My author page on SSRN:


Working Papers

1) The Rise of the Equity Lending Market: Implications for Corporate Financial Policies (with Murillo Campello), 2016. Presented at the 2016 AFA Meeting.

We show that managers react to an increase in the availability of shares that can be shorted by increase stock repurchases and saving more cash. To fund those responses, they pay fewer dividends, issue debt, and cut investment.


2) Short Sales Constraints and the Diversification Puzzle (with Adam Reed and Ed van Wesep), 2016.

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".


Published Papers

1) Deleveraging Risk (with Scott Richardson and Kari Sigurdsson), 2016, Forthcoming, JFQA.

Surprinsingly, highly shorted stocks tend to have extreme positive returns during times of funding illiquidity. Winner - Inquire Europe Award. Presented at the 2013 EFA and 2014 AFA Meetings


2) 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. .


3) 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.


4) 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.


5) Price Efficiency and Short Selling (with Kari Sigurdsson), Review of Financial Studies, 2011, 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.


6) 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.


Old Papers (not even 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.