Personal identification

Full name

PEDRO ARAUJO DE SANTA CLARA GOMES

Citation names

• Santa Clara, Pedro

Author identifiers

Ciência ID

B01C-DF48-5A46

Scopus Author Id

6603137214

Email addresses

• pedro.santa-clara@novasbe.pt (Professional)

Addresses

• Nova SBE, Rua da Holanda,1, 2775-405, Carcavelos, Cascais, Portugal (Professional)

	Degree	Classification
2006 Concluded	Universidade Nova de Lisboa (Título de Agregado) Universidade Nova de Lisboa, Portugal
1996 Concluded	Finance (Doctor of Philosophy) INSEAD, France
1992 Concluded	Management (Master) INSEAD, France
1989 Concluded	Economia (Licenciatura) Universidade NOVA de Lisboa NOVA School of Business and Economics, Portugal

Science

	Category Host institution	Employer
2011 - 2017	Researcher (Research)	Center for Economic and Policy Research, United States
	Center for Economic and Policy Research, United States
2003 - 2012	Researcher (Research)	National Bureau of Economic Research, United States
	National Bureau of Economic Research, United States

Teaching in Higher Education

	Category Host institution	Employer
2008/09/01 - Current	Full Professor (University Teacher)	Universidade NOVA de Lisboa NOVA School of Business and Economics, Portugal
2008 - 2009	Full Professor (University Teacher)	University of California at Los Angeles The Anderson Graduate School of Management, United States
	University of California at Los Angeles The Anderson Graduate School of Management, United States
2003 - 2008	Associate Professor (University Teacher)	University of California at Los Angeles The Anderson Graduate School of Management, United States
	University of California at Los Angeles The Anderson Graduate School of Management, United States
1996 - 2003	Assistant Professor (University Teacher)	University of California at Los Angeles The Anderson Graduate School of Management, United States
1996 - 1996	Invited Assistant Professor (University Teacher)	Universidade NOVA de Lisboa NOVA School of Business and Economics, Portugal
	Universidade NOVA de Lisboa NOVA School of Business and Economics, Portugal

Positions / Appointments

	Category Host institution	Employer
2016 - 2019	Conselho científico/técnico-científico ou orgão correspondente	Universidade Nova de Lisboa, Portugal
2016 - 2018	Conselho geral ou orgão correspondente	Universidade Nova de Lisboa, Portugal
2013 - 2016	Conselho científico/técnico-científico ou orgão correspondente	Universidade NOVA de Lisboa NOVA School of Business and Economics, Portugal
2013 - 2016	Conselho geral ou orgão correspondente	Universidade NOVA de Lisboa NOVA School of Business and Economics, Portugal

Grant

	Designation	Funders
2010 - Current	Financial Options - Pricing and portfolio construction PTDC/EGE-ECO/119683/2010 Principal investigator	Fundação para a Ciência e a Tecnologia
2008 - Current	Return Predictability PTDC/EGE-GES/101414/2008 Principal investigator	Fundação para a Ciência e a Tecnologia

