Pedro Santa-Clara

New University of Lisbon - Nova School of Business and Economics

Professor

Lisbon

Portugal

http://docentes.fe.unl.pt/~psc/

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

Centre for Economic Policy Research (CEPR)

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

34

DOWNLOADS
Rank 779

SSRN RANKINGS

Top 779

in Total Papers Downloads

24,376

CITATIONS
Rank 430

SSRN RANKINGS

Top 430

in Total Papers Citations

1,069

Scholarly Papers (34)

1.

Momentum Has Its Moments

Journal of Financial Economics (JFE), vol. 116, Issue 1, 2015, 111-120
Number of pages: 39 Posted: 18 Apr 2012 Last Revised: 20 Nov 2015
Pedro Barroso and Pedro Santa-Clara
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 4,228 (990)
Citation 3

Abstract:

Stock momentum, risk management, anomalies

2.

The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence

Anderson School at UCLA Working Paper #4-00
Number of pages: 45 Posted: 09 Jun 2000
Francis A. Longstaff, Eduardo S. Schwartz and Pedro Santa-Clara
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and New University of Lisbon - Nova School of Business and Economics
Downloads 1,418 (8,796)
Citation 43

Abstract:

3.

Beyond the Carry Trade: Optimal Currency Portfolios

Journal of Financial and Quantitative Analysis (JFQA), Vol. 50, No. 5, 2015
Number of pages: 43 Posted: 18 Apr 2012 Last Revised: 01 May 2016
Pedro Barroso and Pedro Santa-Clara
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 1,405 (7,079)
Citation 6

Abstract:

forward rate premium, carry trade, currency market, optimal portfolios

4.

Relative Pricing of Options with Stochastic Volatility

University of California-Los Angeles Finance Working Paper 9-98
Number of pages: 11 Posted: 01 Sep 1998
Olivier Ledoit and Pedro Santa-Clara
University of Zurich - Department of Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 1,370 (9,632)
Citation 26

Abstract:

Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole

AFA 2010 Atlanta Meetings Paper
Number of pages: 57 Posted: 22 Mar 2009 Last Revised: 25 Jul 2010
Miguel A. Ferreira and Pedro Santa-Clara
Nova School of Business and Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 1,115 (13,963)
Citation 20

Abstract:

Equity premium, forecasting, stock market, predictive regression

Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 57 Posted: 19 Aug 2010
Miguel A. Ferreira and Pedro Santa-Clara
Nova School of Business and Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 133 (177,369)
Citation 20

Abstract:

Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole

NBER Working Paper No. w14571
Number of pages: 34 Posted: 29 Dec 2008
Miguel A. Ferreira and Pedro Santa-Clara
Nova School of Business and Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 61 (296,962)
Citation 20

Abstract:

6.

Earnings Announcements are Full of Surprises

Number of pages: 37 Posted: 19 Jun 2006 Last Revised: 25 Feb 2008
Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and Duke University - Fuqua School of Business
Downloads 1,167 (11,571)
Citation 16

Abstract:

post-earnings announcement drift, market efficiency, under-reaction, non-earnings accounting information

7.

Option Strategies: Good Deals and Margin Calls

EFA 2006 Zurich Meetings
Number of pages: 40 Posted: 25 Mar 2005
Alessio Saretto and Pedro Santa-Clara
University of Texas at Dallas - School of Management - Department of Finance & Managerial Economics and New University of Lisbon - Nova School of Business and Economics
Downloads 1,059 (13,937)
Citation 31

Abstract:

Option strategies, margin requirements

8.

Bond Pricing with Default Risk

Number of pages: 57 Posted: 01 Nov 2004
Jason C. Hsu, Jesus Saa-Requejo and Pedro Santa-Clara
Rayliant Global Advisors, Vega Asset Management LLC and New University of Lisbon - Nova School of Business and Economics
Downloads 974 (15,496)
Citation 25

Abstract:

Bond pricing, default risk, term structure of yield spread

9.
Downloads 947 ( 18,246)
Citation 203

Idiosyncratic Risk Matters!

AFA 2003 Washington, DC Meetings
Number of pages: 43 Posted: 17 Oct 2002
Amit Goyal and Pedro Santa-Clara
University of Lausanne and New University of Lisbon - Nova School of Business and Economics
Downloads 947 (17,898)
Citation 203

Abstract:

Idiosyncratic Risk Matters!

