Publications
- Forecasting Realized Volatility: Does Anything Beat Linear Models? (with Rafael Branco and Mauricio Zevallos). Forthcoming, Journal of Empirical Finance.
- Covid-19 and herding in global equity markets (with Gerson de Souza Raimundo Júnior). Journal of Behavioral and Experimental Finance, 2022.
- Machine learning portfolios with equal risk contributions: evidence from the Brazilian market. Emerging Markets Review, 2022.
- Bayesian Selection of Asset Pricing Factors Using Individual Stocks (with Soosung Hwang), Journal of Financial Econometrics, 2022.
- The long and the short of risk parity, The Journal of Portfolio Management Multi-Asset Special Issue 2022.
- Beta herding through overconfidence: A behavioral explanation of the low-beta anomaly (with Soosung Hwang and Mark Salmon) Journal of International Money and Finance, Volume 111, March 2021, 102318.
- The disappearance of momentum (with Soosung Hwang), The European Journal of Finance, Volume 21, 2015.
- A behavioral explanation of the value anomaly based on time-varying return reversals (with Soosung Hwang), Journal of Banking and Finance, Volume 37, Issue 7, 2013.
- Minimum Variance Portfolios in the Brazilian Equity Market (with André L. Beltrame), Brazilian Review of Finance, Volume 11, Volume 1, 2013. (in Portuguese)
- Allocation of clients into groups using classification via boosting: a comparison with traditional classification methods (with Ronaldo Dias), Revista Brasileira de Estatística, 64(221), pp. 25-41
Work in Progress
- Sideshow or Center Stage? Information Transmission between CDS and Equity Markets (with Paul Zimmermann)
- The Role of Corporate Default Risk in Stock Market Efficiency (with Paul Zimmermann)
- Option-implied beta herding (with Thanos Verousis and Maria Llompart)
- Multifacets of Beta (with Soosung Hwang)
- It Takes Two to Tango: Economic Theory and Model Uncertainty for Equity Premium Prediction (with D. Bianchi and A. Tamoni)
- Global Herding (with Soosung Hwang)
- How robust are risk-based portfolios to covariance misspecification? (with Luiz Koodi Hotta, Carlos Trucíos Maza, and Andre A. P. Santos)
Working Papers
Permanent Working Papers
Conferences
- Rubesam A., Bianchi D., Tamoni A., (2023), The Power of Many: Revisiting the Expected Return on the Market 2023 FMA Annual Meeting, Chicago, USA
- Rubesam A., Branco R., Zevallos M., (2023), Forecasting Realized Volatility: Does Anything Beat Linear Models? 17th International Conference on Computational and Financial Econometrics, Berlin, Germany
- Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Capital Structure Arbitrage in Stock Return Predictability, 28th Annual Meeting of the German Finance Association, Marburg, Germany
- Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Capital Structure Arbitrage in Stock Return Predictability, FMA Annual Meeting, Atlanta, USA
- Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Capital Structure Arbitrage in Stock Return Predictability, FMA European Conference, Lyon, France
- Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability, 1st MUSEES Conference, Lyon, France
- Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability, 58th Annual Meeting of the Eastern Finance Association, Washington, USA
- Rubesam A., Zimmermann P., (2022), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability MFA Annual Meeting, Chicago (IL), USA
- Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions 2021 FMA Annual Meeting, Denver, USA
- Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions 2021 FMA Annual Meeting, Denver, USA
- Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions 37th International Conference of the French Finance Association (AFFI), Online, France
- Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions 57th Meeting of the Eastern Finance Association (EFA), (virtual), USA
- Rubesam A., (2021), Machine Learning Portfolios with Equal Risk Contributions European Financial Management Association 2021 Annual Meetings, Leeds, United Kingdom
- Rubesam A., Zimmermann P., (2021), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability, 2021 International Risk Management Conference, Caglari, Italy
- Rubesam A., Zimmermann P., (2021), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability World Finance & Banking Symposium, Budapest, Hungary
- Rubesam A., (2020), Machine Learning Portfolios with Equal Risk Contributions 29th European Financial Management Association (EFMA), Dublin, Ireland
- Rubesam A., (2020), Machine Learning Portfolios with Equal Risk Contributions XXI WORKSHOP ON QUANTITATIVE FINANCE, Naples, Italy
- Rubesam A., (2020), The Long and the Short of Risk Parity XXI WORKSHOP ON QUANTITATIVE FINANCE, Naples, Italy
- Hwang S., Rubesam A., Salmon M., (2019), Overconfidence, Sentiment and Beta Herding: A Behavioral Explanation of the Low-Beta Anomaly 2019 FMA European Conference, Glasgow, United Kingdom
- Rubesam A., Hwang S., (2019), Searching the Factor Zoo 2019 FMA Asia/Pacific Conference, Ho Chi Minh, Vietnam
- Rubesam A., Hwang S., (2019), Searching the Factor Zoo Eastern Finance Association 2019 Annual Meeting, Miami, USA
- Rubesam A., Hwang S., Salmon M., (2019), Overconfidence, Sentiment and Beta Herding: A Behavioral Explanation of The Low-Beta Anomaly Eastern Finance Association 2019 Annual Meeting, Miami, USA
- Hwang S., Rubesam A., (2018), Searching the Factor Zoo XVIII Brazilian Finance Meeting, Sao Paulo, Brazil
- Rubesam A., Hwang S., (2018), Searching the Factor Zoo 13th Conference on Asia-Pacific Financial Markets (CAFM), Seoul, Korea
- Rubesam A., Hwang S., (2018), Searching the Factor Zoo 25th Annual Conference of the Multinational Finance Society, Budapest, Hungary
- Rubesam A., Hwang S., (2018), Searching the Factor Zoo 35th Annual Conference of the French Finance Association, Paris, France
- Rubesam A., Hwang S., (2018), Searching the factor zoo Frontiers of Factor Investing, Lancaster, United Kingdom
- Hwang S., Rubesam A., (2012), Fishing with a license: an empirical search for factors using individual stocks 19th Annual Conference of the Multinational Finance Society, Krakow, Poland
- Hwang S., Rubesam A., (2009), The disappearance of momentum 2009 Western Finance Association Annual Meeting, San Diego, USA
- Hwang S., Rubesam A., (2007), Is value really riskier than growth? 67th Annual Meeting of the American Finance Association, Chicago, USA
- Rubesam A., Hwang S., (2006), Is value really riskier than growth? 6th Brazilian Finance Meeting, Vitoria, Brazil
Seminars
- Rubesam A., Zimmermann P., (2021), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability Audencia Business School, Nantes, France
- Rubesam A., Zimmermann P., (2021), Micro-efficiency vs. Macro-(in)efficiency: The Role of Default Risk in Stock Return Predictability EMLyon, Lyon, France
- Rubesam A., (2020), Machine Learning Portfolios with Equal Risk Contributions Machine Learning for Finance seminar, Norks Foreningen for Kvantitativ Finans, Oslo, Norway
- Rubesam A., (2019), Machine learning portfolios with equal risk contributions INSPER, Sao Paulo, Brazil
- Rubesam A., Hwang S., (2019), Do Smart Beta ETFs Capture Factor Premiums? A Bayesian Perspective IESEG School of Management, Paris, France
- Rubesam A., Hwang S., (2019), Searching the Factor Zoo INSPER, Sao Paulo, Brazil