José Afonso Faias
Católica Lisbon School of Business and Economics
Universidade Católica Portuguesa
Office 5305-A
Palma de Cima
1649-023 Lisboa, Portugal
José Faias is the Academic Director of the MSc Programs in Finance and an Associate Professor of Finance at Católica Lisbon School of Business & Economics. He was the recipient of eight CATÓLICA-LISBON Distinguished Teaching Awards between 2016 and 2023 at the master’s level.
He holds a PhD in Finance (NOVA SBE), an MSc in Statistics and Optimization (NOVA SST), an MBA (CATÓLICA-LISBON) and a BA ("Licenciatura") in Mathematics - Actuarial Sciences (NOVA SST). He was a visiting fellow at Harvard University and a visiting scholar at MIT. He has previously taught at NOVA SBE and worked in the insurance and investment banking industry.
His research interests lie in Empirical Finance including topics such as predictability, extreme events, stock market efficiency, risk management, investor heterogeneity, mergers and acquisitions, cat bonds, and quantitative portfolio management. His research was presented in the major conferences in Finance, Statistics, and Economics, and published in academic journals in the same fields. He has also received several research grants and awards for his research.
RESEARCH
PUBLICATIONS
Price Elasticity of Demand and Risk Bearing Capacity in Sovereign Bond Auctions
with Rui Albuquerque and José-Miguel Cardoso-Costa, Forthcoming at The Review of Financial Studies.
BME Award 2022 to the best paper on Fixed Income Markets at the XXIX Finance Forum of the Spanish Finance Association.
Journal of Financial Markets, Volume 63, March 2023, pages 100769.
with Juan Arismendi Zambrano, Review of Asset Pricing Studies, Volume 12, Issue 3, September 2022, pages 808-842.
The Diffusion of Complex Securities: The Case of CAT Bonds
with José Guedes. Insurance: Mathematics and Economics, Volume 90, January 2020, pages 46-57.Out-of-Sample Stock Return Prediction Using Higher-Order Moments
with Tiago Castel-Branco. International Journal of Theoretical and Applied Finance, Volume 21, Issue 6, September 2018, pages 1-27.Does Institutional Ownership Matter for International Stock Return Comovements?
with Miguel Ferreira. Journal of International Money and Finance, Volume 78, November 2017, pages 64-83.Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing
with Pedro Santa-Clara. Journal of Financial and Quantitative Analysis, Volume 52, Issue 1, February 2017, pages 277-303.
Online appendix
WORKING PAPERS
Does the Market Recognize which Analyst Reports are Influential?
Semi-finalist for the best paper at FMA 2014, Bachelier 2018.
FUNDED RESEARCH PROJECTS
Principal Investigator of The Interplay Between Agents in the Financial Marketplace. (FCT/MCES) 2018-2022 Final Evaluation: A (Excellent).
Co-Principal Investigator of Asset Valuation and Fundamentals. (FCT/MCES) 2016-2019 Final Evaluation: A (Excellent).
Co-Principal Investigator of Financial Options Pricing and Portfolio Construction. (FCT/MCES) 2012-2015 Final Evaluation: A (Excellent).
Co-Principal Investigator of Tail Risk and Liquidity Risk in Asset Prices. (FCT/MCES) 2016-2019 Final Evaluation: A (Excellent).
Principal Investigator of GIFTED. (European Comission - Lifelong Learning Programme) 2012-2013 Final Evaluation: Excellent.
TEACHING
COURSES
Empirical Finance (MSc level) 2011-current
Data Science for Finance (MSc level) 2018-current
Methods in Finance (MSc level) 2012-2016
Empirical Corporate Finance (MSc level, Executives) 2020-2023
MSC DISSERTATIONS
Workshop of Empirical Studies in Finance 2011-2017
Supervisor for more than 75 dissertations