Author Page for Pedro Santa-Clara

Duke University - Fuqua School of Business, Duke University - Fuqua School of Business, Nova School of Business and Economics and Duke University - Fuqua School of Business

Downloads 2,374 (12,516)

Citation 12

Abstract:

4.

Dynamic Portfolio Selection by Augmenting the Asset Space

Downloads 1,753 (20,291)

Citation 16

2

Dynamic Portfolio Selection by Augmenting the Asset Space

NBER Working Paper No. w10372

Number of pages: 39 Posted: 30 Mar 2004 Last Revised: 05 Nov 2022

Pedro Santa-Clara and Michael W. Brandt

Nova School of Business and Economics and Duke University - Fuqua School of Business

Downloads 1,245 (33,223)

Citation 8

Abstract:

Dynamic Portfolio Selection by Augmenting the Asset Space

Number of pages: 38 Posted: 07 Mar 2004

Michael W. Brandt and Pedro Santa-Clara

Duke University - Fuqua School of Business and Nova School of Business and Economics

Downloads 508 (110,546)

Citation 8

Abstract:

5.

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

Downloads 1,702 (21,239)

Citation 3

3

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 Nova School of Business and Economics

Downloads 1,274 (32,102)

Citation 3

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 Last Revised: 26 Oct 2022

Miguel A. Ferreira and Pedro Santa-Clara

Nova School of Business and Economics and Nova School of Business and Economics

Downloads 220 (274,886)

Abstract:

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 Nova School of Business and Economics

Downloads 208 (289,969)

Abstract:

6.

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 Nova School of Business and Economics

Downloads 1,595 (23,399)

Citation 36

Abstract:

7.

Bond Pricing with Default Risk

Number of pages: 57 Posted: 01 Nov 2004

Jason C. Hsu, Jason C. Hsu, Jesus Saa-Requejo and Pedro Santa-Clara

Research AffiliatesRayliant Global Advisors, Vega Asset Management LLC and Nova School of Business and Economics

Downloads 1,540 (24,679)

Citation 17

Abstract:

8.

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

Federal Reserve Banks - Federal Reserve Bank of Dallas and Nova School of Business and Economics

Downloads 1,484 (26,102)

Citation 19

Abstract:

9.

Idiosyncratic Risk Matters!

Downloads 1,234 (34,222)

Citation 166

2

Idiosyncratic Risk Matters!

Number of pages: 43 Posted: 17 Oct 2002

Amit Goyal and Pedro Santa-Clara

University of Lausanne and Nova School of Business and Economics

Downloads 1,234 (33,655)

Citation 166

Abstract:

Idiosyncratic Risk Matters!

Posted: 04 Aug 2003

Amit Goyal and Pedro Santa-Clara

University of Lausanne and 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, Eduardo S. Schwartz and Pedro Santa-Clara

University of California, Los Angeles (UCLA) - Finance Area, Simon Fraser University (SFU)University of California, Los Angeles (UCLA) - Finance Area and Nova School of Business and Economics

Downloads 1,221 (34,716)

Citation 12

Abstract:

11.

There is a Risk-Return Tradeoff after All

Downloads 1,123 (39,138)

Citation 20

2

There is a Risk-Return Tradeoff after All

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, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Downloads 928 (50,502)

Citation 12

Abstract:

There is a Risk-Return Tradeoff after All

NBER Working Paper No. w10913

Number of pages: 55 Posted: 08 Dec 2004 Last Revised: 29 Oct 2022

Pedro Santa-Clara, Eric Ghysels and Rossen I. Valkanov

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 195 (308,021)

Citation 8

Abstract:

12.

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 Nova School of Business and Economics

Downloads 1,057 (42,826)

Citation 33

Abstract:

13.

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

Downloads 1,055 (42,948)

Citation 112

3

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

Number of pages: 49 Posted: 23 Jun 2005

Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov

Duke University - Fuqua School of Business, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Downloads 913 (51,668)

Citation 1

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 Last Revised: 20 Jul 2022

Michael W. Brandt, Pedro Santa-Clara and Rossen I. Valkanov

Duke University - Fuqua School of Business, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Downloads 142 (408,644)

Citation 111

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, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Abstract:

14.

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 Nova School of Business and Economics

Downloads 1,036 (44,086)

Citation 18

Abstract:

15.

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

Downloads 1,016 (45,311)

Citation 28

2

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, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Downloads 829 (58,952)

Citation 3

Abstract:

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 Last Revised: 29 Oct 2022

Eric Ghysels, Pedro Santa-Clara and Rossen I. Valkanov

University of North Carolina Kenan-Flagler Business School, Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Downloads 187 (321,782)

Citation 25

Abstract:

16.

Optimal Option Portfolio Strategies

AFA 2011 Denver Meetings Paper

Number of pages: 38 Posted: 14 Mar 2010 Last Revised: 11 Apr 2011

José Afonso Faias and Pedro Santa-Clara

Catholic University of Portugal (UCP) and Nova School of Business and Economics

Downloads 898 (53,838)

Citation 4

Abstract:

17.

