Our research areas:

  • Corporate Finance
  • Corporate Governance
  • Asset Pricing
  • Asset Management and Mutual Funds
  • Financial Intermediation
  • Sustainable Finance

Research Highlights

Here you can see the Nova SBE Finance Knowledge Center Research Highlights.
Too see our previous highlights, go to this page.

November 2020

Networks in the balance: an agent-based model of optimal exploitation

Author(s):
Fernando Anjos (Nova SBE); Ray Reageans (MIT Sloan School of Management)

Abstract: 
A fundamental driver of value creation is that firms have access to high-quality information to guide investment decisions. There are many sources through which firms can access information, one being the social networks that form within an organization. Previous research has emphasized both the importance of investment decisions and also the key role played by worker and managerial social networks in within-firm information diffusion. Our paper studies a hitherto neglected question, specifically whether and how the firm's investment policies can themselves shape the workers' social network and, therefore, information quality.

The main result of our model is that the pursuit of high-quality investments---identified via an existing social network---can under certain conditions compromise the sustainability of such network, thus limiting the firm's long-run level of information quality and investment performance. We further show that in such environments, managers should limit how much they exploit current information, in order to preserve some of the learning afforded by the network. This result is a possible rationalization for the prima facie "socialist" investment policies documented by existing research.

Keywords: 
Mobility; Organizational Networks; 

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November 2020

FinTech Report

Author(s):
Nova Finance Knowledge Center; NOVAFRICA Knowledge Center

The first part of the report looks at the FinTech ecosystem in Portugal and Spain (Iberia) to shed some light on the size and characteristics of the FinTech market in this geography. The report starts by presenting the Global and European FinTech ecosystems to then dive deeper into the Iberian FinTech ecosystem, containing information regarding sectors, market share and financial data, as well as presentations of the top players from Portugal and Spain and interviews with FinTech’s and financial institutions. The goal of this report is to understand the Iberian FinTech ecosystem and the future of FinTech’s in the region.

The second part of the report analyses the financial system in Africa, where over 60% of the sub-Sharan African adult population is unbanked. The opportunity for FinTech in Africa is immense. African demographics are exploding and the rate of mobile phone penetration is extremely high. FinTech is an opportunity for leapfrogging and closing gaps in several areas. 

South Africa, Kenya, and Nigeria lead sub-Saharan Africa as FinTech hubs, according to the Findexable (2020) FinTech Global Index. Portuguese-speaking African countries have lagged behind most other sub-Saharan African countries. Among these countries, Mozambique has been at the forefront of mobile and online financial innovation – with an enabling regulatory ecosystem. Angola still does not have any mobile money service at work, but there is a growing consensus about the desirability of supporting the introduction of mobile enabled FinTech services. Cape Verde is the Portuguese-speaking African country with the most developed financial system. Paradoxically, there is however no mobile money service available in the country, and movements towards FinTech payment initiatives are not yet formalized.

The Fintech Report is part of the Fintech Initiative of Social Equity Initiative, a partnership between NovaSBE, Banco BPI and Fundação "la caixa" that aims to promote the social sector in Portugal in the long run, sketching a portrait of the sector and developing rsearch and empowerment programs to support Portuguese social organizations.

Access the Report here.
More about the Social Equity Initiative, here.

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Grants

European Research Council, Starting Grant for the Project “Universal Banking, Corporate Control and Crises”, 2013-2018

