One Vol to Rule Them All: Common Volatility Dynamics in Factor Returns

Nishad Kapadia, Matthew Linn, Bradley Paye

Journal of Financial and Quantitative Analysis (forthcoming)

Taking Over the Size Effect: Asset Pricing Implications of Merger Activity

Sara Easterwood, Jeffrey Netter, Bradley Paye, Michael Stegemoller

Journal of Financial and Quantitative Analysis (forthcoming)

Jumps in Stock Prices: New Insights from Old Data

James A Johnson, M. Medeiros, Bradley S. Paye

Journal of Financial Markets, 2021

Firm Uncertainty and Corporate Policies: The Role of Stock Return Skewness

John C. Easterwood, Bradley S. Paye, Yutong Xie

Journal of Corporate Finance, 2021

Micro (structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity

Yong Chen, Gregory W Eaton, Bradley S Paye

Journal of Financial Economics, vol. 130, Elsevier, 2018, pp. 48--73

Payout Yields and Stock Return Predictability: How Important Is the Measure of Cash Flow?

Gregory W. Eaton, Bradley S. Paye

Journal of Financial and Quantitative Analysis, 2017

‘Deja vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables

Bradley S Paye

Journal of Financial Economics, vol. 106, Elsevier, 2012, pp. 527--546

High-frequency returns, jumps and the mixture of normals hypothesis

Jeff Fleming, Bradley S Paye

Journal of Econometrics, vol. 160, Elsevier, 2011, pp. 119--128

Has the Propensity to Pay Out Declined?

Gustavo Grullon, Bradley Paye, Shane Underwood, James P. Weston

Journal of Financial and Quantitative Analysis, vol. 46, Cambridge University Press, 2011, pp. 1–24

The Impact of Microstructure Noise on the Distributional Properties of Daily Stock Returns Standardized by Realized Volatility

Jeff Fleming, Bradley S. Paye, Jones

2006

Instability of return prediction models

Bradley S Paye, Allan Timmermann

Journal of Empirical Finance, vol. 13, Elsevier, 2006, pp. 274--315