Pedro Saffi

Prof. Pedro Saffi is a Professor of Financial Economics at CJBS and the Director of its Master of Finance program. He obtained his PhD in Finance from London Business School in 2007 and was an Assistant Professor of Finance at IESE in Spain between 2007 and 2011. Prior to that, a MSc. in Economics from Fundação Getulio Vargas (2002) and a BA in Economics from IBMEC Business School (1999), both in Rio de Janeiro, Brazil.

His research focuses on topics such as security lending markets; short selling; and limits to arbitrage. He regularly presents his work in the top academic conferences and contributed with articles to the popular press. He has published his work in the top Finance journals in the world, like the Journal of Finance, the Review of Financial Studies, Management Science, and the JFQA. In 2012 he was awarded one of the Q Group’s research awards, in 2013 and 2018 an award by Inquire Europe, and in 2015 the NAC & Blackrock Global Challenge for Innovation in Corporate Governance prize and one of the 2015 Crowell prizes given by PanAgora Asset Management.

His previous teaching experience includes courses for MBA, EMBA, MPhil and Executive Education students at Judge Business School, London School of Economics, IESE Business School, London Business School, Reykjavik University (Iceland), Fundação Getulio Vargas (Brazil), SKKU (South Korea), Nile University (Egypt), and Myra Business School (India). In 2012 and 2015 he was awarded an Outstanding Teaching Award by the Judge Business School.

His professional experience includes working as a consultant to Mondrian Investment Partners, as a corporate valuation expert for the United Nation's Permanent Court of Arbitration, for real estate companies and for pharmaceutical companies. He also serves in the advisory board of a hedge fund that uses machine learning methods to trade cryptocurrencies.

Research interests * Security lending markets; short selling; liquidity risk; and how differences of beliefs affect trading volume.

Previous appointments * From 2007 Professor Saffi was Assistant Professor of Finance at IESE Business School in Barcelona, Spain.

Awards & honours * Crowell Third Prize for the paper “Deleveraging risk” (with Scott Richardson and Kari Sigurdsson), Quantitative Research Group at PanAgora Asset Management, 2015 * Best Paper Award for the paper “Deleveraging risk” (with Scott Richardson and Kari Sigurdsson), Financial Management Association International (FMA) Consortium for European Finance Faculty, 2014 * Inquire Europe Award, 2013 * Outstanding Teaching Award, Cambridge Judge Business School, 2012 * Research Award, Q Group, 2012

Selected publications * Reed, A.V., Saffi, P.A.C. and Van Wesep, E.D. (2021) “Short-sales constraints and the diversification puzzle.” Management Science, 67(2): 1159-1182 (DOI: 10.1287/mnsc.2019.3467)

• Saffi, P.A.C. and Vergara-Alert, C. (2020) “The big short: short selling activity and predictability in house prices.” Real Estate Economics, 48(4): 1030-1073 (DOI: 10.1111/1540-6229.12219)

• Richardson, S., Saffi, P.A.C. and Sigurdsson, K. (2017) “Deleveraging risk.” Journal of Financial and Quantitative Analysis, 52(6): 2491-2522 (DOI: 10.1017/S0022109017001077)

• Porras Prado, M., Saffi, P.A.C. and Sturgess, J. (2016) “Ownership structure, limits to arbitrage and stock returns: evidence from equity lending markets.” Review of Financial Studies, 29(12): 3211-3244 (DOI: 10.1093/rfs/hhw058)

• Aggarwal, R., Saffi, P.A.C. and Sturgess, J. (2015) “The role of institutional investors in voting: evidence from the securities lending market.” Journal of Finance, 70(5): 2309-2346 (DOI: 10.1111/jofi.12284)

• Saffi, P.A.C. and Sigurdsson, K. (2011) “Price efficiency and short selling.” Review of Financial Studies, 24(3): 821-852 (DOI: 10.1093/rfs/hhq124)