Pedro Santa-Clara Millennium bcp Professor of Finance Faculdade de Economia Universidade Nova de Lisboa Research Associate NBER

Pedro Santa-Clara holds the Millennium bcp Chair in Finance at Universidade Nova de Lisboa 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 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.

Pedro’s 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.

Pedro 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 strategies.

Pedro is married to Ana Conduto and has three kids: Andre, Tiago, and Tomas.

Working Papers

• Professor Zipf goes to Wall Street
  with Didier Sornette and Yannick Malevergne.
• Foreasting dividend growth to better predict returns
  with Filipe Lacerda.
• Forecasting stock market returns: The sum of the parts is more than the whole
  with Miguel Ferreira.
• Earnings announcements are full of surprises
  with Michael Brandt, Runeet Kishore, and Mohan Venkatachalam.
• The MIDAS touch: Mixed data sampling regression models
  with Eric Ghysels and Rossen Valkanov.
• Relative pricing of options with stochastic volatility
  with Olivier Ledoit and Shu Yan.
• Default risk and interest rate risk: The term structure of credit spreads
  with Lars Nielsen and Jesús Saá-Requejo.

Publications

• Crashes, volatility, and the equity premium: Lessons from S&P 500 options
  with Shu Yan . Review of Economics and Statistics forthcoming.
  Appendix.
• A structural model of default risk
  with Jason Hsu and Jesús Saá-Requejo. Journal of Fixed Income forthcoming.
• Option strategies: Good deals and margin calls
  with Alessio Saretto. Journal 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 and Francis Longstaff. Review of Financial Studies 21, 347-385, 2008.
• Dynamic portfolio selection by augmenting the asset space
  with Michael Brandt. Journal of Finance 61, 2187-2217, October 2006.
• 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 Valkanov. Journal 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 stock market
  with Rossen 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 2003.
• 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
  with Francis 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
  with Francis 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
  with Didier Sornette. Review of Financial Studies 14, 149-185, Spring 2001.
• The dynamics of the forward interest rate curve: A formulation with state variables
  with Frank 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”
  Review of Accounting Studies 9, 229-231, 2004.
• Comment on Durham and Gallant “Numerical techniques for maximum likelihood estimation of continuous-time diffusion processes”
  with Michael Brandt. Journal of Business and Economic Statistics 20, 321-324, June 2002.
• The 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.

Case Study

• Intel valuation: A case study in market efficiency, with Jonathan Bailly. Case materials.