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.

Book Chapters:  

• • • Peñaranda, F. and E. Sentana (2024): "Portfolio Management with Big Data". Forthcoming in Spanish as “Gestión de Inversiones con Datos Masivos”, in D. Peña (ed.) Nuevos Métodos de Investigación Económica con Datos Masivos, Fundación Ramón Areces. 

Working Papers:  

• • • Chen, X., F. Peñaranda, D. Pouzo, and E. Sentana (2024): "Sieve Managed Portfolios".

    • 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 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''.