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.
Unpublished
The effect of hydro and wind generation on the mean and volatility of electricity prices in Spain. With Vasco Pesquita and Paulo Rodrigues, 2017
The impact of wind generation on the mean and volatility of electricity prices in Portugal. With Paulo Rodrigues, 2015.