Pedro Santa Clara

Pedro Santa Clara holds the Millennium BCP Chair in Finance at Nova SBE since 2007.

He was Professor of Finance at UCLA’s Anderson School of Management from 1996 to 2009.

He received a Ph.D. degree in Management from INSEAD, France. He is a research associate of the National Bureau of Economic Research, a research fellow of the Center for Economic Policy Research, and he served on the editorial boards of the Journal of Financial and Quantitative Analysis, the Journal of Business and Economic Statistics, and Management Science.

Pedro’s research interests are focused on theoretical models of asset pricing and the development of econometric methods to estimate them. His current work focuses on quantitative portfolio management, option pricing, risk management, currency and fixed income markets, and financial econometrics.

Pedro heads Nova SBE’s new campus project and respective fund raising campaign, responsible for collecting 50M Euros from private benefactors.

Pedro is a partner of Atrium Investimentos, an asset management firm. He has consulted with investment banks and hedge funds on pricing derivatives, risk management, and developing investment strategies.

Education

• 2006 - "Agregação" - Universidade Nova de Lisboa
• 1996 - Master and Ph.D. in Management - INSEAD
• 1989 - Bachelor in Economics - Universidade Nova de Lisboa

Research Interests

• Finance. Theoretical and econometric asset pricing models

Publications

• Faias, José Afonso, Santa-Clara, Pedro (2017). Optimal option portfolio strategies: deepening the puzzle of index option mispricing. Journal of Financial and Quantitative Analysis, 52 (1), 277-303.
• Maio, Paulo, Santa-Clara, Pedro (2017). Short-term interest rates and stock market anomalies. Journal of Financial and Quantitative Analysis, 52 (3), 927-961.
• Rangvid, Jesper, Santa-Clara, Pedro, Schmeling, Maik (2016). Capital market integration and consumption risk sharing over the long run. Journal Of International Economics, 103, 27-43.
• Barroso, Pedro, Santa-Clara, Pedro (2015). Beyond the carry trade: Optimal currency portfolios. Journal of Financial and Quantitative Analysis, 50 (5), 1037-1056.
• Barroso, Pedro, Santa-Clara, Pedro (2015). Momentum has its moments. Journal of Financial Economics, 116 (1), 111-120.