  • Demirci, I., Huang, J., & Sialm, C. (forthcoming). Government debt and capital structure decisions: International evidence. Journal of Financial Economics.
  • Albuquerque, R., Brandao-Marques, L., Ferreira, M., & Matos, P. (forthcoming). International corporate governance spillovers: Evidence from cross-border mergers and acquisitions. Review of Financial Studies.
  • Santos, J., & Suarez, J. (forthcoming). Liquidity standards and the value of an informed lender of last resort. Journal of Financial Economics.
  • Anjos, F., & Fracassi, C. (forthcoming). Technological specialization and the decline of diversified firms. Journal of Financial and Quantitative Analysis.
  • Prado, M., & Boons, M. (forthcoming). Basis-momentum. Journal of Finance.
  • Pereira, J., & Rua, A. (forthcoming). Asset pricing with a bank risk factor. Journal of Money, Credit and Banking.
  • Ferreira, M., Matos, P., & Pires, P. (forthcoming). Asset management within commercial banking groups: International evidence. Journal of Finance.
  • Faias, J., & Ferreira, M. (forthcoming). Does institutional ownership matter for international stock return comovement? Journal of International Money and Finance.
  • Ferreira, D., Ferreira, M., & Mariano, B. (forthcoming). Creditor control rights and board independence. Journal of Finance.
  • Custodio, C., Ferreira, M., & Matos, P. (forthcoming). Do general managerial skills spur innovation? Management Science.
  • Ferreira, M., Massa, M., & Matos, P. (forthcoming). Investor-stock decoupling in mutual funds. Management Science.
  • Yara, F. B., Boons, M., & Tamoni, A. (Accepted/In press). Value return predictability across asset classes and commonalities in risk premia*. Review Of Finance. 
  • Barroso, P., Boons, M., & Karehnke, P. (Accepted/In press). Time-varying state variable risk premia in the ICAPM. Journal of Financial Economics. 
  • Demirci, I., Gurun, U. G., & Yönder, E. (2020). Shuffling through the Bargain Bin: Real-Estate holdings of public firms. Review Of Finance, 24(3), 647-675. 
  • Demirci, I., Gurun, U. G., & Yönder, E. (2020). Shuffling through the Bargain Bin: Real-Estate holdings of public firms. Review Of Finance, 24(3), 647-675. 
  • Anjos, F., & Reagans, R. (2020). Networks in the balance: an agent-based model of optimal exploitation. Journal of Organization Design, 9(1), [20]. 
  • Boons, M., Duarte, F., de Roon, F., & Szymanowska, M. (2020). Time-varying inflation risk and stock returns. Journal of Financial Economics, 136(2), 444-470. 
  • Evans, R. B., Prado, M. P., & Zambrana, R. (2020). Competition and cooperation in mutual fund families. Journal of Financial Economics, 136(1), 168-188. 
  • Porras Prado, M., Zambrana, R., & Gomez, J. P. (2020). Capital commitment and investment decisions: the role of mutual fund charges.
  • de Carvalho, A. G., Amaro de Matos, J., & Pinheiro, D. B. (2020). Determinants of price stabilisation in initial public offerings. International Journal of Banking, Accounting and Finance, 11(3), 411-433. 
  • Pereira, J. P., Pesquita, V., Rodrigues, P. M. M., & Rua, A. (2019). Market integration and the persistence of electricity prices. Empirical Economics, 57(5), 1495-1514. 
  • Ferreira, M. A., Keswani, A., Miguel, A. F., & Ramos, S. B. (2019). What determines fund performance persistence? International evidence. Financial Review, 54(4), 679-708. 
  • Frade, P. M. S., Pereira, J. P., Santana, J. J. E., & Catalão, J. P. S. (2019). Wind balancing costs in a power system with high wind penetration – Evidence from Portugal. Energy Policy, 132, 702-713. 