The Journal of Finance, Vol. 58, pp. 975-1008, June 2003
Posted: 04 Aug 2003
Amit Goyal and Pedro Santa-Clara
University of Lausanne and New University of Lisbon - Nova School of Business and Economics

Abstract:

10.

Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market

Number of pages: 49 Posted: 02 Jul 1999
Francis A. Longstaff, Eduardo S. Schwartz and Pedro Santa-Clara
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and New University of Lisbon - Nova School of Business and Economics
Downloads 922 (18,736)
Citation 24

Abstract:

11.
Downloads 887 ( 20,146)
Citation 141

There is a Risk-Return Tradeoff After All

EFA 2004 Maastricht Meetings Paper No. 1345; Anderson Working Paper; CIRANO Working Paper
Number of pages: 56 Posted: 18 Jun 2004
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 800 (23,045)
Citation 141

Abstract:

ICAPM, risk-return tradeoff, conditional variance, forecasting returns

There is a Risk-Return Tradeoff after All

NBER Working Paper No. w10913
Number of pages: 55 Posted: 08 Dec 2004
Pedro Santa-Clara, Eric Ghysels and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics, University of North Carolina Kenan-Flagler Business School and University of California, San Diego (UCSD) - Rady School of Management
Downloads 87 (241,435)
Citation 141

Abstract:

Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies

Anderson School of Management Working Paper and UNC Department of Economics Working Paper
Number of pages: 46 Posted: 05 Oct 2003
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 643 (31,301)
Citation 70

Abstract:

variance estimation, volatility, asset pricing, MIDAS

Predicting Volatility: Getting the Most Out of Return Data Sampled at Different Frequencies

NBER Working Paper No. w10914
Number of pages: 45 Posted: 08 Dec 2004
Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov
University of North Carolina Kenan-Flagler Business School, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 72 (271,165)
Citation 70

Abstract:

13.

Dynamic Portfolio Choice: A Simulation Approach

Number of pages: 43 Posted: 05 Jun 2001
Michael W. Brandt, Amit Goyal and Pedro Santa-Clara
Duke University - Fuqua School of Business, University of Lausanne and New University of Lisbon - Nova School of Business and Economics
Downloads 669 (29,082)
Citation 5

Abstract:

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

UPF, Economics and Business Working Paper No. 578
Number of pages: 33 Posted: 15 Oct 2002
Olivier Ledoit, Pedro Santa-Clara and Michael Wolf
University of Zurich - Department of Economics, New University of Lisbon - Nova School of Business and Economics and University of Zurich - Department of Economics
Downloads 633 (31,971)
Citation 40

Abstract:

Diagonal-Vech model multivariate GARCH, unrestricted estimation

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Review of Economics and Statistics, Forthcoming
Posted: 19 Oct 2002
Olivier Ledoit, Pedro Santa-Clara and Michael Wolf
University of Zurich - Department of Economics, New University of Lisbon - Nova School of Business and Economics and University of Zurich - Department of Economics

Abstract:

Diagonal-Vech model multivariate GARCH, unrestricted estimation

15.

Dividend Yields, Dividend Growth, and Return Predictability in the Cross-Section of Stocks

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 46 Posted: 08 Oct 2012 Last Revised: 02 Apr 2015
Paulo F. Maio and Pedro Santa-Clara
Hanken School of Economics - Department of Finance and Statistics and New University of Lisbon - Nova School of Business and Economics
Downloads 590 (24,405)
Citation 2

Abstract:

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

The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

Review of Financial Studies
Number of pages: 43 Posted: 04 Jun 2000
Pedro Santa-Clara and Didier Sornette
New University of Lisbon - Nova School of Business and Economics and Swiss Finance Institute
Downloads 565 (37,246)
Citation 27

Abstract:

The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

Review of Financial Studies, 2000
Posted: 27 Mar 2000
Pedro Santa-Clara and Didier Sornette
New University of Lisbon - Nova School of Business and Economics and Swiss Finance Institute

Abstract:

17.

