thrombosis led to the development of effective therapies (anti-platelet, anticoagulant and fibrinolytics) for the prevention and treatment of the thromboembolic disease. However, better understanding of the underlying processes is still crucial for the development of...
Beyond the carry trade: Optimal currency portfolios
Santa-Clara, Pedro; Barroso, PedroAuthor's Pre-print; We test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum and value reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio produces out-of- sample returns that are not explained by risk and are valuable to diversified investors holding stocks and bonds....
Carotid diseases
Pinheiro, Inês Müller; Marques, Gil; Duarte, Nádia; Gonçalves, Ana; Barroso, Pedro; Gonzalez, António; Ferreira, Maria JoséAbout 90% of the cases of extracranial cerebrovascular disease are due to atherosclerosis. The atherosclerosis plaques occur mainly in the carotid bifurcation and their most dreaded consequence is a stroke, which is the number one cause of morbilitity and permanent disability in Europe. It is also considered the second most important cause of dementia, the most important cause of epilepsy in the elderly and a f...