  • Demirci, I., Huang, J., & Sialm, C. (2019). Government debt and corporate leverage: international evidence. Journal of Financial Economics, 133(2), 337-356.
  • Huszár, Z. R., & Prado, M. P. (2019). An analysis of over-the-counter and centralized stock lending markets. Journal Of Financial Markets, 43, 31-53. 
  • Custódio, C., Ferreira, M. A., & Matosc, P. (2019). Do general managerial skills spur innovation? Management Science, 65(2), 459-476. 
  • Boons, M., & Prado, M. P. (2019). Basis-momentum. Journal of Finance, 74(1), 239-279. 
  • Albuquerque, R., Brandao-Marques, L., Ferreira, M. A., & Matos, P. (2019). International corporate governance spillovers: Evidence from cross-border mergers and acquisitions. Review Of Financial Studies, 32(2), 738-770. 
  • Sooji, K., C. Plosser, M. & Santos, J. (2018). Macroprudential policy and the revolving door of risk: Lessons from leveraged lending guidance. Journal of Financial Intermediation. DOI: 10.1016/j.jfi.2018.01.011
  • Demirci, I., Eichholtz, P., & Yönder, E. (2018). Corporate diversification and the cost of debt: Evidence from REIT bank loans and mortgages. Journal of Real Estate Finance and Economics, 1-53. DOI: 10.1007/s11146-017-9645-9
  •  Moreno, D., Rodríguez, R., & Zambrana, R. (2018). Management sub-advising in the mutual fund industry. Journal of Financial Economics, 127(3), 567-587. DOI: 10.1016/j.jfineco.2018.01.004
  • Anjos, F., & Kang, C. M. (2017). Managerial myopia, financial expertise, and executive-firm matching. Journal of Corporate Finance, 43, 464-479. DOI: 10.1016/j.jcorpfin.2017.02.010
  •  Faias, J. A., & Ferreira, M. A. (2017). Does institutional ownership matter for international stock return comovement? Journal of International Money and Finance, 78, 64-83. DOI: 10.1016/j.jimonfin.2017.08.004
  • Bena, J., Ferreira, M. A., Matos, P., & Pires, P. (2017). Are foreign investors locusts? The long-term effects of foreign institutional ownership. Journal of Financial Economics, 126(1), 122-146. DOI: 10.1016/j.jfineco.2017.07.005
  • Ferreira, M. A., Matos, P., Pereira, J. P. D. S. S., & Pires, P. (2017). Do locals know better? A comparison of the performance of local and foreign institutional investors. Journal of Banking & Finance, 82, 151-164. DOI: 10.1016/j.jbankfin.2017.06.002
  • Adelino, M., Cunha, I., & Ferreira, M. A. (2017). The economic effects of public financing: Evidence from municipal bond ratings recalibration. Review of Financial Studies, 30(9), 3223-3268. DOI: 10.1093/rfs/hhx049
  • Evans, R., Ferreira, M. A., & Prado, M. P. (2017). Fund performance and equity lending: Why lend what you can sell? Review of Finance, 21(3), 1093-1121. DOI: 10.1093/rof/rfw059
  • Almeida, H., Cunha, I., Ferreira, M. A., & Restrepo, F. (2017). The real effects of credit ratings: The sovereign ceiling channel. Journal of Finance, 72(1), 249-290. DOI: 10.1111/jofi.12434
  •  Ferreira, M. A., Matos, P., Pereira, J. P., & Pires, P. (2017). Do locals know better? A comparison of the performance of local and foreign institutional investors. Journal of Banking & Finance, 82, 151-164. DOI: 10.1016/j.jbankfin.2017.06.002
  • Maio, P., & Santa-Clara, P. (2017). Short-term interest rates and stock market anomalies. Journal of Financial and Quantitative Analysis, 52(3), 927-961. DOI: 10.1017/S002210901700028X
  • Faias, J. A., & Santa-Clara, P. (2017). Optimal option portfolio strategies: Deepening the puzzle of index option mispricing. Journal of Financial and Quantitative Analysis, 52(1), 277-303. DOI: 10.1017/S0022109016000831
