Research

Published Papers:  

• • • Manresa, E., F. Peñaranda, and E. Sentana (2023): "Empirical Evaluation of Overspecified Asset Pricing Models", Journal of Financial Economics 147, 338-351. Supplemental Appendix.

    • Peñaranda, F.  (2022): "Discussion of Identification Robust Testing of Risk Premia in Finite Samples", Journal of Financial Econometrics 21, 306-310.

    • Peñaranda, F. , J. M. Rodríguez-Poo, and S. Sperlich (2022): "Nonparametric Specification Testing of Conditional Asset Pricing Models", Journal of Business and Economic Statistics 40, 1455-1469. Supplemental Appendix.

    • Peñaranda, F. and L. Wu (2021): "Targets, Predictability, and Performance", Management Science 68, 1537-1555. Supplemental Appendix.

    • Peñaranda, F. and E. Sentana (2016): "Duality in Mean-Variance Frontiers with Conditioning Information", Journal of Empirical Finance 38, 762-785. Supplemental Appendix.

    • Peñaranda, F. (2016): ''Understanding Portfolio Efficiency with Conditioning Information", Journal of Financial and Quantitative Analysis 51, 985-1011. Supplemental Appendix.

    • Peñaranda, F. and E. Sentana (2015):"A Unifying Approach to the Empirical Evaluation of Asset Pricing Models", Review of Economics and Statistics 97, 412-435. Supplemental Appendix.

    • Peñaranda, F. and E. Sentana (2012): ''Spanning Tests in Portfolio and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach", Journal of Econometrics 170, 303-324.

    • Daníelsson, J. and F. Peñaranda (2011): "On the Impact of Fundamentals, Liquidity and Coordination on Market Stability", International Economic Review 52, 621-638.

    • Peñaranda, F. (2008): ''Portfolio Choice Beyond the Traditional Approach'', Revista de Economía Financiera (later Spanish Review of Financial Economics) 15, 50-90.

Working Papers:  

• • • Ortega, F. and F. Peñaranda (2024): “Estimation of Treatment Effects with Severely Missing Data: the Short and Long-Term Effects of Flooding on Housing Values”.

    • Peñaranda, F. and E. Sentana (2024): "Portfolio Management with Big Data".

    • Chen, X., F. Peñaranda, D. Pouzo, and E. Sentana (2023): "Sieve Managed Portfolios".

    • Peñaranda, F. and L. Wu (2022): "Managing Drawdown".

    • Peñaranda, F. and E. Sentana (2011): "Inferences about Portfolio and Stochastic Discount Factor Mean-Variance Frontiers".

    • Peñaranda, F. and A. Rupérez-Micola (2011): "On the Drivers of Commodity Co-movement: Evidence from Biofuels".

    • Peñaranda, F. (2007): ''On the Accuracy of Vector Autoregressive Models for Dynamic Asset Allocation''.