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:
  1. Basis-momentum (with Martijn Boons) Forthcoming in the Journal of Finance. Replication Data
  2. 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.
  3. 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.
  4. Future Lending Income and Security Value  Journal of Financial and Quantitative Analysis, (2015), 50(04): pp. 869-902.
  5. 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. 
  6. 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)  R&R Journal of Financial Economics

2018 AFA Annual Meeting, 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 cross-sectional variation in incentive structures in place, 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 performance, and a higher fraction of “star” funds, but higher variation in performance among funds as well. Families with more cooperative incentives are more likely to engage in coordination or cross-subsidization through cross-holding and cross-trading and are more likely to recapture outflows. For publicly traded advisors with cooperative incentives, their parent firms exhibit more stable cash flows and less volatile returns. 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.