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 Nova School of Business and Economics

Downloads 805 (62,353)

Citation 8

Abstract:

18.

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

Downloads 798 (63,064)

Citation 14

2

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

Number of pages: 43 Posted: 04 Jun 2000

Pedro Santa-Clara and Didier Sornette

Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)

Downloads 798 (62,110)

Citation 14

Abstract:

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

Posted: 27 Mar 2000

Pedro Santa-Clara and Didier Sornette

Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)

Abstract:

19.

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

Nova School of Business and Economics and University of California, San Diego (UCSD) - Rady School of Management

Downloads 743 (69,218)

Citation 1

Abstract:

20.

Flexible Multivariate GARCH Modeling with an Application to International Stock Markets

Downloads 686 (76,692)

Citation 7

2

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, Nova School of Business and Economics and University of Zurich - Department of Economics

Downloads 686 (75,594)

Citation 7

Abstract:

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, Nova School of Business and Economics and University of Zurich - Department of Economics

Abstract:

21.

Professor Zipf Goes to Wall Street

Downloads 474 (121,572)

Citation 1

2

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, Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)

Downloads 387 (152,507)

Citation 1

Abstract:

Professor Zipf Goes to Wall Street

NBER Working Paper No. w15295

Number of pages: 34 Posted: 31 Aug 2009 Last Revised: 17 Apr 2023

Yannick Malevergne, Pedro Santa-Clara and Didier Sornette

Université Paris I Panthéon-Sorbonne - Laboratoire PRISM, Nova School of Business and Economics and Risks-X, Southern University of Science and Technology (SUSTech)

Downloads 87 (583,541)

Abstract:

22.

Two Trees: Asset Price Dynamics Induced by Market Clearing

Downloads 366 (163,727)

Citation 13

2

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 Nova School of Business and Economics

Downloads 288 (210,181)

Abstract:

Two Trees: Asset Price Dynamics Induced by Market Clearing

NBER Working Paper No. w10116

Number of pages: 46 Posted: 27 Nov 2003 Last Revised: 24 Aug 2022

John H. Cochrane, Francis A. Longstaff and Pedro Santa-Clara

Hoover Institution, University of California, Los Angeles (UCLA) - Finance Area and Nova School of Business and Economics

Downloads 78 (623,702)

Citation 13

Abstract:

23.

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, Nova School of Business and Economics and Goethe University Frankfurt - Department of Finance

Downloads 308 (197,169)

Citation 4

Abstract:

24.

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

Downloads 266 (229,418)

Citation 39

2

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 Last Revised: 18 Nov 2022

Michael W. Brandt, Amit Goyal, Pedro Santa-Clara and Jonathan R Stroud

Duke University - Fuqua School of Business, University of Lausanne, Nova School of Business and Economics and McDonough School of Business, Georgetown University

Downloads 266 (228,033)

Citation 39

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

Michael W. Brandt, Amit Goyal, Pedro Santa-Clara and Jonathan R Stroud

Duke University - Fuqua School of Business, University of Lausanne, Nova School of Business and Economics and McDonough School of Business, Georgetown University

Abstract:

25.

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

Downloads 257 (237,495)

2

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

Nova School of Business and Economics and Oklahoma State University - Stillwater - Department of Finance

Downloads 177 (336,593)

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 Last Revised: 27 Oct 2022

Pedro Santa-Clara and Shu Yan

Nova School of Business and Economics and Oklahoma State University - Stillwater - Department of Finance

Downloads 80 (614,468)

Abstract:

26.

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

CATÓLICA-LISBON School of Business & Economics and Nova School of Business and Economics

Downloads 147 (394,518)

Abstract:

27.

Out-of-Sample Predictability of Bond Returns

Number of pages: 23 Posted: 09 Apr 2013

Luiz Paulo Fichtner and Pedro Santa-Clara

Nova School of Business and Economics and Nova School of Business and Economics

Downloads 128 (439,875)

Abstract:

28.

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 Last Revised: 19 Dec 2022

Michael W. Brandt, John H. Cochrane and Pedro Santa-Clara

Duke University - Fuqua School of Business, Hoover Institution and Nova School of Business and Economics

Downloads 77 (619,282)

Citation 51

Abstract:

29.

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 Last Revised: 03 Apr 2022

Pedro Santa-Clara and Michael W. Brandt

Nova School of Business and Economics and Duke University - Fuqua School of Business

Downloads 70 (651,755)

Citation 5

Abstract:

30.

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, Jason C. Hsu, Jesus Saa-Requejo and Pedro Santa-Clara

Research AffiliatesRayliant Global Advisors, Vega Asset Management LLC and Nova School of Business and Economics

Abstract:

31.

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 Nova School of Business and Economics

Abstract:

32.

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

Posted: 30 Dec 1998

Pedro Santa-Clara and Frank De Jong

Nova School of Business and Economics and Tilburg University - Department of Finance

Pedro Santa-Clara

Nova School of Business and Economics

Professor

National Bureau of Economic Research (NBER)

Centre for Economic Policy Research (CEPR)

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Scholarly Papers (32)

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