Luis Goncalves-Pinto

Associate Professor of Finance
UNSW Business School
University of New South Wales

Contact Information:

School of Banking and Finance
High St, Kensington, Sydney NSW 2052
Australia

E-mail: luis.goncalvespinto@gmail.com
Phone: +61 (2) 9385 5858

  

Curriculum Vitae (PDF)

Research Interests:

Managerial Compensation and Incentives, Delegated Portfolio Management, Information and Liquidity in Financial Markets, Limits to Arbitrage and Return Predictability

Publications:


  • Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market, with Bruce Grundy (University of Melbourne), Allaudeen Hameed (National University of Singapore), Thijs Van Der Heijden (University of Melbourne), and Yichao Zhu (Australian National University)

    > Management Science, 66 (2020), 3903-3926.
    > Winner of INQUIRE Europe Research Award
    > FIRN Research Paper No. 2695145

    Abstract: Stock and options markets can disagree about a stock's value because of informed trading in options and/or price pressure in the stock. The predictability of stock returns based on this cross-market discrepancy in values is especially strong when accompanied by stock price pressure, and it does not depend on trading in options. We argue that option-implied prices provide an anchor for fundamental stock values that helps to distinguish stock price movements due to pressure versus news. Overall, our results are consistent with stock price pressure being the primary driver of the option price-based stock return predictability.

  • Incomplete Information and the Liquidity Premium Puzzle, with Yingshan Chen (South China University of Technology), Min Dai (National University of Singapore), Jing Xu (Renmin University of China), and Cheng Yan (University of Essex)

    > Management Science, 67 (2021), 5703-5729.
    > Semifinalist for Best Paper in Investments the 2013 FMA Annual Meetings

    Abstract: We examine the problem of an investor who trades in a market with unobservable regime shifts. The investor learns from past prices and is subject to transaction costs. Our model generates significantly larger liquidity premia compared to a benchmark model with observable market shifts. The larger premia are driven primarily by suboptimal risk exposure, as turnover is lower under incomplete information. In contrast, the benchmark model produces (mechanically) high turnover and heavy trading costs. We provide empirical support for the amplification effect of incomplete information on the relation between trading costs and future stock returns. We also show empirically that such amplification is not driven by turnover. Overall, our results can help explain the large disconnect between theory and evidence regarding the magnitude of liquidity premia, which has been a longstanding puzzle in the literature.

Working Papers:


  • Excess Volatility and Mispricing in the Presence of Sentiment and Institutional Investors, with Herve Roche (Universidad de Chile) and Juan Sotes-Paladino (Universidad de los Andes)

    Abstract: Against a prediction of standard models, an exacerbation of investor sentiment is often associated with lower asset price volatility in the data. We propose a model that can replicate this empirical pattern by interacting retail investor optimism with institutional benchmarking concerns. Both optimism and benchmarking separately increase the demand for a stock and decrease its risk premium. In contrast, their joint effect on stock volatility is more ambiguous, as the transmission of fundamental news to prices combines benchmarking and relative-wealth channels. The latter channel, in particular, can induce a negative and asymmetric relation between investor sentiment and the stock return’s excess volatility. It also explains how a greater institutionalization of financial markets can reduce excess volatility and mispricing in the presence of high sentiment. We show that these patterns are consistent with the data.


  • Convex Incentives and Liquidity Premia, with Min Dai (National University of Singapore), Jing Xu (Renmin University of China), and Cheng Yan (Durham Business School)

    > Revise & Resubmit at Review of Asset Pricing Studies
    > Presented at the WFA 2019

    Abstract: We show that convexities in investors' preferences significantly amplify the effect of transaction costs on liquidity premia. To maximize year-end bonuses, fund managers with negative benchmark-adjusted performance have an incentive to take excessive risks. However, trading costs hinder their ability to do so. Therefore, larger liquidity premia are required to compensate for increased turnover and lower bonuses ensuing from suboptimal risk-taking. These results are robust to alternative sources of convexity such as prospect theory and status concerns. Using data on actively-managed mutual funds, we provide empirical support for the novel predictions of our theoretical model.

  • How Informationally Efficient Are Options Markets? with Carlo Sala (ESADE Business School)

    Abstract: We argue that the ability of option measures to predict future stock returns does not necessarily imply incremental information in options. If options markets are more efficient, option measures may predict actual stock returns, but should show weaker predictability for synthetic (option-implied) stock returns. We propose to assess the incremental information in option measures by their ability to predict the spread between actual and synthetic stock returns. Our findings suggest that proxies for informed option trading cannot predict this spread around firm-specific news, providing evidence inconsistent with options markets' greater informational efficiency. A noisy rational expectations model with informed investors who can trade in stock and options is used to motivate the empirical analysis.


