NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Publications by Pedro Santa-Clara

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers and Chapters

August 2009Professor Zipf goes to Wall Street
with Yannick Malevergne, Didier Sornette: w15295
December 2008Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
with Miguel A. Ferreira: w14571

Published: Journal of Financial Economics Volume 100, Issue 3, June 2011, Pages 514–537 Cover image Forecasting stock market returns: The sum of the parts is more than the whole ☆ Miguel A. Ferreiraa, b, Pedro Santa-Claraa, c, Corresponding author contact information, E-mail the corresponding author

December 2004Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
with Michael W. Brandt, Rossen Valkanov: w10996

Published: Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2009. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 22(9), pages 3411-3447, September. citation courtesy of

November 2004A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
with Michael W. Brandt, Amit Goyal, Jonathan Storud: w10934

Published: Brandt, Michael W., Amit Goyal, Pedro Santa-Clara, and Jonathan R. Stroud. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability." Review of Financial Studies 18 (2005): 831-873. citation courtesy of

Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
with Shu Yan: w10912
There is a Risk-Return Tradeoff After All
with Eric Ghysels, Rossen Valkanov: w10913

Published: Ghysels, Eric, Pedro Santa-Clara and Rossen Valkanov. "There is a risk-return tradeoff after all." Journal of Financial Economics 76 (June 2005): 509-548. citation courtesy of

Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
with Eric Ghysels, Rossen Valkanov: w10914

Published: Ghysels, Eric, Pedro Santa-Clara and Rossen Valkanov. "Predicting Volatility: Getting The Most Our Of Return Data Sampled At Different Frequencies," Journal of Econometrics, 2006, v131(1-2,Mar-Apr), 59-95. citation courtesy of

March 2004Dynamic Portfolio Selection by Augmenting the Asset Space
with Michael W. Brandt: w10372

Published: Brandt, Michael W. and Pedro Santa-Clara. "Dynamic Portfolio Selection By Augmenting The Asset Space," Journal of Finance, 2006, v61(5,Oct), 2187-2217.

November 2003Two Trees: Asset Price Dynamics Induced by Market Clearing
with John H. Cochrane, Francis A. Longstaff: w10116

Published: Cochrane, John, Francis A Longstaff, and Pedro Santa-Clara. "Two Trees." Review of Financial Studies 21 (2008): 247-385.

July 2001International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth)
with Michael W. Brandt, John H. Cochrane: w8404

Published: Brandt, Michael W., John H. Cochrane and Pedro Santa-Clara. "International Risk Sharing Is Better Than You Think, Or Exchange Rates Are Too Smooth," Journal of Monetary Economics, 2006, v53(4,May), 671-698.

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
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