Miguel A. Ferreira

Nova School of Business and Economics
Campus Carcavelos
Rua Holanda, 1
Tel: 351213801631

Institutional Affiliations: Nova School of Business and Economics and CEPR and ECGI

NBER Working Papers and Publications

August 2020How Global is Your Mutual Fund? International Diversification from Multinationals
with Irem Demirci, Pedro Matos, Clemens Sialm: w27648
We show that mutual funds worldwide provide substantial international exposure through their domestic holdings of multinationals. An average domestic fund's international exposure increases by 32 percentage points when we consider international corporate diversification. We find that funds with higher indirect international exposure perform better in both the cross section and the time series. This outperformance is more pronounced among small fund families, and funds that invest in small stocks, growth stocks, and less developed capital markets. Our findings support the hypothesis that international diversification from multinationals reduces the transaction and information costs of investing abroad and captures fund manager skill.
May 2020Trade Credit and the Transmission of Unconventional Monetary Policy
with Manuel Adelino, Mariassunta Giannetti, Pedro Pires: w27077
We show that trade credit in production networks is important for the transmission of unconventional monetary policy. We find that firms with bonds eligible for purchase under the European Central Bank’s Corporate Sector Purchase Program act as financial intermediaries and extend more trade credit to their customers. The increase in trade credit flows is more pronounced from core countries to periphery countries and towards financially constrained customers. Customers increase investment and employment in response to the additional financing, while suppliers with eligible bonds increase their customer base, potentially favoring upstream industry concentration. Our findings suggest that the trade credit channel of monetary policy produces heterogeneous effects on regions, industries, and fi...
December 2008Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
with Pedro Santa-Clara: w14571
We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the most common predictors suggested in the literature. This compares with typically negative R-squares obtained in a similar experiment by Goyal and Welch (2008). An investor who timed the market with our approach would have had a certainty equivalent gain of as much as 2.3% per year and a Sharpe ratio 77% higher relative to the historical mean. We conclude that there is substantial predictability in equity returns and that it would have been possible to time the market in real time.

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

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