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

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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. 

"Fund Performance and Equity Lending: Why Lend What You Can Sell?"  Forthcoming Review of Finance(with Richard B. Evans and Miguel Ferreira)
"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.


Revise & Resubmit at the Journal of Finance
Presented at EFA 2016, NBER Meeting on Economics of Commodity Markets 2016

We propose a new commodity-return predictor related to the slope and curvature of the futures curve: basis-momentum. Basis-momentum strongly outperforms benchmark characteristics, such as basis and momentum, in predicting commodity spot and term premiums in the time series and cross section. The basis-momentum effect is varying within the curve of a single commodity, driven by roll returns, present in currency markets, and increasing in volatility -- all consistent with maturity-specific price pressure. Asset pricing tests show that a parsimonious two-factor model provides an excellent cross-sectional fit, with a large premium for exposure to basis-momentum that largely represents compensation for volatility risk.