Honors and Awards:

  • Dean's Research Fellowship, 2022-2023
  • 2021 Canadian Derivatives Institute (CDI) Research Grant
  • Editor's Choice in the November 2018 Volume of the Review of Financial Studies for the paper "Strategic News Releases in Equity Vesting Months"
  • Semi-Finalist for Best Paper Award at the FMA Asia-Pacific Conference, April 2017
  • ASX Prize for Best Paper on Derivatives / Quantitative Finance at the Australasian Finance and Banking Conference, December 2016
  • INQUIRE Europe Research Award, April 2016
  • Best Paper Award at International Conference on Asia-Pacific Financial Markets (CAFM), December 2015
  • Best Paper Award at FIRN Conference, November 2015
  • CAMRI Applied Finance Research Award, July 2014
  • FRC Tier 1 Research Grant, Singapore Ministry of Education, "Drivers and Spillovers of Hedge Fund Activism" [2014-2017]
  • Semi-Finalist for Best Paper Award in Investments at the FMA Annual Meetings, October 2013
  • STICERD Research Grant, "Contract Horizon and Dynamic (Dis)Incentive Effects of Long-Term Executive Pay" [joint with Moqi Xu (LSE)], March 2013
  • New Zealand Superannuation Fund Award for Best Paper at the Auckland Finance Meeting, New Zealand, Dec 2012
  • FRC Tier 1 Research Grant, Singapore Ministry of Education, "Delegated Asset Management in Illiquid Markets" [2011-2014]
  • SAC Capital Ph.D. Candidate Award for Outstanding Research at the Western Finance Association Meetings, in Victoria, British Columbia, Canada, Jun 2010
  • LECG Prize for the Best Overall Conference Paper by a Ph.D. Student presented at the 36th European Finance Association Annual Meetings, in Bergen, Norway, Aug 2009
  • IFID 2009 Ph.D. Student Paper Competition Award, the Individual Finance and Insurance Decisions Center, in Toronto, Canada, Nov 2009
  • EIF Travel Grant, Europlace Institute of Finance, Paris, France, Dec 2009
  • IFID Travel Grant, Individual Finance and Insurance Decisions Center, Toronto, Nov 2009
  • AFA Student Travel Award, American Finance Association Annual Meetings, in San Francisco, California, Jan 2009
  • FCT Portuguese Foundation for Science and Technology, PhD Fellowship, 2010 - 2011
  • Calouste Gulbenkian Foundation Scholarship, 2006 - 2010
  • USC Marshall School of Business Graduate Assistantship, 2006 - 2010
  • Fulbright Scholarship, 2005 - 2010
  • BES Bank Espirito Santo Award, Best M.B.A. Student, Class of 2003
  • Portuguese Ministry of Education, Merit Scholarship, 1996 - 1999

Conference and Seminar Presentations:

    "Why Do Option Prices Predict Stock Returns? The Role of Price Pressure in the Stock Market"

  • CUHK Derivatives and Quantitative Investing Conference, Hong Kong, October 2018.
  • University of New South Wales, Sydney, Australia, June 2018.
  • Swiss Society for Financial Market Research Conference, Zurich, Switzerland, March 2017. [co-author]
  • Chinese University of Hong Kong, Hong Kong, February 2017.
  • City University of Hong Kong, Hong Kong, February 2017.
  • University of Hong Kong, Hong Kong, February 2017.
  • Warwick School of Business, Coventry, UK, January 2017.
  • BI Norwegian School of Business, Oslo, Norway, January 2017.
  • Tilburg University, Tilburg, Netherlands, January 2017.
  • University of Western Australia, Perth, Australia, December 2016. [co-author]
  • FIRN Annual Conference, Barossa Valley, Australia, November 2016. [co-author]
  • Point72 Asset Management, Cubist Systematic Strategies, Singapore, July 2016.
  • FMA Asia/Pacific Conference, Sydney, Australia, July 2016. [co-author]
  • Asian Finance Association Conference, Bangkok, Thailand, June 2016. [co-author]
  • Asian Bureau of Finance and Economic Research (ABFER), Singapore, May 2016.
  • SFS Finance Cavalcade, Toronto, Canada, May 2016. [co-author]
  • University of New South Wales, Sydney, Australia, December 2015.
  • Nova School of Business and Economics, Lisbon, Portugal, November 2015.
  • Monash University, Melbourne, Australia, October 2015. [co-author]
  • OptionMetrics Research Conference, New York, USA, October 2015. [co-author]

