Activities per year
Thiago's main field is Empirical Asset Pricing. The distinguishing feature in his research is the focus on understanding the links between the cross-sectional and time-series variations in asset returns. Currently, Thiago's research focuses on how the traditional ICAPM state variables relate to the several cross-sectional premiums in the literature.
For instance, the paper "The conditional size premium and intertemporal risk" documents the empirical properties of the conditional structure of the size premium, explaining that the small stocks should have a negative premium over the CAPM given their intertemporal hedging properties.
The paper "On the common risk explanation of the size related premiums" explains how the conditional structure of the size premium depends on the state of the economy, and that this is consistent with the risk explanation in Berk (1995): The value premium arises due to the same underlying risks as the size premium. The paper also explains why the forecast of the size premium results in an out-of-sample R2 of 29% and 7% respectively for the size and the value premiums.
The working paper "Conditional multifactor explanations of asset pricing anomalies" applies the findings in the papers above to derive a conditional version of the Fama/French multifactor model. This conditional version is finally able to explain the cross-sectional difference in returns on portfolios formed on size. In addition, the new conditional version of the model performs at least as well as the original Fama/French model explaining several other cross-sectional differences. The original Fama/French model is rejected by the GRS test in explaining the returns on size-portfolios.
Thiago also has a few other working papers investigating the downward trend in the aggregate book-to-market over time, and earlier in his career was also interested in understanding how the agents optimally choose their investment strategies as in "Strategic asset allocation with heterogeneous beliefs" for instance.
- Pricing of Financial Assets
- Empirical Asset Pricing
- Financial Economics
- Empirical Finance
Activity: Talks and presentations › Conference presentations
Financial Investments and Corporate Finance (supplementing course for MSc Economics and Business Administration)
|Thiago de Oliveira Souza|
01/09/2016 → 31/01/2017