Melissa Porras Prado

Assistant Professor in Finance
Nova School of Business and Economics
(September 2011- present)
                                                                                                                                                                                       



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)



RESEARCH STATEMENT:
A primary theme of my research is to understand how market frictions affect institutional investor behavior and asset prices. Much of my work explores how short selling constraints affects market participants and pricing efficiency, particularly from the supply side. The choice of institutions to lend shares induces endogenous short selling constraints, making it an unique friction to study. I am also interested in alternative asset classes as real estate and commodities. 



PUBLISHED PAPERS:
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:

Basis-Momentum (with Martijn Boons)
Revise & Resubmit at the Journal of Finance
Presented at 4Nations Cup, EFA 2016, NBER Meeting on Economics of Commodity Markets 2016

We introduce a return predictor related to slope and curvature: basis-momentum. Basis-momentum strongly outperforms benchmark characteristics in predicting commodity spot and term premiums in the time series and cross section. Exposure to basis-momentum is priced among commodity-sorted portfolios and individual commodities. We argue that the basis-momentum effect is inconsistent with explanations based on storage, inventory, and hedging pressure. Rather, the evidence is consistent with imbalances in supply and demand of futures contracts that materialize when the market-clearing ability of speculators and intermediaries is impaired, and the idea that basis-momentum represents compensation for priced risk.

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

2018 AFA Annual Meeting (scheduled), 4th Asset Management Conference in Berlin, ESMT  (scheduled)

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.