Luis Goncalves-Pinto

Assistant Professor of Finance
NUS Business School
National University of Singapore



Contact Information:

15 Kent Ridge Drive, MRB Level 07-43
Singapore 119245, Singapore

E-mail: lgoncalv@nus.edu.sg
Phone: (+65) 6516 4620
Fax: +(65) 6779 2083

 


Curriculum Vitae (PDF)

NUS Finance Brownbag Seminar Series:


Research Interests:

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

Working Papers:

  • Informed Trading in Options or Price Pressure in Stocks?, with Bruce Grundy (University of Melbourne), Allaudeen Hameed (National University of Singapore), Thijs Van Der Heijden (University of Melbourne), and Yichao Zhu (University of Melbourne)

    Abstract: The distance between option-implied and traded stock prices (DOTS) predicts future stock returns. A trading strategy based on DOTS yields an alpha of 82 basis points on the day after portfolio formation. We show that DOTS is strongly related to return reversals, order imbalances, and transaction costs in stocks, and is only weakly related to trading activity in options. These results are consistent with temporary stock price pressure being an important driver of the option-based return predictability. This significantly affects the interpretation of measures of informed trading based on option-implied volatilities, which are sensitive to pressure in stock prices.

Honors and Awards:

  • Research Grant, INQUIRE Europe, "Price Pressure in Stocks and Informed Trading in Options Around Corporate News Events" [joint with Bruce Grundy (Melbourne), Allaudeen Hameed (NUS), and Thijs Van Der Heijden (Melbourne)], 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 for "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 (Runner-Up) 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:

    "Informed Trading in Options or Price Pressure in Stocks?"

  • 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"

  • 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"

  • 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.
  • "When Do Option Prices Predict Stock Prices?"

  • Berlin-Princeton-Singapore Workshop on Quantitative Finance, Singapore, June 2015.
  • NUS Risk Management Institute, Singapore, May 2015.
  • "Incomplete Information, Time-Varying Investment Opportunities, and Liquidity Premia"

  • 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]
  • "Long-Term Compensation and Managerial Choice of Effort and Risk"

  • NUS-UTokyo Workshop on Quantitative Finance, Singapore, September 2013.
  • "The Invisible Hand of Internal Markets in Mutual Fund Families"

  • 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.
  • "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.