My author page on SSRN:
1) The Rise of the Equity Lending Market: Implications for Corporate Financial Policies (with Murillo Campello and Rafael Matta), 2016.
We model the effect of short selling constraints on corporate policies and empirically show how the equity lending market affects corporate behavior. Firms react to a decline in the cost to short their stocks by repurchasing shares and increasing investment, consistent with our theory that managers respond to manipulative shorting threats by signaling firm value through observable corporate policies. Firms also save more cash and issue more debt in response to declines in stock loan fees. These policy responses are internally coherent and are more pronounced for firms with more illiquid stocks, higher growth opportunities, and higher governance standards. Presented at the 2015 EFA (Vienna), the 2016 AFA (San Francisco), and the FIRS 2017 Conference (Hong Kong).
2) Hedge Fund Activism and Big Bears: The Role of Large Short Positions Disclosures (with Tao Li and Daheng Yang), Coming soon. 2018 INQUIRE Europe Research Award
Our results show that firms involving large short sellers have a higher probability of being targeted by activists. However, successful activist campaigns only generate abnormal long-run profits in the absence of large short sellers in target firms.
1) Short Sales Constraints and the Diversification Puzzle (with Adam Reed and Ed van Wesep), 2018. Forthcoming, Management Science.
We show that differences in beliefs and short sales constraints between conglomerate and stand-alone firms can explain a large portion of the "diversification puzzle". An asset pricing explanation for a corporate finance "puzzle". Presented at the FIRS 2017 conference.
2) Deleveraging Risk (with Scott Richardson and Kari Sigurdsson), 2017, Journal of Financial and Quantitative Analysis, 52(6), 2491-2522.
Surprisingly, highly shorted stocks tend to have extreme positive returns during times of funding illiquidity. Winner, Inquire Europe Award and 2015 Crowell Third Prize. Best Paper at the FMA Consortium for European Finance Faculty. Presented at the EFA 2013 and AFA 2014.
3) The Big Short: Short Selling Activity and Predictability in House Prices (with Carles Vergara-Alert), 2017, Forthcoming, Real Estate & Economics.
We show that short sales constraints of Real Estate Investment Trusts (REITs) can forecast next month's future house prices. Presented at the 2013 AEA/AREUA meeting.
4) Ownership Structure, Limits to Arbitrage and Stock Returns: Evidence from Equity Lending Markets (with Melissa Porras Prado and Jason Sturgess), 2016, Review of Financial Studies, 29(12), 3211-3244. (Editor's Choice article)
We show how ownership structure can lead to limits to arbirtrage through their impact on the equity lending market. Winner - Best Paper in Regulation, XVIII Foro de Finanzas. Presented at the 2014 AFA Meeting.
5) The Role of Institutional Investors in Voting: Evidence from the Securities Lending Market (with Reena Aggarwal and Jason Sturgess), 2016, Journal of Finance 70(5), 2309-2346.
We examine equity lending market data around voting record dates to measure the value of a vote and how institutions use the proxy process as an important channel for affecting corporate governance. Winner – Q Group Award. Presented at the 2012 WFA, 2012 EFA and 2013 AFA Meetings.
6) Price Efficiency and Short Selling (with Kari Sigurdsson), 2011, Review of Financial Studies, 24(3), 821-852. (Internet Appendix here)
This paper shows how short-sale constraints are associated with stock price inefficiency using a novel dataset with lending supply postings and borrowing transactions.
7) Technical Analysis: Luck or Reality?, 2003, Revista Brasileira de Economia, 57(4).
This is my MSc. dissertation, showing how technical analysis does not work once you account for data-snooping when evaluating trading strategies.
1) Short Selling: Theoretical and Empirical Impact on Financial Markets
Mini-course with a review of the short selling literature for the SBFin 2019 meeting at Rio de Janeiro, Brazil.
Old Papers (not sure when/if they will ever be revised)
1) Differences of Opinion, Information Asymmetry and the Timing of Trades, 2006.
This paper shows how analysts' forecast dispersion and information asymmetry affect trading volume around earnings announcements.
2) Expected Returns and Liquidity Risk: Does Entrepreneurial Income Matter?, 2005.
Models the joint impact of liquidity risk and non-tradable income on stock returns.
3) Economics and Finance PhD. Application's Guide to Brazilian Students, 2002.
A guide to Brazilian students applying to Economics PhD programs. Old but still relevant.