Details about Pedro Santa-Clara

Access statistics for papers by Pedro Santa-Clara.

Last updated 2016-04-18. Update your information in the RePEc Author Service.

Short-id: psa1486

Working Papers

2011

1. Does Institutional Ownership Matter for International Stock Return Comovement?
   EcoMod2011, EcoMod
2. Optimal Option Portfolio Strategies
   EcoMod2011, EcoMod

2008

3. Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
   See also Journal Article Forecasting stock market returns: The sum of the parts is more than the whole, Journal of Financial Economics, Elsevier (2011) View citations (212) (2011)

2005

4. Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (3)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (3)
   See also Journal Article Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns, The Review of Financial Studies, Society for Financial Studies (2009) View citations (142) (2009)

2004

5. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   See also Journal Article A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability, The Review of Financial Studies, Society for Financial Studies (2005) View citations (147) (2005)
6. Dynamic Portfolio Selection by Augmenting the Asset Space
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (7)
   Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2004) View citations (7)
   See also Journal Article Dynamic Portfolio Selection by Augmenting the Asset Space, Journal of Finance, American Finance Association (2006) View citations (76) (2006)
7. Jump and Volatility Risk and Risk Premia: A New Model and Lessons from S&P 500 Options
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (20)
   Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2004) View citations (20)
8. Option Strategies: Good Deals and Margin Calls
   University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (3)
   See also Journal Article Option strategies: Good deals and margin calls, Journal of Financial Markets, Elsevier (2009) View citations (57) (2009)
9. Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies
   CIRANO Working Papers, CIRANO View citations (27)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (17)
   See also Journal Article Predicting volatility: getting the most out of return data sampled at different frequencies, Journal of Econometrics, Elsevier (2006) View citations (486) (2006)
10. The MIDAS Touch: Mixed Data Sampling Regression Models
    CIRANO Working Papers, CIRANO View citations (387)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (2004) View citations (386)
11. There is a Risk-Return Tradeoff After All
    CIRANO Working Papers, CIRANO View citations (19)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2004) View citations (20)
    CIRANO Working Papers, CIRANO (2003) View citations (4)
    See also Journal Article There is a risk-return trade-off after all, Journal of Financial Economics, Elsevier (2005) View citations (448) (2005)
12. Two Trees
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA
    See also Journal Article Two Trees, The Review of Financial Studies, Society for Financial Studies (2008) View citations (19) (2008)

2003

13. Bond Pricing with Default Risk
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (7)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1997) View citations (10)
14. Two Trees: Asset Price Dynamics Induced by Market Clearing
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)

2002

15. Relative Pricing of Options with Stochastic Volatility
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (22)

2001

16. Flexible multivariate GARCH modeling with an application to international stock markets
    Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra View citations (5)
    Also in University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA (1999) View citations (3)
    See also Journal Article Flexible Multivariate GARCH Modeling with an Application to International Stock Markets, The Review of Economics and Statistics, MIT Press (2003) View citations (139) (2003)
17. International Risk Sharing is Better Than You Think (or Exchange Rates are Much Too Smooth!
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (9)
    Also in Working Papers, University of Pennsylvania, Wharton School, Weiss Center (2001) View citations (10)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (13)
18. Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets
    NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (8)
    See also Journal Article Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets, Journal of Financial Economics, Elsevier (2002) View citations (122) (2002)

2000

19. Political Cycles and the Stock Market
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA
20. The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (6)

1998

21. The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
    Papers, arXiv.org View citations (1)
    See also Journal Article The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks, The Review of Financial Studies, Society for Financial Studies (2001) View citations (51) (2001)

1997

22. Simulated Likeliehood Estimation of Diffusions With an Application to the Short Tem Interest Rate
    University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA View citations (1)

