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Barroso, Pedro; Santa-Clara, Pedro - In: Journal of financial economics 116 (2015) 1, pp. 111-120

Persistent link: https://www.econbiz.de/10011347950

Capital Market Integration and Consumption Risk Sharing Over the Long Run

Rangvid, Jesper - 2016

We empirically investigate time variation in capital market integration and consumption risk sharing using data for 16 countries from 1875 to 2012. We show that there has been considerable variation over time in the degrees of capital market integration and consumption risk sharing and that...

Persistent link: https://www.econbiz.de/10013006827

Two trees : asset price dynamics induced by market clearing

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - 2003

Persistent link: https://www.econbiz.de/10001852332

Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns

Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - 2004

Persistent link: https://www.econbiz.de/10002499370

A simulation approach to dynamic portfolio choice with an application to learning about return predictability

Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - 2004

Persistent link: https://www.econbiz.de/10002485076

Parametric portfolio policies : exploiting characteristics in the cross-section of equity returns

Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Rossen I. - In: The review of financial studies 22 (2009) 9, pp. 3411-3447

Persistent link: https://www.econbiz.de/10003885704

Multifactor models and their consistency with the ICAPM

Maio, Paulo; Santa-Clara, Pedro - In: Journal of financial economics 106 (2012) 3, pp. 586-613

Persistent link: https://www.econbiz.de/10009710158

Two trees

Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - In: The review of financial studies 21 (2008) 1, pp. 347-385

Persistent link: https://www.econbiz.de/10003716171

A simulation approach to dynamic portfolio choice with an application to learning about returns predictability

Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - In: The review of financial studies 18 (2005) 3, pp. 831-874

Persistent link: https://www.econbiz.de/10003133514

Liberalized Portfolio Capital Inflows in Emerging Capital Markets : Sterilization, Expectations, and the Incompleteness of Interest Rate Convergence

Frankel, Jeffrey A. - 1995

The paper examines interest rates in nine Latin American and East Asian countries during the period 1987-1994. The goal is to discover why interest rates have remained high, failing to converge to U.S. levels, despite capital market liberalization and a resurgence of portfolio capital inflows...

Persistent link: https://www.econbiz.de/10012473726