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Pedro Santa Clara
Pedro Santa Clara
Professor
Finance
Research Track
Web site
Ciência ID: B01C-DF48-5A46
ORCID ID: 0000-0001-9815-5534

Pedro Santa-Clara is a Full Professor Finance at the Nova School of Business and Economics since 2007. He was Assistant, Associate and Full Professor of Finance at UCLA’s Anderson School of Management from 1996 to 2009. Pedro has an undergraduate degree in Economics from Nova SBE and a Ph.D. in Finance from INSEAD.

Pedro has published more than 30 papers in top academic journals of Finance and Economics. He was a research associate of the National Bureau of Economic Research and a research fellow of the Center for Economic Policy Research.

In 2012, Pedro’s career took a radical turn, and, over the subsequent six years, he led the construction of the new campus in Carcavelos for Nova SBE and the €54 million campaign that funded it. In this context, Pedro led the creation of Fundação Alfredo de Sousa, which he presided between 2015 and 2018.

In the beginning of 2019, Pedro started Shaken Not Stirred a company that promotes and manages education projects: 42 Lisboa opened in October 2020 and 42 Porto opened in July of 2022; Miles in the Sky started in August 2021; TUMO to open its first center in Coimbra in September 2023.

Pedro is a founder and member of the Board of Trustees of Instituto Mais Liberdade, a think tank that promotes the liberal ideals of individual freedom, market economy and democracy.

Pedro is a founding partner of Atrium Portofolio Managers, an asset management firm created in 1999, and of Data4Deals, a fintech startup created in 2021.

Pedro is married to Ana Conduto and has three wonderful kids, André, Tiago, Tomás, and two beautiful grandchildren, Mateo and Sofia. In his spare time – what spare time? – Pedro enjoys running, crossfit, reading, and, most of all, spending time with friends and family. 

2006 - "Agregação"" - Universidade Nova de Lisboa 

1996 - Master and Ph.D. in Management - INSEAD 

1989 - Bachelor in Economics - Universidade Nova de Lisboa 

Finance. Theoretical and econometric asset pricing models 

  • 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.
  • Maio, Paulo, Santa-Clara, Pedro (2017). Short-term interest rates and stock market anomalies. Journal of Financial and Quantitative Analysis, 52 (3), 927-961.
  • 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.
  • Barroso, Pedro, Santa-Clara, Pedro (2015). Momentum has its moments. Journal of Financial Economics, 116 (1), 111-120.
  • 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.
  • 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.
  • Hsu, Jason C., Saa-Requiejo, Jesús, Santa-Clara, Pedro (2010). A structural model of default risk. Journal Of Fixed Income, 19 (3), 77-95.
  • 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.
  • 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. The 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.
  • 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!. The Journal of Finance, 58 (3), 975-1007.
  • Santa-Clara, Pedro, Valkanov, Rossen (2003). The Presidential Puzzle: Political Cycles and the Stock Market. The Journal of Finance, 58 (5), 1841-1872.
  • 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). 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.
  • Longstaff, Francis A., Santa-Clara, Pedro, Schwartz, Eduardo S. (2001). The relative valuation of caps and swaptions: Theory and empirical evidence. The Journal of Finance, 56 (6), 2067-2109.
  • 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.
  • Delianedis, Gordon, Santa-Clara, Pedro (1999). The exposure of international corporate bond returns to exchange rate risk. European capital markets with a single currency. Dermine, Jean, Hillion, Pierre (Eds.), Oxford University Press.