Pedro A. C. Saffi

University of Cambridge - Judge Business School

Trumpington Street

Cambridge, CB2 1AG

United Kingdom

http://www.pedrosaffi.com

  • University of Cambridge - Judge Business School

SCHOLARLY PAPERS

9

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CITATIONS
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43

Scholarly Papers (9)

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1.

Price Efficiency and Short Selling

AFA 2008 New Orleans Meetings Paper, IESE Business School Working Paper No. 748, Review of Finance Studies, Vol. 24, No. 3, pp. 821-852, 2011
Number of pages: 41 Posted: 04 Dec 2006 Last Revised: 07 Mar 2011
Pedro A. C. Saffi and Kari Sigurdsson
University of Cambridge - Judge Business School and AQR Capital Management
Downloads 2,974 (3,553)
Citation 34

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Short sales constraints, market efficiency, equity lending markets, extreme returns

2.

The Role of Institutional Investors in Voting: Evidence from the Securities Lending Market

Journal of Finance, Forthcoming
Number of pages: 53 Posted: 17 Mar 2012 Last Revised: 22 May 2015
Reena Aggarwal, Pedro A. C. Saffi and Jason Sturgess
Georgetown University - Robert Emmett McDonough School of Business, University of Cambridge - Judge Business School and Queen Mary University of London
Downloads 1,567 (10,459)
Citation 4

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Proxy Voting, Securities Lending, Institutional Investors

3.

Deleveraging Risk

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 48 Posted: 27 Nov 2012 Last Revised: 26 Aug 2016
Scott A. Richardson, Pedro A. C. Saffi and Kari Sigurdsson
AQR Capital Management, LLC, University of Cambridge - Judge Business School and AQR Capital Management
Downloads 848 (26,618)

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Deleveraging, equity lending, short selling, arbitrage capital, funding capital

4.

Ownership Structure , Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets

Number of pages: 49 Posted: 17 Mar 2011 Last Revised: 10 Jul 2016
Melissa Porras Prado, Pedro A. C. Saffi and Jason Sturgess
Nova School of Business and Economics, University of Cambridge - Judge Business School and Queen Mary University of London
Downloads 707 (34,147)
Citation 2

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Limits to Arbitrage, Equity Lending Markets, Short Selling, Ownership Structure, Arbitrage Risk

5.

The Rise of the Equity Lending Market: Implications for Corporate Policies

Number of pages: 68 Posted: 15 Dec 2015 Last Revised: 12 May 2018
Murillo Campello, Rafael Matta and Pedro A. C. Saffi
Cornell University - Samuel Curtis Johnson Graduate School of Management, SKEMA Business School - Université Côte d'Azur and University of Cambridge - Judge Business School
Downloads 422 (66,239)

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Equity lending markets, short sales, corporate policies, share repurchases, investment, savings

6.

Expected Returns and Liquidity Risk: Does Entrepreneurial Income Matter?

IESE Business School Working Paper No. 749
Number of pages: 38 Posted: 09 Sep 2008
Pedro A. C. Saffi
University of Cambridge - Judge Business School
Downloads 326 (89,426)

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7.

Differences of Opinion, Information and the Timing of Trades

IESE Business School Working Paper No. 747
Number of pages: 51 Posted: 10 Sep 2008
Pedro A. C. Saffi
University of Cambridge - Judge Business School
Downloads 279 (105,826)
Citation 1

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Trading volume, differences of opinion, information asymmetry

8.

Short Sales Constraints and the Diversification Puzzle

Number of pages: 60 Posted: 28 Jul 2015 Last Revised: 23 Feb 2019
Adam V. Reed, Pedro A. C. Saffi and Edward Dickersin Van Wesep
University of North Carolina Kenan-Flagler Business School, University of Cambridge - Judge Business School and University of Colorado at Boulder - Department of Finance
Downloads 242 (122,727)

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Diversification discount, short-sales constraints, differences of beliefs, equity lending, conglomerates.

9.

The Big Short: Short Selling Activity and Predictability in House Prices

46th Annual AREUEA Conference Paper
Number of pages: 50 Posted: 01 Dec 2010 Last Revised: 29 Sep 2016
Pedro A. C. Saffi and Carles Vergara-Alert
University of Cambridge - Judge Business School and University of Navarra - IESE Business School
Downloads 154 (185,975)

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Housing prices, short sales, financial crisis, equity lending, REITs