  •  Paligorova, T., & Santos, J. A. C. D. (2017). Banks’ exposure to rollover risk and the maturity of corporate loans. Review of Finance, 21(4), 1739-1765. DOI: 10.1093/rof/rfw039
  • Santos, J. A. C. D., & Wilson, K. E. (2017). Does banks’ corporate control lower funding costs? Evidence from US banks’ control over firms’ voting rights. Journal of Financial Services Research, 51(3), 283-311. DOI: 10.1007/s10693-016-0249-y
  • Paligorova, T., & Santos, J. A. C. (2017). Monetary policy and bank risk-taking: Evidence from the corporate loan market. Journal of Financial Intermediation, 30, 35-49. DOI: 10.1016/j.jfi.2016.11.003
  • Mian, A., & Santos, J. A. C. (2017). Liquidity risk and maturity management over the credit cycle. Journal of Financial Economics. DOI: 10.1016/j.jfineco.2017.12.006
  • Amaro de Matos, J., & Lacerda, A. (2016). Randomized stopping times and early exercise for American derivatives in dry markets. Journal of Mathematical Finance, 6(5), 842-865. DOI: 10.4236/jmf.2016.65057
  • Anjos, F. (2016). Resource configuration, inter-firm networks, and organizational performance. Mathematical social sciences, 82, 37-48. DOI: 10.1016/j.mathsocsci.2016.04.003
  • Boons, M. (2016). State variables, macroeconomic activity, and the cross section of individual stocks. Journal of Financial Economics, 119(3), 489-511. DOI: 10.1016/j.jfineco.2015.05.010
  • Ferreira, M., & Laux, P. (2016). Corporate boards and SEOs: The effect of certification and monitoring. Journal of Financial and Quantitative Analysis, 51(3), 899-927. DOI: 10.1017/S0022109016000405
  • Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). Indexing and active fund management: International evidence. Journal of Financial Economics, 120(3), 539-560. DOI: 10.1016/j.jfineco.2016.02.008
  • Adelino, M., & Ferreira, M. A. (2016). Bank ratings and lending supply: Evidence from sovereign downgrades. Review of Financial Studies, 29(7), 1709-1746. DOI: 10.1093/rfs/hhw004
  • Brown, D. P., & Ferreira, M. A. (2016). Idiosyncratic volatility of small public firms and entrepreneurial risk. Quarterly Journal of Finance, 6(01), 1-59. DOI: 10.1142/S2010139216500026
  • Prado, M. P., Saffi, P. A. C., & Sturgess, J. (2016). Ownership structure, limits to arbitrage, and stock returns: Evidence from equity lending markets. Review of Financial Studies, 29(12), 3211-3244. DOI: 10.1093/rfs/hhw058
  • Hassler, U., Rodrigues, P. M. M., & Rubia, A. (2016). Quantile regression for long memory testing: A case of realized volatility. Journal of Financial Econometrics, 14(4), 693-724. DOI: 10.1093/jjfinec/nbw001
  • Rangvid, J., Santa-Clara, P., & Schmeling, M. (2016). Capital market integration and consumption risk sharing over the long run. Journal of International Economics, 103, 27-43. DOI: 10.1016/j.jinteco.2016.08.001
  • Ivanov, I. T., Santos, J. A. C., & Vo, T. (2016). The transformation of banking: Tying loan interest rates to borrowers' CDS spreads. Journal of Corporate Finance, 38, 150-165. DOI: 10.1016/j.jcorpfin.2016.01.005
  • Carvalho, D., Ferreira, M., & Matos, P. (2015). Lending relationships and the effect of bank distress: Evidence from the 2007-2009 financial crisis. Journal of Financial and Quantitative Analysis, 50(6), 1165-1197. DOI: 10.1017/S0022109015000551
  • Pires, P., Pereira, J. P., & Martins, L. F. (2015). The empirical determinants of credit default swap spreads: A quantile regression approach. European Financial Management, 21(3), 556-589. DOI: 10.1111/j.1468-036X.2013.12029.x
