Santa-Clara holds the Millennium bcp Chair in Finance at the Nova School of
Business and Economics since 2007. He was Professor of Finance at UCLA’s
Anderson School of Management from 1996 to 2009. He received a Ph.D.
degree in Management from INSEAD, France. He is a research associate of
the National Bureau of Economic Research, a research fellow of the Center for
Economic Policy Research, and has served on the editorial boards of the Journal
of Financial and Quantitative Analysis, the Journal of Business and Economic
Statistics, and Management Science.
research interests are focused on theoretical models of asset pricing and the
development of econometric methods to estimate them. His current work
focuses on quantitative portfolio management, option pricing, risk management,
currency and fixed income markets, and financial econometrics.
heads the new campus project and respective fund raising campaign for Nova SBE.
is a partner of Atrium Investimentos, an
asset management firm. He has consulted with investment banks and hedge
funds on pricing derivatives, risk management, and developing investment
is married to Ana Conduto and has
three kids: Andre, Tiago, and Tomas.
- Capital market integration and
consumption risk sharing over the long run
with Jesper Rangvid and Maik Schmeling. Journal
of International Economics forthcoming.
- Optimal option portfolio strategies
Faias. Journal of
Financial and Quantitative Analysis forthcoming.
- Beyond the carry trade: Optimal currency
with Pedro Barroso. Journal of
Financial and Quantitative Analysis forthcoming. Appendix.
- Momentum has its moments
with Pedro Barroso.
Journal of Financial Economics 116, 111-120, 2015.
- Dividend yields, dividend growth, and return
predictability in the cross section of stocks
with Paulo Maio. Journal of Financial and
Quantitative Analysis 50, 33-60, 2015.
- Multifactor models and
their consistency with the ICAPM
with Paulo Maio. Journal of Financial Economics 106, 586-613, 2012.
- Forecasting stock
market returns: The sum of the parts is more than the whole
with Miguel Ferreira. Journal of Financial Economics 100, 514-537, 2011.
- Crashes, volatility, and the equity premium: Lessons from
S&P 500 options
Yan . Review
of Economics and Statistics 92, 435-451, 2010.
- A structural model of default risk
with Jason Hsu and
Jesús Saá-Requejo. Journal of
Fixed Income Winter, 77-94, 2010.
- Option strategies: Good deals and margin calls
of Financial Markets 12, 391-417, 2009.
- Parametric portfolio policies: Exploiting
characteristics in the cross section of equity returns
with Michael Brandt and Rossen
Valkanov. Review of
Financial Studies 22, 3411-3447, 2009.
- Two trees
with John Cochrane
Longstaff. Review of
Financial Studies 21, 347-385, 2008.
- Dynamic portfolio selection by augmenting the asset
with Michael Brandt. Journal of Finance 61, 2187-2217, October
- International risk sharing is better than you think,
or exchange rates are too smooth
with Michael Brandt and John Cochrane. Journal
of Monetary Economics 53, 671-698, 2006.
- Predicting volatility: Getting the most out of
return data sampled at different frequencies
with Eric Ghysels and Rossen
of Econometrics 131, 59-95, 2006.
- A simulation approach to dynamic portfolio choice with
an application to learning about return predictability
with Michael Brandt, Amit Goyal, and Jonathan Stroud. Review of Financial Studies
18, 831-873, Fall 2005.
- There is a risk-return tradeoff after all
with Eric Ghysels and Rossen
Valkanov. Journal of
Financial Economics 76, 509-548, June 2005.
- The presidential puzzle: Political cycles and the
Valkanov. Journal of Finance
58, 1841-1872, October 2003.
- Flexible multivariate GARCH modeling with an
application to international stock markets
with Olivier Ledoit and Michael Wolf. Review
of Economics and Statistics 85, 735-747, August 2003. Matlab programs.
- Idiosyncratic risk matters!
with Amit Goyal. Journal of Finance 58, 975-1007, June
- Simulated likelihood estimation of diffusions with an
application to exchange rate dynamics in incomplete markets
with Michael Brandt. Journal of Financial Economics 63,
161-210, February 2002.
- The relative valuation of caps and swaptions:
Theory and empirical Evidence
Longstaff and Eduardo
Schwartz. Journal of Finance 56,
2067-2109, December 2001.
- Throwing away a billion dollars: The cost
of suboptimal exercise strategies in the swaptions market
Longstaff and Eduardo
Schwartz. Journal of
Financial Economics 62, 39-66, October 2001.
- The dynamics of the forward interest rate curve with
stochastic string shocks
Sornette. Review of
Financial Studies 14, 149-185, Spring 2001.
- The dynamics of the forward interest rate curve: A
formulation with state variables
de Jong. Journal of
Financial and Quantitative Analysis 34, 131-157, March 1999.
Chapters in Books and Discussions
- Comment on Andersen, Bollerslev, Christoffersen,
and Diebold “Practical volatility and correlation modeling for
financial market risk management”
In NBER Book The
risks of financial institutions (Mark Carey and René Stulz eds.), 2006
- Discussion of Dechow, Sloan,
and Soliman “Implied equity duration: A new measure of equity risk”
of Accounting Studies 9, 229-231, 2004.
- Comment on Durham and Gallant “Numerical
techniques for maximum likelihood estimation of continuous-time diffusion
with Michael Brandt. Journal of Business and
Economic Statistics 20, 321-324, June 2002.
exposure of international corporate bond returns to exchange rate risk
with Gordon Delianedis. In European Capital Markets with
a Single Currency (Jean Dermine and Pierre Hillion eds.), 1999.