NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Pedro Santa-Clara

Nova School of Business and Economics
Universidade Nova de Lisboa
Campus de Campolide
1099-032 Lisboa
PORTUGAL
Tel: +351-91-493-4313

E-Mail: psc@novasbe.pt
WWW:

NBER Working Papers and Publications

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 citation courtesy of

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. citation courtesy of

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.

 
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