  •  Prado, M. P. (2015). Future lending income and security value. Journal of Financial and Quantitative Analysis, 50(4), 869-902. DOI: 10.1017/S0022109015000393
  •  Barroso, P., & Santa-Clara, P. (2015). Beyond the carry trade: Optimal currency portfolios. Journal of Financial and Quantitative Analysis, 50(5), 1037-1056. DOI: 10.1017/S0022109015000460
  • Maio, P., & Santa-Clara, P. (2015). Dividend yields, dividend growth, and return predictability in the cross section of stocks. Journal of Financial and Quantitative Analysis, 50(1-2), 33-60. DOI: 10.1017/S0022109015000058
  • Barroso, P., & Santa-Clara, P. (2015). Momentum has its moments. Journal of Financial Economics, 116(1), 111-120. DOI: 10.1016/j.jfineco.2014.11.010
  •  Bord, V. M., & Santos, J. A. C. (2015). Does securitization of corporate loans lead to riskier lending? Journal of Money, Credit and Banking, 47(2-3), 415-444. DOI: 10.1111/jmcb.12181
  • Amaro de Matos, J., & Silva, N. (2014). Consuming durable goods when stock markets jump: A strategic asset allocation approach. Journal of Economic Dynamics and Control, 42(NA), 86-104. DOI: 10.1016/j.jedc.2014.02.013
  • Ferreira, D., Manso, G., & Castro Silva, A. (2014). Incentives to innovate and the decision to go public or private. Review of Financial Studies, 27(1), 256-300. DOI: 10.1093/rfs/hhs070
  • Hassler, U., Rodrigues, P. M. M., & Rubia, A. (2014). Persistence in the banking industry: Fractional integration and breaks in memory. Journal of Empirical Finance, 29(SI), 95-112. DOI: 10.1016/j.jempfin.2014.03.004
  • Hale, G., & Santos, J. A. C. (2014). Do banks propagate debt market shocks? Journal of Financial Economic Policy, 6(3), 270-310. DOI: 10.1108/JFEP-03-2014-0023
  • Santos, J. A. C., & Bord, V. M. (2014). Banks' liquidity and the cost of liquidity to corporations. Journal of Money, Credit and Banking, 46(SUPPL.1), 13-45. DOI: 10.1111/jmcb.12076
  • Santos, J. A. C. (2014). Evidence from the Bond Market on Banks' ''Too-Big-To-Fail' Subsidy. FRBNY Economic Policy Review, December, 29-39.
  • Ivanov, I., Santos, J. A. C., & Vo, T. (2014). The Introduction of Market-Based Pricing in Corporate Lending. Journal of Financial Perspectives, 2(1), 1-10.
  • Custódio, C. P. D., Ferreira, M., & Matos, P. (2013). Generalists versus specialists: Lifetime work experience and chief executive officer pay. Journal of Financial Economics, 108(NA), 471-492. DOI: 10.1016/j.jfineco.2013.01.001
  • Custódio, C. P. D., Ferreira, M., & Laureano, L. (2013). Why are US firms using more short-term debt? Journal of Financial Economics, 108(1), 182-212. DOI: 10.1016/j.jfineco.2012.10.009
  • Fernandes, N., Ferreira, M., Matos, P., & Murphy, K. J. (2013). Are U.S. CEOs paid more? New international evidence. Review of Financial Studies, 26(2), 323-367. DOI: 10.1093/rfs/hhs122
  • Custódio, C. P. D., Ferreira, M., & Matos, P. (2013). Generalists versus specialists: Lifetime work experience and chief executive officer pay. Journal of Financial Economics, 108(NA), 471-492. DOI: 10.1016/j.jfineco.2013.01.001
  • Ferreira, M., Keswani, A., Miguel, A. F., & Ramos, S. B. (2013). The determinants of mutual fund performance: A cross-country study. Review of Finance, 17(2), 483-525. DOI: 10.1093/rof/rfs013
  • Custódio, C. P. D., Ferreira, M., & Laureano, L. (2013). Why are US firms using more short-term debt? Journal of Financial Economics, 108(1), 182-212. DOI: 10.1016/j.jfineco.2012.10.009