Journal Articles

2015

1. Beyond the Carry Trade: Optimal Currency Portfolios
   Journal of Financial and Quantitative Analysis, 2015, 50, (5), 1037-1056 View citations (80)
2. Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks
   Journal of Financial and Quantitative Analysis, 2015, 50, (1-2), 33-60 View citations (25)
3. Momentum has its moments
   Journal of Financial Economics, 2015, 116, (1), 111-120 View citations (245)

2012

4. Multifactor models and their consistency with the ICAPM
   Journal of Financial Economics, 2012, 106, (3), 586-613 View citations (85)

2011

5. Forecasting stock market returns: The sum of the parts is more than the whole
   Journal of Financial Economics, 2011, 100, (3), 514-537 View citations (212)
   See also Working Paper Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole, NBER Working Papers (2008) View citations (2) (2008)

2010

6. Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options
   The Review of Economics and Statistics, 2010, 92, (2), 435-451 View citations (130)

2009

7. Option strategies: Good deals and margin calls
   Journal of Financial Markets, 2009, 12, (3), 391-417 View citations (57)
   See also Working Paper Option Strategies: Good Deals and Margin Calls, University of California at Los Angeles, Anderson Graduate School of Management (2004) View citations (3) (2004)
8. Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns
   The Review of Financial Studies, 2009, 22, (9), 3411-3447 View citations (142)
   See also Working Paper Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns, University of California at Los Angeles, Anderson Graduate School of Management (2005) View citations (3) (2005)

2008

9. Two Trees
   The Review of Financial Studies, 2008, 21, (1), 347-385 View citations (19)
   See also Working Paper Two Trees, University of California at Los Angeles, Anderson Graduate School of Management (2004) (2004)

2006

10. Dynamic Portfolio Selection by Augmenting the Asset Space
    Journal of Finance, 2006, 61, (5), 2187-2217 View citations (76)
    See also Working Paper Dynamic Portfolio Selection by Augmenting the Asset Space, NBER Working Papers (2004) View citations (7) (2004)
11. International risk sharing is better than you think, or exchange rates are too smooth
    Journal of Monetary Economics, 2006, 53, (4), 671-698 View citations (164)
12. Predicting volatility: getting the most out of return data sampled at different frequencies
    Journal of Econometrics, 2006, 131, (1-2), 59-95 View citations (486)
    See also Working Paper Predicting Volatility: Getting the Most out of Return Data Sampled at Different Frequencies, CIRANO Working Papers (2004) View citations (27) (2004)

2005

13. A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability
    The Review of Financial Studies, 2005, 18, (3), 831-873 View citations (147)
    See also Working Paper A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability, NBER Working Papers (2004) View citations (7) (2004)
14. There is a risk-return trade-off after all
    Journal of Financial Economics, 2005, 76, (3), 509-548 View citations (448)
    See also Working Paper There is a Risk-Return Tradeoff After All, CIRANO Working Papers (2004) View citations (19) (2004)

2003

15. Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
    The Review of Economics and Statistics, 2003, 85, (3), 735-747 View citations (139)
    See also Working Paper Flexible multivariate GARCH modeling with an application to international stock markets, Economics Working Papers (2001) View citations (5) (2001)

2002

16. Numerical Techniques for Maximum Likelihood Estimation of Continuous-Time Diffusion Processes: Comment
    Journal of Business & Economic Statistics, 2002, 20, (3), 321-24
17. Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets
    Journal of Financial Economics, 2002, 63, (2), 161-210 View citations (122)
    See also Working Paper Simulated Likelihood Estimation of Diffusions with an Application to Exchange Rate Dynamics in Incomplete Markets, NBER Technical Working Papers (2001) View citations (8) (2001)

2001

18. The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks
    The Review of Financial Studies, 2001, 14, (1), 149-85 View citations (51)
    See also Working Paper The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks, Papers (1998) View citations (1) (1998)
19. Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market
    Journal of Financial Economics, 2001, 62, (1), 39-66 View citations (27)

1999

20. The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables
    Journal of Financial and Quantitative Analysis, 1999, 34, (1), 131-157 View citations (44)