Sumários
Student presentations
19 Maio 2026, 19:00 • Fernando Correia da Silva
Student
presentations in the scheduled order, based on asset pricing papers selected by
the students:
6. Joshua
Beynon - Adrian, T., Boyarchenko, N., & Giannone, D. (2019). Vulnerable
growth. American Economic Review, 109(4), 1263–1289
7. Marta
Rosa - Wu, J.-q., & Mu, Z. (2023). Research on data asset pricing based on
bargaining model. Procedia Computer Science, 221, 601–608
8. Rodrigo
Silva - Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and
selling losers: Implications for stock market efficiency. The Journal of
Finance, 48(1), 65–91
9. Samuel
Branco - Frazzini, A., & Pedersen, L. H. (2014). Betting against beta. Journal
of Financial Economics, 111(1), 1–25.
After each
presentation, the floor was opened for questions from the audience.
Student presentations
19 Maio 2026, 17:30 • Fernando Correia da Silva
Student
presentations in the scheduled order, based on asset pricing papers selected by
the students:
1. Bruno Franco - Zerbib, O. D. (2019). The effect of pro-environmental preferences on
bond prices: Evidence from green bonds. Journal of Banking & Finance, 98,
39–60
2. Cristiana
Lopes - Bartholdy, J., & Peare, P. (2005). Estimation of expected return:
CAPM vs. Fama and French. International Review of Financial Analysis, 14(4),
407–427.
3. Francesco
Cenciotti - Fama, E. F., & French, K. R. (2010). Luck versus skill in the
cross-section of mutual fund returns. The Journal of Finance, 65(5),
1915–1947
4. Gabriela
Gubenco - Choi, D., Jiang, W., & Zhang, C. (2025). Alpha go everywhere:
Machine learning and international stock returns. The Review of Asset
Pricing Studies, 15(3–4), 288–331
5. Gonçalo
Jorge - Fama, E. F. (1970). Efficient capital markets: A review of theory and
empirical work. The Journal of Finance, 25(2), 383–417
Arbitrage Pricing Theory
12 Maio 2026, 19:00 • Fernando Correia da Silva
Arbitrage Pricing Theory (continued):
- State prices as the dual representation of
no-arbitrage pricing.
- Recovery and interpretation of state prices
from observed asset prices.
- Equivalence between replication pricing and
state-price pricing for attainable payoffs.
- Risk-neutral probabilities obtained by
normalising state prices through the risk-free asset.
- Risk-neutral valuation as discounted expected
payoff under the risk-neutral measure.
- Extension to dynamic markets through the
binomial model and option pricing by backward induction.
Arbitrage Pricing Theory
12 Maio 2026, 17:30 • Fernando Correia da Silva
Arbitrage Pricing Theory (APT):
- Introduction to no-arbitrage pricing as an
alternative to preference-based and equilibrium-based approaches.
- One-period market setup with traded
securities, observed prices, and state-contingent payoffs.
- Matrix representation of payoffs, portfolios,
and replication.
- Attainability, market completeness,
redundancy, and arbitrage-free pricing.
- Pricing by replication: a replicable payoff
must have the same price as the traded portfolio that reproduces it state by
state.
Arbitrage Pricing Theory
5 Maio 2026, 19:00 • Fernando Correia da Silva
Arbitrage
Pricing Theory (continued):
- Residual
risk and approximate pricing.
- How
should we interpret the factors?
- How do we
choose the factors?
- Fama-French
3-factor model.
- Carhart 4-factor
model.
-
Applications: fund performance, Jensen’s alpha, and multi-factor adjustment.