My current research interests include:
- The study of institutional investment: competition in the mutual fund industry; strategic behavior of management companies; regulatory issues.
- Asset pricing: estimation and testing of flexible conditional asset pricing models.
Publications in Refereed Journals
- “Conditional Beta Pricing Models: A Nonparametric Approach,” with Eva Ferreira and Susan Orbe, Journal of Banking and Finance, 35 (12), 3362–3382, 2011. [download]
- “The Performance of Socially Responsible Mutual Funds: The Role of Fees and Management Companies,” with Pablo Ruiz-Verdú and Andre A. P. Santos, Journal of Business Ethics, 94 (2), 243-263, 2010. [download]
Moskowitz Prize (Honorable mention, 2008) for outstanding research in
the field of socially responsible investing. Awarded by the Center for
Responsible Business at the Haas School of Business, in cooperation
with the Social Investment Forum. [URL]
- “The Relation between Price and Performance in the Mutual Fund Industry,” with Pablo Ruiz-Verdú, Journal of Finance, 64 (5), 2153-2183, 2009. [download]
Winner of the Best Paper Award at the 2007 European Conference of the Financial Management Association.
Media coverage of this article:
Michael Maiello, "The Big Picture," Forbes, June 2, 2008.
Eytan Avriel, " The Bottom Line / The mendacity of the mutual funds industry," Haaretz, February 17, 2009.
- “When Cheaper is Better: Fee Determination in the Market for Equity Mutual Funds,” with Pablo Ruiz-Verdú, Journal of Economic Behavior and Organization, 67 (3-4), 871-885, 2008. [download]
- “Price Dynamics, Informational Efficiency and Wealth Distribution in Continuous Double Auction Markets,” with David Moreno and Mikel Tapia, Computational Intelligence, 23 (2), 176-196, 2007. [download]
- “Formación de precios en un mercado artificial de doble subasta continua”, with David Moreno and Mikel Tapia, Revista Española de Financiación y Contabilidad, 36 (134), 235-260, 2007.
- “The Value of the ‘Swap’ Feature in Equity Default Swaps,” Quantitative Finance, 6 (1), 67-74, 2006. [download]
- “Investment Horizon Effects,” Journal of Business Finance and Accounting, 33 (1)-(2), 179–202, 2006. [download]
- “Beyond Single-Factor Affine Term Structure Models,” with Eva Ferreira, Journal of Financial Econometrics, 2 (4), 565-591, 2004. [download]
- “A Nonparametric Dimension Test of the Term Structure,” with Gonzalo Rubio, Studies in Nonlinear Dynamics and Econometrics, 8 (3), Article 6, 2004. [download]
- “The Black Box of Mutual Fund Fees,” with Miguel A. Martinez, Revista de Economía Financiera, 4, 54-82, 2004. [download]
Working Papers
- “Market Imperfections, Discount Factors and Global Dominance: An Empirical Analysis with Oil-linked Derivatives,” with Alejandro Balbás and Anna Downarowicz.
Winner of the 2005 Spanish Exchanges and Markets Award to the Best Research Paper on Derivatives.
Other Publications
- “On the Relationship between Price and Quality in the U.S. Mutual Fund Industry: Evidence from the 1992-2003 Period,” with Pablo Ruiz-Verdú, in Performance of Mutual Funds: An International Perspective, Springer-Verlag, 108-126, 2006. Edited by Greg N. Gregoriou. ISBN 0-2300-1945.
- “What Drives Information Dissemination in Continuous Double Auction Markets?” with David Moreno and Mikel Tapia, in The 2005 IEEE Congress on Evolutionary Computation, Vol. 3, 2453-2460, 2005. ISBN 0-7803-9363-5.