Political Cycles and the Stock Market

Anderson School of Management, UCLA, Working Paper
Number of pages: 56 Posted: 25 Oct 2000
Pedro Santa-Clara and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 527 (37,012)
Citation 67

Abstract:

Dynamic Portfolio Selection by Augmenting the Asset Space

AFA 2005 Philadelphia Meetings
Number of pages: 38 Posted: 07 Mar 2004
Michael W. Brandt and Pedro Santa-Clara
Duke University - Fuqua School of Business and New University of Lisbon - Nova School of Business and Economics
Downloads 409 (56,167)
Citation 35

Abstract:

Dynamic portfolio choice, asset allocation, mean variance, Markowitz

Dynamic Portfolio Selection by Augmenting the Asset Space

NBER Working Paper No. w10372
Number of pages: 39 Posted: 30 Mar 2004
Pedro Santa-Clara and Michael W. Brandt
New University of Lisbon - Nova School of Business and Economics and Duke University - Fuqua School of Business
Downloads 56 (310,100)
Citation 35

Abstract:

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

EFA 2005 Moscow Meetings Paper
Number of pages: 49 Posted: 23 Jun 2005
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 300 (80,721)
Citation 27

Abstract:

Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns

NBER Working Paper No. w10996
Number of pages: 50 Posted: 19 Jan 2005
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 57 (307,425)
Citation 27

Abstract:

Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3411-3447, 2009
Posted: 08 Sep 2009
Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov
Duke University - Fuqua School of Business, New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Abstract:

G11, G12

20.

Short-Term Interest Rates and Stock Market Anomalies

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 58 Posted: 17 Jan 2012 Last Revised: 10 Feb 2017
Paulo F. Maio and Pedro Santa-Clara
Hanken School of Economics - Department of Finance and Statistics and New University of Lisbon - Nova School of Business and Economics
Downloads 341 (41,154)

Abstract:

cross-section of stock returns; asset pricing; intertemporal CAPM; state variables; linear multifactor models; predictability of returns; value premium; long-term reversal in returns; equity duration anomaly; corporate investment anomaly; inventory growth anomaly

21.
Downloads 332 ( 72,551)
Citation 6

Professor Zipf Goes to Wall Street

Number of pages: 33 Posted: 21 Aug 2009
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, New University of Lisbon - Nova School of Business and Economics and Swiss Finance Institute
Downloads 295 (82,320)
Citation 6

Abstract:

Zipf, APT, firm size

Professor Zipf Goes to Wall Street

NBER Working Paper No. w15295
Number of pages: 34 Posted: 31 Aug 2009
Yannick Malevergne, Pedro Santa-Clara and Didier Sornette
Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, New University of Lisbon - Nova School of Business and Economics and Swiss Finance Institute
Downloads 37 (371,428)
Citation 6

Abstract:

Two Trees: Asset Price Dynamics Induced by Market Clearing

AFA 2005 Philadelphia Meetings; EFA 2004 Maastricht Meetings Paper No. 1318
Number of pages: 46 Posted: 23 Jun 2004
John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara
Hoover Institution, University of California, Los Angeles (UCLA) - Finance Area and New University of Lisbon - Nova School of Business and Economics
Downloads 251 (98,274)
Citation 9

Abstract:

Two Trees: Asset Price Dynamics Induced by Market Clearing

NBER Working Paper No. w10116
Number of pages: 46 Posted: 27 Nov 2003
John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara
Hoover Institution, University of California, Los Angeles (UCLA) - Finance Area and New University of Lisbon - Nova School of Business and Economics
Downloads 34 (383,105)
Citation 9

Abstract:

23.

Optimal Option Portfolio Strategies

AFA 2011 Denver Meetings Paper
Number of pages: 38 Posted: 14 Mar 2010 Last Revised: 11 Apr 2011
José Faias and Pedro Santa-Clara
Catholic University of Portugal (UCP) and New University of Lisbon - Nova School of Business and Economics
Downloads 270 (64,759)

Abstract:

24.

