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Pedro Santa-Clara

Global rank #3570 95%

Institution: Universidade Nova de Lisboa

Primary Field: Finance (weighted toward more recent publications)

Homepage: http://docentes.fe.unl.pt/~psc/

First Publication: 1999

Most Recent: 2015

RePEc ID: psa1486 ↗

Publication Scores

Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).

Period S (4x) A (2x) B (1x) C (½x) Total
Last 5 Years 0.00 0.00 0.00 0.00 0.00
Last 10 Years 0.00 0.00 0.00 0.00 0.00
All Time 0.00 12.23 3.02 0.00 27.48

Publication Statistics

Raw Publications 18
Coauthorship-Adjusted Count 15.31

Publications (18)

Year Article Journal Tier Authors
2015 Beyond the Carry Trade: Optimal Currency Portfolios Journal of Financial and Quantitative Analysis B 2
2015 Momentum has its moments Journal of Financial Economics A 2
2015 Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks Journal of Financial and Quantitative Analysis B 2
2012 Multifactor models and their consistency with the ICAPM Journal of Financial Economics A 2
2011 Forecasting stock market returns: The sum of the parts is more than the whole Journal of Financial Economics A 2
2010 Crashes, Volatility, and the Equity Premium: Lessons from S&P 500 Options Review of Economics and Statistics A 2
2009 Parametric Portfolio Policies: Exploiting Characteristics in the Cross-Section of Equity Returns The Review of Financial Studies A 3
2008 Two Trees The Review of Financial Studies A 3
2006 International risk sharing is better than you think, or exchange rates are too smooth Journal of Monetary Economics A 3
2006 Predicting volatility: getting the most out of return data sampled at different frequencies Journal of Econometrics A 3
2006 Dynamic Portfolio Selection by Augmenting the Asset Space Journal of Finance A 2
2005 A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability The Review of Financial Studies A 4
2005 There is a risk-return trade-off after all Journal of Financial Economics A 3
2003 Flexible Multivariate GARCH Modeling with an Application to International Stock Markets Review of Economics and Statistics A 3
2002 Simulated likelihood estimation of diffusions with an application to exchange rate dynamics in incomplete markets Journal of Financial Economics A 2
2001 Throwing away a billion dollars: the cost of suboptimal exercise strategies in the swaptions market Journal of Financial Economics A 3
2001 The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks. The Review of Financial Studies A 2
1999 The Dynamics of the Forward Interest Rate Curve: A Formulation with State Variables Journal of Financial and Quantitative Analysis B 2