Pedro A. C. Saffi

University of Cambridge - Judge Business School

Trumpington Street

Cambridge, CB2 1AG

United Kingdom

http://www.pedrosaffi.com

SCHOLARLY PAPERS

9

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7,312

CITATIONS
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43

Scholarly Papers (9)

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 2,925 (3,481)
Citation 34

Abstract:

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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 1,542 (10,217)
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 821 (26,730)

Abstract:

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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 685 (34,240)
Citation 2

Abstract:

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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, University of Amsterdam - Finance Group and University of Cambridge - Judge Business School
Downloads 384 (71,205)

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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 323 (86,905)

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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 276 (103,178)
Citation 1

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Trading volume, differences of opinion, information asymmetry

8.

Short Sales Constraints and the Diversification Puzzle

Number of pages: 68 Posted: 28 Jul 2015 Last Revised: 29 Apr 2016
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 217 (131,796)

Abstract:

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Conglomerate discount, short sales constraints, equity lending, differences of opinion

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 139 (195,192)

Abstract:

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