    • "Strategic News Releases in Equity Vesting Months"

  • SKK Graduate School of Business, Seoul, South Korea, February 2017.
  • NBER Law and Economics Meeting, Cambridge, USA, March 2016.
  • WFA Meetings, Seattle, USA, June 2015.
  • Asian Bureau of Finance and Economic Research (ABFER), Singapore, May 2015.
  • Edinburgh Corporate Finance Conference, Edinburgh, Scotland, May 2015. [co-author]
  • Bilkent University, Ankara, Turkey, January 2015.
  • Workshop on Corporate Governance and Investment, BI School of Business, Norway, October 2014. [co-author]
  • China International Conference in Finance, Chengdu, July 2014. [co-author]
  • Workshop on Executive Compensation and Corporate Governance, Erasmus University, Netherlands, June 2014. [co-author]
  • SFS Finance Cavalcade, Georgetown, USA, May 2014. [co-author]
  • Academic Conference on Corporate Governance, Drexel University, USA, April 2014. [co-author]
  • Frontiers of Finance Conference, Warwick, UK, April 2014. [co-author]
  • Adam Smith Workshops in Asset Pricing and Corporate Finance, London, UK, March 2014. [co-author]
  • Finance Down Under Conference, Melbourne, Australia, March 2014.
  • University of Hong Kong, Hong Kong, February 2014.
  • ASU Sonoran Winter Finance Conference, Scottsdale, Arizona, USA, February 2014.
  • London School of Economics, London, UK, December 2013. [co-author]
  • National University of Singapore, Singapore, November 2013.

    • "Co-Insurance in Mutual Fund Families"

  • Michigan State University, Michigan, USA, January 2017. [co-author]
  • Virginia Tech, USA, October 2015. [co-author]
  • University of Miami, USA, August 2015. [co-author]
  • University of Illinois at Urbana-Champaign, USA, February 2014. [co-author]
  • Conference on "Recent Advances in Research on Mutual Funds," Berlin, Germany, August 2013.
  • FMA European Conference, Luxembourg, June 2013.
  • SFS Finance Cavalcade, Miami, USA, May 2013. [co-author]
  • U.S. Securities and Exchange Commission, Washington DC, USA, April 18, 2013. [co-author]
  • Luso-Brazilian Finance Meeting, Buzios, Brazil, March 2013. [co-author]
  • IPARM Asia Conference, Hong Kong, January 2013.
  • Auckland Finance Meeting, New Zealand, December 2012.
  • Australasian Finance and Banking Conference, Sydney, Australia, December 2012.
  • Singapore Scholars Symposium, Singapore, November 2012.
  • BI Norwegian Business School, Oslo, Norway, November 2012. [co-author]
  • IPARM Southeast Asia 2012 Conference, Singapore, June 2012.
  • National University of Singapore, May 2012. [co-author]
  • University of New South Wales, Australia, May 2012. [co-author]
  • University of Sydney, Australia, May 2012. [co-author]
  • University of Melbourne, Australia, May 2012. [co-author]
  • University of Kentucky, USA, April 2012. [co-author]
  • University of Southern California, Los Angeles, USA, November 2010.

    • "How Does Illiquidity Affect Delegated Portfolio Choice?"

  • China International Conference in Finance, Shanghai, July 2013.
  • Asian Quantitative Finance Conference, Singapore, January 2013.
  • Australasian Finance and Banking Conference, Sydney, Australia, December 2012. [co-author]
  • National University of Singapore, May 2012.
  • WU Gutmann Center Symposium on "Liquidity and Asset Management," Vienna, Austria, June 2011.
  • University of Melbourne, Australia, March 2011.
  • Purdue University, USA, March 2011.
  • Arizona State University, USA, February 2011.
  • National University of Singapore, Singapore, February 2011.
  • Singapore Management University, Singapore, February 2011.
  • Nanyang Technological University, Singapore, February 2011.
  • Hong Kong University of Science and Technology, Hong Kong, February 2011.
  • Universidade Nova de Lisboa, Portugal, February 2011.
  • IESE Business School, Spain, February 2011.
  • ESSEC Business School, France, January 2011.
  • University of Geneva, Switzerland, January 2011.
  • UvA University of Amsterdam, Netherlands, January 2011.
  • VU University Amsterdam, Netherlands, January 2011.
  • University of Western Ontario, Canada, January 2011.
  • University of Utah, USA, January 2011.
  • University of New South Wales, Australia, December 2010.
  • Loyola University at Chicago, USA, December 2010.
  • University of Hong Kong, Hong Kong, November 2010.
  • University of Southern California, USA, November 2010.
  • FMA Doctoral Student Consortium, New York, USA, October 2010.
  • WFA Meetings, Victoria, British Columbia, Canada, June 2010.
  • Paris Finance International Meeting, Paris, France, December 2009.
  • IFID Conference on Retirement Income Analytics, Fields Institute, Toronto, Canada, November 2009.
  • EFA Meetings, Bergen, Norway, August 2009.
  • LBS Trans-Atlantic Doctoral Conference, London, UK, May 2009.