A Structural Model of Default Risk

Journal of Fixed Income, Vol. 19, No. 3, pp. 77-94, Winter 2010
Posted: 20 Mar 2010 Last Revised: 28 Dec 2016
Jason C. Hsu, Jesus Saa-Requejo and Pedro Santa-Clara
Rayliant Global Advisors, Vega Asset Management LLC and New University of Lisbon - Nova School of Business and Economics

Abstract:

Fixed Income, Default Risk, Corporate Bonds

Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options

Number of pages: 49 Posted: 21 Mar 2005
Pedro Santa-Clara and Shu Yan
New University of Lisbon - Nova School of Business and Economics and Oklahoma State University - Stillwater - Department of Finance
Downloads 138 (172,162)
Citation 7

Abstract:

Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options

NBER Working Paper No. w10912
Number of pages: 50 Posted: 08 Dec 2004
Pedro Santa-Clara and Shu Yan
New University of Lisbon - Nova School of Business and Economics and Oklahoma State University - Stillwater - Department of Finance
Downloads 52 (321,604)
Citation 7

Abstract:

26.

Capital Market Integration and Consumption Risk Sharing Over the Long Run

Number of pages: 57 Posted: 16 Jan 2014 Last Revised: 20 Jan 2016
Jesper Rangvid, Pedro Santa-Clara and Maik Schmeling
Copenhagen Business School, New University of Lisbon - Nova School of Business and Economics and City University London - Sir John Cass Business School
Downloads 86 (175,769)

Abstract:

Market integration, Consumption risk sharing, International financial markets

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

NBER Working Paper No. w10934
Number of pages: 50 Posted: 15 Dec 2004
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University
Downloads 79 (256,556)
Citation 59

Abstract:

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

The Review of Financial Studies, Vol. 18, Issue 3, pp. 831-873, 2005
Posted: 29 Feb 2008
Duke University - Fuqua School of Business, University of Lausanne, New University of Lisbon - Nova School of Business and Economics and McDonough School of Business, Georgetown University

Abstract:

time optimal control problems, Neumann parabolic equations with an infinite number of variables, Dubovitskii-Milyutin theorem, conical approximations, optimality conditions, Weierstrass theorem

28.

Out-of-Sample Predictability of Bond Returns

Number of pages: 23 Posted: 09 Apr 2013
Luiz Paulo Fichtner and Pedro Santa-Clara
New University of Lisbon - Faculdade de Economia and New University of Lisbon - Nova School of Business and Economics
Downloads 62 (268,371)

Abstract:

29.

International Risk Sharing is Better than You Think (or Exchange Rates are Much Too Smooth)

NBER Working Paper No. w8404
Number of pages: 34 Posted: 29 Jul 2001
Michael W. Brandt, John H. Cochrane and Pedro Santa-Clara
Duke University - Fuqua School of Business, Hoover Institution and New University of Lisbon - Nova School of Business and Economics
Downloads 36 (349,984)
Citation 58

Abstract:

30.

Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets

NBER Working Paper No. t0274
Number of pages: 57 Posted: 26 Aug 2001
Pedro Santa-Clara and Michael W. Brandt
New University of Lisbon - Nova School of Business and Economics and Duke University - Fuqua School of Business
Downloads 32 (363,583)
Citation 53

Abstract:

31.

The Presidential Puzzle: Political Cycles and the Stock Market

Journal of Finance, Vol. 58, pp. 1841-1872, October 2003
Number of pages: 32 Posted: 01 Nov 2003
Pedro Santa-Clara and Rossen I. Valkanov
New University of Lisbon - Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management
Downloads 23 (422,874)
Citation 67

Abstract:

32.

Internet Appendix to Beyond the Carry Trade: Optimal Currency Portfolios

Journal of Financial and Quantitative Analysis, 50, October 2015
Number of pages: 15 Posted: 01 May 2016
Pedro Barroso and Pedro Santa-Clara
UNSW Australia Business School, School of Banking and Finance and New University of Lisbon - Nova School of Business and Economics
Downloads 0 (374,425)

Abstract:

forward rate premium, carry trade, currency market, optimal portfolios

33.

Two Trees

The Review of Financial Studies, Vol. 21, Issue 1, pp. 347-385, 2008
Posted: 26 Jun 2008
John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara
Hoover Institution, University of California, Los Angeles (UCLA) - Finance Area and New University of Lisbon - Nova School of Business and Economics

Abstract:

34.

The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables

Journal of Financial and Quantitative Analysis, March 1999
Posted: 30 Dec 1998
Pedro Santa-Clara and Frank De Jong
New University of Lisbon - Nova School of Business and Economics and Tilburg University - Department of Finance

Abstract: