RESEARCHERS 
Francisco Peñaranda
CONTACT
Universitat Pompeu Fabra
Jaume I, 224
C. Ramon Trias Fargas, 25-27
08005 Barcelona
Tel. no. +34 93 542 2638
This e-mail address is being protected from spambots. You need JavaScript enabled to view it
ABRIDGED BIOGRAPHY
Francisco Peñaranda holds a degree in Business Management from the University of Castilla-La Mancha and a PhD in Economics from CEMFI (2003). He is currently an assistant professor at the UPF Department of Economics and a research associate of the Financial Markets Group (London School of Economics).
His research area is the econometrics of asset pricing and portfolio management, and his work integrates economic theory, econometric theory and empirical evidence (on currency, stock, and commodity markets). He has linked global games and empirical finance in one of his papers, with an application to currency carry trades. He has studied the recent boom-and-bust of the biofuel industry and its influence on the co-movement between oil and agricultural futures. He has written several papers on estimation and testing methods for mean-variance analysis, which has applications that cover portfolio choice, asset pricing tests and performance evaluation. His work also takes into account explicitly that investors take decisions conditional on their information set to exploit return predictability.
RECENT PUBLICATIONS:
- “Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach” (2010), joint with Enrique Sentana, forthcoming in the Journal of Econometrics.
- “On the Impact of Fundamentals, Liquidity and Coordination on Market Stability” (2011), joint with Jón Daníelsson, International Economic Review 52, 621-638.