    • "The Invisible Hand of Internal Markets in Mutual Fund Families"

  • Nova School of Business and Economics, Lisbon, Portugal, January 2017.
  • Manchester Business School, Manchester, UK, April 2016. [co-author]
  • IE Business School, Madrid, Spain, February 2016. [co-author]
  • Auckland Finance Meeting, Auckland, New Zealand, December 2015. [withdrawn]
  • Australasian Finance and Banking Conference, Sydney, Australia, December 2015.
  • International Conference on Asia-Pacific Financial Markets, Seoul, South Korea, December 2015. [co-author]
  • FIRN Annual Conference, Queensland, Australia, November 2015. [co-author]
  • FMA Asia Conference, Phuket, Thailand, July 2012.
  • Vienna Graduate School of Finance, Austria, June 2011.
  • FIRS Conference, Sydney, Australia, June 2011.
  • World Finance Conference, Rhodes, Greece, June 2011. [co-author]
  • FMA European Conference, Porto, Portugal, June 2011. [co-author]
  • Portuguese Finance Network Conference, Azores, Portugal, July 2010.
  • LBS Trans-Atlantic Doctoral Conference, London, UK, May 2010.

    • "Convex Incentives and Liquidity Premia"

  • EUROFIDAI-ESSEC Paris December Finance Meeting, France, December 2022.
  • APAC BlackRock Innovation Forum, July 2022. [virtual seminar]
  • Deakin University, Melbourne, Australia, May 2021. [virtual seminar]
  • Massey University, Palmerston North, New Zealand, May 2021. [virtual seminar]
  • Catolica Porto Business School, Porto, Portugal, January 2020.
  • Australasian Finance and Banking Conference, Sydney, Australia, December 2019.
  • FIRN Annual Conference, Byron Bay, Australia, November 2019.
  • FMA Asia-Pacific Conference, Ho Chi Minh City, Vietnam, July 2019. [co-author]
  • WFA Meetings, Huntington Beach, California, USA, June 2019.
  • Chinese University of Hong Kong, Hong Kong, April 2018.

    • "Is Option-Based Predictability Inherited or Self-Made?"

  • Asian Finance Association (AsianFA) Conference, Tokyo, Japan, June 2018. [co-author]
  • Chinese University of Hong Kong, Hong Kong, March 2018.
  • FMA Asia-Pacific Conference, Taipei, Taiwan, May 2017. [co-author]
  • University of Melbourne, Melbourne, Australia, February 2017.
  • Australasian Finance and Banking Conference, Sydney, Australia, December 2016.
  • International Conference on Asia-Pacific Financial Markets, Seoul, South Korea, December 2016.

    • "How Informationally Efficient Are Options Markets?"

  • Paris Financial Management Conference, Paris, France, December 2022. [co-author]
  • International Conference on Futures and Other Derivatives (ICFOD), Nanning, China, December 2022. [co-author] [withdrawn]
  • Financial Management and Accounting Research Conference, Limassol, Cyprus, June 2022. [co-author]
  • Asia-Pacific Association of Derivatives Conference [virtual], Busan, South Korea, July 2021. [withdrawn]
  • Chinese University of Hong Kong, Hong Kong, March 2018.

    • "Incomplete Information and the Liquidity Premium Puzzle"

  • FMA Conference, Chicago, USA, October 2013. [withdrawn]
  • Asian Quantitative Finance Conference, Singapore, January 2013. [co-author]
  • Australasian Finance and Banking Conference, Sydney, Australia, December 2012. [co-author]
  • Bachelier Finance Society 7th World Congress, Sydney, Australia, June 2012. [co-author]

    • "When Do Option Prices Predict Stock Prices?"

  • Berlin-Princeton-Singapore Workshop on Quantitative Finance, Singapore, June 2015.
  • NUS Risk Management Institute, Singapore, May 2015.

    • "How Does Restricted Pay Affect Managerial Effort?"

  • NUS-UTokyo Workshop on Quantitative Finance, Singapore, September 2013.