Research

Publications

  • Wind balancing costs in a power system with high wind penetration - evidence from Portugal. With Pedro Frade, J. Catalão, and J. Santana. Energy Policy, 2019, Vol. 132, pp. 702-713. (SSRN version)

  • Market integration and the persistence of electricity prices, with Vasco Pesquita, Paulo Rodrigues, and Antonio Rua. Empirical Finance, 2018. (SSRN version)

  • Asset pricing with a bank risk factor, with António Rua, Journal of Money, Credit and Banking, 2018, Vol. 50, Issue 5, pp. 993-1032. (SSRN version with internet appendix) Bank factor data.

  • Do locals know better? A comparison of the performance of local and foreign institutional investors, with Pedro Pires, Miguel A. Ferreira and Pedro Matos. Journal of Banking and Finance, 2017. (SSRN version with internet appendix)

  • The empirical determinants of Credit Defaul Swap spreads: a Quantile Regression Approach, with Pedro Pires and Luís Martins, European Financial Management, 2015. (SSRN version)

  • Tiny prices in a tiny market - evidence from Portugal on optimal share prices, with Teresa Cutelo, European Financial Management, 2013. (SSRN version) NYSE Euronext Lisbon Award for Best Scientific Research on Portuguese Capital Markets, 2011.

  • Stock Returns and Volatility of Liquidity, with Harold H. Zhang, Journal of Financial and Quantiative Analysis, 2010, v.45, 1077-1110. (SSRN version with appendices)

  • Liquidity and Conditional Portfolio Choice: A Nonparametric Investigation, with Eric Ghysels, Journal of Empirical Finance, 2008, v.15, 679-699. (SSRN version) Best Paper in Investments, Southern Finance Association Annual Meeting, 2003.

  • Immunization Under Single-Factor Models – An application to Portugal, with Nuno Cassola, Review of Financial Markets, Vol. 1 – nº2, 1998.