Research

  • 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.
  • 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