Pedro Santa Clara (On leave)
Pedro Santa Clara (On leave)

Pedro Santa Clara holds the Millennium BCP Chair in Finance at Nova SBEsince 2007.

He was Professor of Finance at UCLA’s Anderson Schoolof Management from 1996 to 2009.

He received a Ph.D. degree in Management from INSEAD,France. He is a research associate of the National Bureau of Economic Research,a research fellow of the Center for Economic Policy Research, and he served onthe editorial boards of the Journal of Financial and Quantitative Analysis, theJournal of Business and Economic Statistics, and Management Science.

Pedro’s research interests are focused on theoreticalmodels of asset pricing and the development of econometric methods to estimatethem. His current work focuses on quantitative portfolio management, optionpricing, risk management, currency and fixed income markets, and financialeconometrics.

Pedro heads Nova SBE’s new campus project andrespective fund raising campaign, responsible for collecting 50M Euros from privatebenefactors.

Pedro is a partner of AtriumInvestimentos, an asset management firm. He has consulted withinvestment banks and hedge funds on pricing derivatives, risk management, anddeveloping investment strategies.

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. 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.
  • 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.
  • Santa-Clara, Pedro, Valkanov, Rossen (2003). The Presidential Puzzle: Political Cycles and the Stock Market. European 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. European 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.