Pedro Santa Clara
Pedro Santa Clara
Professor Catedrático

Pedro Santa Clara detém a Cátedra do Millennium BCP  em Finanças na Nova SBE desde 2007.

Agregação - 2006 - Universidade Nova de Lisboa 

M.Sc. and Ph.D. in Management - 1996 - INSEAD 

B.Sc. in Economics - 1989 - Universidade Nova de Lisboa 

  • Maio, Paulo, Santa-Clara, Pedro (2017). Short-term interest rates and stock market anomalies. Journal of Financial and Quantitative Analysis, 52 (3), 927-961.
  • Faias, José Afonso, Santa-Clara, Pedro (2017). Optimal option portfolio strategies: deepening the puzzle of index option mispricing. Journal of Financial and Quantitative Analysis, 52 (1), 277-303.
  • Rangvid, Jesper, Santa-Clara, Pedro, Schmeling, Maik (2016). Capital market integration and consumption risk sharing over the long run. Journal Of International Economics, 103, 27-43.
  • Barroso, Pedro, Santa-Clara, Pedro (2015). Beyond the carry trade: Optimal currency portfolios. Journal of Financial and Quantitative Analysis, 50 (5), 1037-1056.
  • Maio, Paulo, Santa-Clara, Pedro (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.
  • Barroso, Pedro, Santa-Clara, Pedro (2015). Momentum has its moments. Journal of Financial Economics, 116 (1), 111-120.
  • Maio, Paulo, Santa-Clara, Pedro (2012). Multifactor models and their consistency with the ICAPM. Journal of Financial Economics, 106 (3), 586-613.
  • Ferreira, Miguel A., Santa-Clara, Pedro (2011). Forecasting stock market returns: the sum of the parts is more than the whole. Journal of Financial Economics, 100 (3), 514-537.
  • Santa-Clara, Pedro, Yan, Shu (2010). Crashes, volatility, and the equity premium: lessons from S&P 500 options. Review of Economics and Statistics, 92 (2), 435-451.
  • Hsu, Jason C., Saa-Requiejo, Jesús, Santa-Clara, Pedro (2010). A structural model of default risk. Journal Of Fixed Income, 19 (3), 77-95.
  • Brandt, Michael W., Santa-Clara, Pedro, Valkanov, Rossen (2009). Parametric portfolio policies: exploiting characteristics in the cross-section of equity returns. Review Of Financial Studies, 22 (9), 3411-3447.
  • Santa-Clara, Pedro, Saretto, Alessio (2009). Option strategies: good deals and margin calls. Journal Of Financial Markets, 12 (3), 391-417.
  • Cochrane, John H., Longstaff, Francis A., Santa-Clara, Pedro (2008). Two trees. Review Of Financial Studies, 21 (1), 347-385.
  • Brandt, Michael W., Santa-Clara, Pedro (2006). Dynamic portfolio selection by augmenting the asset space. European Journal of Finance, 61 (5), 2187-2217.
  • Brandt, Michael W., Cochrane, John H., Santa-Clara, Pedro (2006). International risk sharing is better than you think, or exchange rates are too smooth. Journal of Monetary Economics, 53 (4), 671-698.
  • Ghysels, Eric, Santa-Clara, Pedro, Valkanov, Rossen (2006). Predicting volatility: Getting the most out of return data sampled at different frequencies. Journal of Econometrics, 131 (1-2), 59-95.
  • Brandt, Michael W., Goyal, Amit, Santa-Clara, Pedro, Stroud, Jonathan R. (2005). A simulation approach to dynamic portfolio choice with an application to learning about return predictability. Review Of Financial Studies, 18 (3), 831-873.
  • Ghysels, Eric, Santa-Clara, Pedro, Valkanov, Rossen (2005). There is a risk-return trade-off after all. Journal of Financial Economics, 76 (3), 509-548.
  • Santa-Clara, Pedro (2004). Discussion of "implied equity duration: a new measure of equity risk". Review of Accounting Studies, 9 (2-3), 229-231.
  • Santa-Clara, Pedro, Valkanov, Rossen (2003). The Presidential Puzzle: Political Cycles and the Stock Market. European Journal of Finance, 58 (5), 1841-1872.
  • Ledoit, Olivier, Santa-Clara, Pedro, Wolf, Michael (2003). Flexible multivariate GARCH modeling with an application to international stock markets. Review of Economics and Statistics, 85 (3), 735-747.
  • Goyal, Amit, Santa-Clara, Pedro (2003). Idiosyncratic Risk Matters!. Journal of Finance, 58 (3), 975-1007.
  • Brandt, Michael W., Santa-Clara, Pedro (2002). Comment on Durham and Gallant "Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes". Journal of Business and Economic Statistics, 20 (3), 321-324.
  • Brandt, Michael W., Santa-Clara, Pedro (2002). Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets. Journal of Financial Economics, 63 (2), 161-210.
  • Longstaff, Francis A., Santa-Clara, Pedro, Schwartz, Eduardo S. (2001). The relative valuation of caps and swaptions: Theory and empirical evidence. European Journal of Finance, 56 (6), 2067-2109.
  • Longstaff, Francis A., Santa-Clara, Pedro, Schwartz, Eduardo S. (2001). Throwing away a billion dollars: The cost of suboptimal exercise strategies in the swaptions market. Journal of Financial Economics, 62 (1), 39-66.
  • Santa-Clara, Pedro, Sornette, Didier (2001). The dynamics of the forward interest rate curve with stochastic string shocks. Review Of Financial Studies, 14 (1), 149-185.
  • De Jong, Frank, Santa-Clara, Pedro (1999). The dynamics of the forward interest rate curve: A formulation with state variables. Journal of Financial and Quantitative Analysis, 34 (1), 131-157.