Melissa Porras Prado

Associate Professor in Finance
Nova School of Business and Economics

                                                                                                                                                                                       



Contact Information
Nova School of Business and Economics
Faculdade de Economia da UNL
Campus de Campolide
1099-032 Lisbon, Portugal



 (Click on the link to view complete CV)


PUBLISHED PAPERS:
Basis-momentum (with Martijn Boons) Forthcoming in the Journal of Finance. 
Fund Performance and Equity Lending: Why Lend What You Can Sell?  (with Richard B. Evans and Miguel Ferreira), Review of Finance, (2017) V21 (3), 1093-1121.
Ownership Structure, Limits to Arbitrage, and Stock Returns: Evidence from Equity Lending Markets(with Pedro Saffi and Jason Sturgess), The Review of Financial Studies, (2016), V29 (12): 3211-3244. Editor's choice.
Future Lending Income and Security Value  Journal of Financial and Quantitative Analysis, (2015), 50(04): pp. 869-902.
Short Sales and Fundamental Value: Explaining the REIT Premium to NAV (with D. Brounen and D. Ling), Real Estate Economics (2013), V41 (3), pp. 32--46.
Real Estate in an ALM Framework - The Case of Fair Value Accounting (with D. Brounen and M. Verbeek), 
Real Estate Economics (2010), V38 (4): pp. 775--804.
 


WORKING PAPERS:

Competition and Cooperation in Mutual Fund Families (with Richard B. Evans and Rafael Zambrana) 

2018 AFA Annual Meeting (scheduled), Winner SFA Best Empirical Paper Award, 4th Asset Management Conference in Berlin, ESMT

Using fund compensation disclosure and measures of intra-family manager cooperation, we create an index of competitive and cooperative incentives within a fund family. We find evidence consistent with a separating equilibrium, where some fund families encourage cooperation among their managers, while other fund families encourage competition. Consistent with those incentives, the managers of competitive advisors have higher average performance and a higher fraction of "star" funds, but higher variation in performance among funds as well. Families with more cooperative incentives they are more likely to engage in cross-subsidization through cross-holding and cross-trading. In families with net cooperative incentives are also more likely to recapture outflows, and for publicly traded advisors, exhibit lower cash flow and firm stock return volatility. In examining the strategic choice between cooperative and competitive incentives, clientele plays an important role. While competitive families are more likely to manage institutional money, cooperative families are more likely to have their fund offerings marketed through a broker-distribution channel, consistent with investor demand for non-performance related characteristics.