José Faias

Invited Assistant Professor
José Faias, Academic Director of the MSc in Finance, holds a PhD in Finance (FE-UNL), a MSc in Statistics and Optimization (FCT-UNL), an MBA (CATÓLICA-LISBON) and a BA ("Licenciatura") in Mathematics - Actuarial Sciences (FCT-UNL).
He was a visiting fellow at Harvard University. He has previously taught at FE-UNL and worked in the insurance and investment banking industry. His research interests include empirical asset pricing and econometrics: option pricing, extreme events, regime switching models, international financial markets, risk management, and quantitative portfolio management.
Paper

Does Institutional Ownership Matter for International Stock Return Comovement?

CATÓLICA-LISBON Researcher(s): José Faias
Faias, J. & Ferreira, M., Journal of International Money and Finance, Vol. 78, pages 64-83, 2017
Paper

Optimal Option Portfolio Strategies: Deepening the Puzzle of Index Option Mispricing

CATÓLICA-LISBON Researcher(s): José Faias
Santa-Clara, P., Journal of Financial and Quantitative Analysis, vol. 52, issue 01, pages 277-303 , 2017