.
Santa-Clara, Pedro's
Scholarly Papers
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Aggregate Statistics
Total 16,885
Total Citations 1,041
1.
Barroso, Pedro Nova School of Business and Economics
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
18 Apr 12
Last Revised:
10 Apr 13
1,916(3,038)
2
Stock momentum, risk management, anomalies
2.
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Schwartz, Eduardo S. University of California, Los Angeles (UCLA) - Finance Area
Santa-Clara, Pedro Nova School of Business and Economics
1,307(5,933)
44
3.
Ledoit, Olivier University of Zurich
Santa-Clara, Pedro Nova School of Business and Economics
1,304(5,948)
26
4.
Kishore, Runeet Duke University - Fuqua School of Business
Brandt, Michael W. Duke University - Fuqua School of Business
Santa-Clara, Pedro Nova School of Business and Economics
Venkatachalam, Mohan Duke University - Fuqua School of Business
Posted:
19 Jun 06
Last Revised:
25 Feb 08
1,026(8,891)
17
post-earnings announcement drift, market efficiency, under-reaction, non-earnings accounting information
5.
Saretto, Alessio University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics
Santa-Clara, Pedro Nova School of Business and Economics
953(9,981)
32
Option strategies, margin requirements
6.
Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
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Ferreira, Miguel A. Nova School of Business and Economics
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
29 Dec 08
Last Revised:
19 Aug 10
934(10,290)
19
Ferreira, Miguel A. Nova School of Business and Economics
Santa-Clara, Pedro Nova School of Business and Economics
108
19
Ferreira, Miguel A. Nova School of Business and Economics
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
22 Mar 09
Last Revised:
25 Jul 10
775
19
Equity premium, forecasting, stock market, predictive regression
Ferreira, Miguel A. Nova School of Business and Economics
Santa-Clara, Pedro Nova School of Business and Economics
51
19
7.
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Schwartz, Eduardo S. University of California, Los Angeles (UCLA) - Finance Area
Santa-Clara, Pedro Nova School of Business and Economics
908(10,776)
24
8.
Hsu, Jason C. Research Affiliates, LLC
Saa-Requejo, Jesus Vega Asset Management LLC
Santa-Clara, Pedro Nova School of Business and Economics
863(11,682)
25
Bond pricing, default risk, term structure of yield spread
9.
There is a Risk-Return Tradeoff after All
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Santa-Clara, Pedro Nova School of Business and Economics
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
Posted:
18 Jun 04
Last Revised:
18 Sep 12
793(13,310)
140
Santa-Clara, Pedro Nova School of Business and Economics
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
54
140
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
739
140
ICAPM, risk-return tradeoff, conditional variance, forecasting returns
10.
Barroso, Pedro Nova School of Business and Economics
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
18 Apr 12
Last Revised:
25 Jun 12
787(13,454)
4
forward rate premium, carry trade, currency market, optimal portfolios
11.
Idiosyncratic Risk Matters!
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Goyal, Amit University of Lausanne
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
17 Oct 02
Last Revised:
04 Aug 03
737(14,808)
195
Goyal, Amit University of Lausanne
Santa-Clara, Pedro Nova School of Business and Economics
0
Goyal, Amit University of Lausanne
Santa-Clara, Pedro Nova School of Business and Economics
737
195
12.
Brandt, Michael W. Duke University - Fuqua School of Business
Goyal, Amit University of Lausanne
Santa-Clara, Pedro Nova School of Business and Economics
637(18,315)
5
13.
Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies
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Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
Posted:
05 Oct 03
Last Revised:
18 Sep 12
623(18,910)
65
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
44
65
Ghysels, Eric University of North Carolina (UNC) at Chapel Hill - Department of Economics
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
579
65
variance estimation, volatility, asset pricing, MIDAS
14.
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
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Ledoit, Olivier University of Zurich
Santa-Clara, Pedro Nova School of Business and Economics
Wolf, Michael University of Zurich - Department of Economics Library
Posted:
15 Oct 02
Last Revised:
22 Sep 08
601(19,886)
39
Ledoit, Olivier University of Zurich
Santa-Clara, Pedro Nova School of Business and Economics
Wolf, Michael University of Zurich - Department of Economics Library
0
Diagonal-Vech model multivariate GARCH, unrestricted estimation
Ledoit, Olivier University of Zurich
Santa-Clara, Pedro Nova School of Business and Economics
Wolf, Michael University of Zurich - Department of Economics Library
601
39
Diagonal-Vech model multivariate GARCH, unrestricted estimation
15.
The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
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Santa-Clara, Pedro Nova School of Business and Economics
Sornette, Didier ETH Zurich
Posted:
27 Mar 00
Last Revised:
23 Jul 01
533(23,395)
25
Santa-Clara, Pedro Nova School of Business and Economics
Sornette, Didier ETH Zurich
0
Santa-Clara, Pedro Nova School of Business and Economics
Sornette, Didier ETH Zurich
533
25
16.
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
486(26,447)
61
17.
Dynamic Portfolio Selection by Augmenting the Asset Space
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Santa-Clara, Pedro Nova School of Business and Economics
Brandt, Michael W. Duke University - Fuqua School of Business
Posted:
07 Mar 04
Last Revised:
28 Dec 04
434(30,657)
33
Santa-Clara, Pedro Nova School of Business and Economics
Brandt, Michael W. Duke University - Fuqua School of Business
42
33
Brandt, Michael W. Duke University - Fuqua School of Business
Santa-Clara, Pedro Nova School of Business and Economics
392
33
Dynamic portfolio choice, asset allocation, mean variance, Markowitz
18.
Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
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Brandt, Michael W. Duke University - Fuqua School of Business
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
Posted:
19 Jan 05
Last Revised:
29 Jul 10
309(46,507)
28
Brandt, Michael W. Duke University - Fuqua School of Business
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
0
G11, G12
Brandt, Michael W. Duke University - Fuqua School of Business
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
267
28
Brandt, Michael W. Duke University - Fuqua School of Business
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
42
28
19.
Two Trees: Asset Price Dynamics Induced by Market Clearing
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Cochrane, John H. University of Chicago - Booth School of Business
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
27 Nov 03
Last Revised:
24 Aug 10
264(55,714)
10
Cochrane, John H. University of Chicago - Booth School of Business
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Santa-Clara, Pedro Nova School of Business and Economics
239
10
Cochrane, John H. University of Chicago - Booth School of Business
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Santa-Clara, Pedro Nova School of Business and Economics
25
10
20.
Professor Zipf Goes to Wall Street
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Malevergne, Yannick University of Saint Etienne - Graduate School of Economics and Business Administration (ISEAG)
Santa-Clara, Pedro Nova School of Business and Economics
Sornette, Didier ETH Zurich
Posted:
21 Aug 09
Last Revised:
02 Oct 09
242(61,239)
5
Malevergne, Yannick University of Saint Etienne - Graduate School of Economics and Business Administration (ISEAG)
Santa-Clara, Pedro Nova School of Business and Economics
Sornette, Didier ETH Zurich
21
5
Malevergne, Yannick University of Saint Etienne - Graduate School of Economics and Business Administration (ISEAG)
Santa-Clara, Pedro Nova School of Business and Economics
Sornette, Didier ETH Zurich
221
5
Zipf, APT, firm size
21.
Maio, Paulo F. Hanken School of Economics
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
08 Oct 12
Last Revised:
28 Apr 13
231(64,441)
3
asset pricing, predictability of stock returns, dividend-growth predictability, long-horizon regressions, dividend yield, VAR implied predictability, present-value model, size premium, value premium, cross-section of stocks
22.
Faias, José Catholic University of Portugal (UCP)
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
14 Mar 10
Last Revised:
11 Apr 11
193(77,416)
23.
Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
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Santa-Clara, Pedro Nova School of Business and Economics
Yan, Shu University of South Carolina - Moore School of Business
Posted:
08 Dec 04
Last Revised:
21 Mar 05
178(83,593)
7
Santa-Clara, Pedro Nova School of Business and Economics
Yan, Shu University of South Carolina - Moore School of Business
130
7
Santa-Clara, Pedro Nova School of Business and Economics
Yan, Shu University of South Carolina - Moore School of Business
48
7
24.
Hsu, Jason C. Research Affiliates, LLC
Saa-Requejo, Jesus Vega Asset Management LLC
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
20 Mar 10
Last Revised:
03 Nov 10
160(92,321)
1
Fixed Income, Default Risk, Corporate Bonds
25.
Maio, Paulo F. Hanken School of Economics
Santa-Clara, Pedro Nova School of Business and Economics
Posted:
17 Jan 12
Last Revised:
18 Apr 13
157(93,923)
Cross-section of stock returns, Asset pricing, Intertemporal CAPM, Conditional CAPM, Conditioning information, State variables, Linear multifactor models, Predictability of returns, Fama-French factors, Value premium, Momentum, Long-term reversal in returns, Investment anomaly
26.
Faias, José Catholic University of Portugal (UCP)
Ferreira, Miguel A. Nova School of Business and Economics
Santa-Clara, Pedro Nova School of Business and Economics
Matos, Pedro P. University of Virginia - Darden School of Business
Posted:
13 Oct 11
Last Revised:
16 Dec 12
136(106,468)
1
Institutional investors, Comovements, International diversification, International capital markets
27.
A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
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Brandt, Michael W. Duke University - Fuqua School of Business
Goyal, Amit University of Lausanne
Santa-Clara, Pedro Nova School of Business and Economics
Stroud, Jonathan R. University of Pennsylvania - Statistics Department
Posted:
15 Dec 04
Last Revised:
29 Jul 10
64(177,658)
58
Brandt, Michael W. Duke University - Fuqua School of Business
Goyal, Amit University of Lausanne
Santa-Clara, Pedro Nova School of Business and Economics
Stroud, Jonathan R. University of Pennsylvania - Statistics Department
0
time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem
Brandt, Michael W. Duke University - Fuqua School of Business
Goyal, Amit University of Lausanne
Santa-Clara, Pedro Nova School of Business and Economics
Stroud, Jonathan R. University of Pennsylvania - Statistics Department
64
58
28.
Brandt, Michael W. Duke University - Fuqua School of Business
Cochrane, John H. University of Chicago - Booth School of Business
Santa-Clara, Pedro Nova School of Business and Economics
33(235,417)
56
29.
Santa-Clara, Pedro Nova School of Business and Economics
Brandt, Michael W. Duke University - Fuqua School of Business
31(240,458)
54
30.
Santa-Clara, Pedro Nova School of Business and Economics
Valkanov, Rossen I. University of California, San Diego (UCSD) - Rady School of Management
23(264,737)
62
31.
Fichtner, Luiz Paulo New University of Lisbon - Faculdade de Economia
Santa-Clara, Pedro Nova School of Business and Economics
22(268,123)
32.
Cochrane, John H. University of Chicago - Booth School of Business
Longstaff, Francis A. University of California, Los Angeles (UCLA) - Finance Area
Santa-Clara, Pedro Nova School of Business and Economics
33.
Santa-Clara, Pedro Nova School of Business and Economics
de Jong, Frank Tilburg University - Department of Finance