Publications

Journal article

Maio, Paulo; Santa-Clara, Pedro. "Short-Term Interest Rates and Stock Market Anomalies". Journal of Financial and Quantitative Analysis 52 3 (2017): 927-961. http://dx.doi.org/10.1017/s002210901700028x. Published • 10.1017/s002210901700028x Faias, José Afonso; Santa-Clara, Pedro. "Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing". Journal of Financial and Quantitative Analysis 52 1 (2017): 277-303. http://dx.doi.org/10.1017/s0022109016000831. Open access • Published • 10.1017/s0022109016000831 Rangvid, Jesper; Santa-Clara, Pedro; Schmeling, Maik. "Capital market integration and consumption risk sharing over the long run". Journal of International Economics 103 (2016): 27-43. http://dx.doi.org/10.1016/j.jinteco.2016.08.001. Open access • Published • 10.1016/j.jinteco.2016.08.001 Barroso, Pedro; Santa-Clara, Pedro. "Beyond the Carry Trade: Optimal Currency Portfolios". Journal of Financial and Quantitative Analysis 50 5 (2015): 1037-1056. http://dx.doi.org/10.1017/s0022109015000460. Open access • Published • 10.1017/s0022109015000460 Maio, Paulo; Santa-Clara, Pedro. "Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks". Journal of Financial and Quantitative Analysis 50 1-2 (2015): 33-60. http://dx.doi.org/10.1017/s0022109015000058. Published • 10.1017/s0022109015000058 Barroso, Pedro; Santa-Clara, Pedro. "Momentum has its moments". Journal of Financial Economics 116 1 (2015): 111-120. http://dx.doi.org/10.1016/j.jfineco.2014.11.010. Published • 10.1016/j.jfineco.2014.11.010 Maio, Paulo; Santa-Clara, Pedro. "Multifactor models and their consistency with the ICAPM". Journal of Financial Economics 106 3 (2012): 586-613. http://dx.doi.org/10.1016/j.jfineco.2012.07.001. Published • 10.1016/j.jfineco.2012.07.001 Ferreira, Miguel A.; Santa-Clara, Pedro. "Forecasting stock market returns: The sum of the parts is more than the whole". Journal of Financial Economics 100 3 (2011): 514-537. http://dx.doi.org/10.1016/j.jfineco.2011.02.003. Open access • Published • 10.1016/j.jfineco.2011.02.003 Hsu, Jason C; Saá-Requejo, Jesús; Santa-Clara, Pedro. "A Structural Model of Default Risk". The Journal of Fixed Income 19 3 (2010): 77-94. http://dx.doi.org/10.3905/jfi.2010.19.3.077. Published • 10.3905/jfi.2010.19.3.077 Santa-Clara, Pedro; Yan, Shu. "Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options". Review of Economics and Statistics 92 2 (2010): 435-451. http://dx.doi.org/10.1162/rest.2010.11549. Published • 10.1162/rest.2010.11549 Santa-Clara, Pedro; Saretto, Alessio. "Option strategies: Good deals and margin calls". Journal of Financial Markets 12 3 (2009): 391-417. http://dx.doi.org/10.1016/j.finmar.2009.01.002. Open access • Published • 10.1016/j.finmar.2009.01.002 Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns". Review of Financial Studies 22 9 (2009): 3411-3447. http://dx.doi.org/10.1093/rfs/hhp003. Open access • Published • 10.1093/rfs/hhp003 Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro. "Two Trees". Review of Financial Studies 21 1 (2007): 347-385. http://dx.doi.org/10.1093/rfs/hhm059. Published • 10.1093/rfs/hhm059 BRANDT, MICHAEL W.; SANTA-CLARA, PEDRO. "Dynamic Portfolio Selection by Augmenting the Asset Space". The Journal of Finance 61 5 (2006): 2187-2217. http://dx.doi.org/10.1111/j.1540-6261.2006.01055.x. Open access • Published • 10.1111/j.1540-6261.2006.01055.x Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro. "International risk sharing is better than you think, or exchange rates are too smooth". Journal of Monetary Economics 53 4 (2006): 671-698. http://dx.doi.org/10.1016/j.jmoneco.2005.02.004. Published • 10.1016/j.jmoneco.2005.02.004 Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen. "Predicting volatility: getting the most out of return data sampled at different frequencies". Journal of Econometrics 131 1-2 (2006): 59-95. http://dx.doi.org/10.1016/j.jeconom.2005.01.004. Open access • Published • 10.1016/j.jeconom.2005.01.004 Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen. "There is a risk-return trade-off after all". Journal of Financial Economics 76 3 (2005): 509-548. http://dx.doi.org/10.1016/j.jfineco.2004.03.008. Open access • Published • 10.1016/j.jfineco.2004.03.008 Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; Stroud, Jonathan R.. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability". Review of Financial Studies 18 3 (2005): 831-873. http://dx.doi.org/10.1093/rfs/hhi019. Open access • Published • 10.1093/rfs/hhi019 Santa-clara, Pedro. "Discussion of “Implied Equity Duration: A New Measure of Equity Risk”". Review of Accounting Studies 9 2/3 (2004): 229-231. http://dx.doi.org/10.1023/b:rast.0000028187.59987.8f. Published • 10.1023/b:rast.0000028187.59987.8f Santa-Clara, Pedro; Valkanov, Rossen. "The Presidential Puzzle: Political Cycles and the Stock Market". The Journal of Finance 58 5 (2003): 1841-1872. http://dx.doi.org/10.1111/1540-6261.00590. Published • 10.1111/1540-6261.00590 Ledoit, Olivier; Santa-Clara, Pedro; Wolf, Michael. "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets". Review of Economics and Statistics 85 3 (2003): 735-747. http://dx.doi.org/10.1162/003465303322369858. Open access • Published • 10.1162/003465303322369858 Goyal, Amit; Santa-Clara, Pedro. "Idiosyncratic Risk Matters!". The Journal of Finance 58 3 (2003): 975-1007. http://dx.doi.org/10.1111/1540-6261.00555. Published • 10.1111/1540-6261.00555 Brandt, Michael W.; Santa-Clara, Pedro. "Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets". Journal of Financial Economics 63 2 (2002): 161-210. http://dx.doi.org/10.1016/s0304-405x(01)00093-9. Open access • Published • 10.1016/s0304-405x(01)00093-9 Longstaff, Francis A.; Santa-Clara, Pedro; Schwartz, Eduardo S.. "The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence". The Journal of Finance 56 6 (2001): 2067-2109. http://dx.doi.org/10.1111/0022-1082.00399. Open access • Published • 10.1111/0022-1082.00399 Longstaff, Francis A; Santa-Clara, Pedro; Schwartz, Eduardo S. "Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market". Journal of Financial Economics 62 1 (2001): 39-66. http://dx.doi.org/10.1016/s0304-405x(01)00073-3. Published • 10.1016/s0304-405x(01)00073-3 Santa-Clara, Pedro; Sornette, Didier. "The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks". Review of Financial Studies 14 1 (2001): 149-185. http://dx.doi.org/10.1093/rfs/14.1.149. Open access • 10.1093/rfs/14.1.149 de Jong, Frank; Santa-Clara, Pedro. "The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables". The Journal of Financial and Quantitative Analysis 34 1 (1999): 131. http://dx.doi.org/10.2307/2676249. Published • 10.2307/2676249

Other

Other output

Comment. Comment to Durham and Gallant's article published https://doi.org/10.1198/073500102288618397. 2012. MichaelW.Brandt; GOMES, PEDRO. https://doi.org/10.1198/073500102288618397.