  • Brounen, D., Ling, D. C., & Prado, M. (2013). Short sales and fundamental value: Explaining the REIT premium to NAV. Real Estate Economics, 41(3), 481–516. DOI: 10.1111/reec.12004
  • Ferreira, M., Keswani, A., Miguel, A. F., & Ramos, S. B. (2012). The flow-performance relationship around the world. Journal of Banking & Finance, 36(6), 1759-1780. DOI: 10.1016/j.jbankfin.2012.01.019
  • Ferreira, M., & Matos, P. (2012). Universal Banks and Corporate Control: Evidence from the Global Syndicated Loan Market. Review of Financial Studies, 25(9), 2703-2744. DOI: 10.1093/rfs/hhs076
  • Maio, P., & Santa-Clara, P. (2012). Multifactor models and their consistency with the ICAPM. Journal of Financial Economics, 106(3), 586-613. DOI: 10.1016/j.jfineco.2012.07.001
  • Ferreira, M. A., & Gama, P. M. (2011). The International Stock Market Impact of Sovereign Debt Ratings News. In Sovereign Debt: From Safety to Default (pp. 361-367). John Wiley and Sons. DOI: 10.1002/9781118267073.ch40
  • Ferreira, D., Ferreira, M., & Raposo, C. C. (2011). Board structure and price informativeness. Journal of Financial Economics, 99(3), 523-545. DOI: 10.1016/j.jfineco.2010.10.007
  • Alves, P., & Ferreira, M. (2011). Capital structure and law around the world. Journal of Multinational Financial Management, 21(3), 119-150. DOI: 10.1016/j.mulfin.2011.02.001
  • Aggarwal, R., Erel, I., Ferreira, M., & Matos, P. (2011). Does governance travel around the world? Evidence from institutional investors. Journal of Financial Economics, 100(1), 154-181. DOI: 10.1016/j.jfineco.2010.10.018
  • Ferreira, M., & Santa-Clara, P. (2011). Forecasting stock market returns: The sum of the parts is more than the whole. Journal of Financial Economics, 100(3), 514-537. DOI: 10.1016/j.jfineco.2011.02.003
  • Ferreira, M., & Miguel, A. F. (2011). The determinants of domestic and foreign bond bias. Journal of Multinational Financial Management, 21(5), 279-300. DOI: 10.1016/j.mulfin.2011.07.004
  • Ferreira, M., & Santa-Clara, P. (2011). Forecasting stock market returns: The sum of the parts is more than the whole. Journal of Financial Economics, 100(3), 514-537. DOI: 10.1016/j.jfineco.2011.02.003
  • Ferreira, M., & Gama, P. M. (2010). Correlation dynamics of global industry portfolios. Journal of Multinational Financial Management, 20(1), 35-47. DOI: 10.1016/j.mulfin.2009.11.003
  • Ferreira, M., Massa, M., & Matos, P. (2010). Shareholders at the gate? Institutional investors and cross-border mergers and acquisitions. Review of Financial Studies, 23(2), 601-644. DOI: 10.1093/rfs/hhp070
  • Hsu, J. C., Saa-Requiejo, J., & Santa-Clara, P. (2010). A structural model of default risk. Journal of Fixed Income, 19(3), 77-95. DOI: 10.3905/JFI.2010.19.3.077
  • Santa-Clara, P., & Yan, S. (2010). Crashes, volatility, and the equity premium: Lessons from S&P 500 options. Review of Economics and Statistics, 92(2), 435-451. DOI: 10.1162/rest.2010.11549
  • Garcia, R., Ghysels, E., Renault, E., & Rodrigues, P. (2009). Special issue on 'multivariate volatility models'. Journal of Financial Econometrics, 7(4), 339-340. DOI: 10.1093/jjfinec/nbp017
  • Santa-Clara, P., & Saretto, A. (2009). Option strategies: Good deals and margin calls. Journal of Financial Markets, 12(3), 391-417. DOI: 10.1016/j.finmar.2009.01.002
  • Brandt, M. W., Santa-Clara, P., & Valkanov, R. (2009). Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns. Review of Financial Studies, 22(9), 3411-3447. DOI: 10.1093/rfs/hhp003