Projects per year
Personal profile
Biography
José Faias 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 and a visiting scholar at MIT. 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.
Education/Academic qualification
PhD
Fingerprint
Dive into the research topics where José Faias is active. These topic labels come from the works of this person. Together they form a unique fingerprint.
- 1 Similar Profiles
Collaborations and top research areas from the last five years
Recent external collaboration on country/territory level. Dive into details by clicking on the dots or
-
CUBE: Católica Lisbon Research Unit in Business and Economics
Machado, F. (PI), Aranda, A. M. (Researcher), Costa, A. I. D. A. (Researcher), Martins, A. P. (Researcher), Bernard, A. (Researcher), Fidalgo, A. (Researcher), Reis, C. (Researcher), Abecassis-Moedas, C. (Researcher), Santos, C. (Researcher), Tran, D. (Researcher), Fernandes, D. (Researcher), Bonfim, D. (Researcher), Schliephake, E. (Researcher), Kalogirou, F. (Researcher), Reis, F. (Researcher), Santos, F. (Researcher), Machado, F. (Researcher), Sguera, F. (Researcher), Cerqueiro, G. (Researcher), Reis, H. (Researcher), Barreto, I. (Researcher), Silva, J. (Researcher), Salvado, J. C. (Researcher), Neves, J. C. D. (Researcher), Gijsbrechts, J. (Researcher), Stahl, J. (Researcher), Guedes, J. C. (Researcher), Faias, J. (Researcher), Wagner, L. (Researcher), Correia, I. (Researcher), Saldanha, M. F. (Researcher), Fontes, J. C. (Researcher), Modesto, L. (Researcher), Meira, M. (Researcher), Matos, M. G. D. (Researcher), Gouveia, M. (Researcher), Kozeniauskas, N. (Researcher), Bertani, N. (Researcher), Couzoff, P. (Researcher), Barroso, P. (Researcher), Encarnação, P. (Researcher), Raposo, P. (Researcher), Teles, P. (Researcher), Bastos, W. (Researcher), Bohnsack, R. (Researcher), Vale, R. C. D. (Researcher), Ferreira, R. (Researcher), Lloyd-Braga, T. (Researcher), Ramus, T. (Researcher), Colaço, V. H. (Researcher), Cavicchini, A. (Researcher), Parada, P. (Researcher), Pieters, R. (Researcher), Pinto, F. A. G. D. L. S. (Researcher), Colaço, V. H. (Researcher) & Venter, Z. (Researcher)
1/01/20 → 31/12/24
Project: Research
-
INTAGE: The interplay between agents in the financial marketplace
Faias, J. (PI), Cerqueiro, G. (Researcher), Guedes, J. C. (Researcher), Bonfim, D. (Researcher), Albuquerque, R. (Researcher), Stahl, J. (Researcher), Camanho, N. (Researcher), Fernandes, D. (Researcher) & Kokkonen, J. (Researcher)
1/09/18 → 31/08/21
Project: Research
-
A interação entre agentes no mercado financeiro
Faias, J. (PI), Cerqueiro, G. (Researcher), Albuquerque, R. (Researcher), Bonfim, D. (Researcher), Kokkonen, J. (Researcher), Camanho, N. (Researcher), Guedes, J. C. (Researcher), Fernandes, D. (Researcher) & Stahl, J. (Researcher)
1/09/18 → 31/08/22
Project: Research
Research output
- 7 Article
-
Price elasticity of demand and risk-bearing capacity in sovereign bond auctions
Albuquerque, R., Cardoso-Costa, J. M. & Faias, J. A., 1 Oct 2024, In: Review of Financial Studies. 37, 10, p. 3149-3187 39 p.Research output: Contribution to journal › Article › peer-review
1 Citation (Scopus) -
Predicting the equity risk premium using the smooth cross-sectional tail risk: the importance of correlation
Faias, J. A., Mar 2023, In: Journal of Financial Markets. 63, 22 p., 100769.Research output: Contribution to journal › Article › peer-review
Open AccessFile1 Citation (Scopus)39 Downloads -
Equity risk premium predictability from cross-sectoral downturns
Faias, J. A. & Zambrano, J. A., 1 Sept 2022, In: Review of Asset Pricing Studies. 12, 3, p. 808-842 35 p.Research output: Contribution to journal › Article › peer-review
Open AccessFile24 Downloads -
The diffusion of complex securities: the case of CAT bonds
Faias, J. A. & Guedes, J., Jan 2020, In: Insurance: Mathematics and Economics. 90, p. 46-57 12 p.Research output: Contribution to journal › Article › peer-review
8 Citations (Scopus) -
Out-of-sample stock return prediction using higher-order moments
Faias, J. A. & Castel-Branco, T., 1 Sept 2018, In: International Journal of Theoretical and Applied Finance. 21, 6, 1850043.Research output: Contribution to journal › Article › peer-review
5 Citations (Scopus)