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Fernando Zapatero

Robert G. Kirby Chair in Behavioral Finance & Professor of Finance and Business Economics
Building
HOH
Room / Office
710

PhD, Columbia University; BA, Comillas Pontifical University

Fernando Zapatero is a financial economist who studies problems in asset pricing and corporate finance, with an emphasis on mathematical and computational methods. His research has been published in the Journal of Finance, Journal of Financial Economics, Review of Financial Studies, Econometrica, Journal of Economic Theory, Mathematical Finance, and Management Science, and he coauthor of Introduction to the Economics and Mathematics of Financial Markets (MIT Press). He is an associate editor for Annals of Finance, Journal of Economic Dynamics and Control, Mathematical Finance, and Mathematics and Financial Economics. Before joining USC, Professor Zapatero served on the faculty of the University of Texas, UC-Berkeley, and ITAM.

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Fernando Zapatero () "Reference-Based Decisions in Finance ,"  Behavioral Finance: Where do Investors Biases Come From?, 1.
Rafael Zambrana, Fernando Zapatero () "A Tale of Two Types: Generalists vs. Specialists in Mutual Funds Asset Management ,".
Juan Sotes-Paladino, Fernando Zapatero () "A Rationale for Benchmarking in Money Management ,".
Juan Gomez, Richard Priestley, Fernando Zapatero () "Labor Income, Relative Wealth Concerns, and the Cross-section of Stock Returns ,".
Isabelle Brocas, Juan Carrillo, Aleksandar Giga, Fernando Zapatero () "Skewness Seeking in a Dynamic Portfolio Choice Experiment ,".
Gil Aharoni, Joshua Shemesh, Fernando Zapatero () "Star Analysts’ Rankings and Strategic Announcements: The Case of Battleground Stocks ,".
Marco Navone, Fernando Zapatero () "Uncertainty, Reputation, and Analysts Coverage ,".
Isabelle Brocas, Juan Carrillo, Aleksandar Giga, Fernando Zapatero () "Risk Aversion in a Dynamic Asset Allocation Experiment ,".
Juan Sotes-Paladino, Fernando Zapatero () "Riding the Bubble with Convex Incentives ,".
Joshua Shemesh, Fernando Zapatero () "The Intensity of Keeping Up with the Joneses Behavior: Evidence from Neighbor Eects in Car Purchases ,".
Coskun Cetin, Fernando Zapatero () "Optimal Acquisition of a Partially Hedgeable House ,".
Melissa Maisch, Fernando Zapatero () "The Optimal Term Structure of Debt Maturity ,"  Bridging the GAAP: Recent Advances in Finance and Accounting  World Scientific Publishing, 10 .
Costas Xiouros, Fernando Zapatero () "The representative agent of an economy with external habit-formation and heterogeneous risk-aversion ,"  Review of Financial Studies.
S. Suh, Fernando Zapatero () "A Class of Quadratic Options for Exchange Rate Stabilization ,"  Journal of Economic Dynamics and Control  32, 3478-3501.
J. Cvitanic, Zvi Wiener, Fernando Zapatero () "Analytic Pricing of Employee Stock Options ,"  Review of Financial Studies  21, 683-724.
J. Cvitanic, V. Polimenis, Fernando Zapatero () "Optimal Portfolio Allocation with Higher Moments ,"  Annals of Finance  4, 1-28.
A. Cadenillas, J. Cvitanic, Fernando Zapatero () "Optimal Risk-Sharing with Effort and Project Choice ,"  Journal of Economic Theory  133, 403-440.
J. Cvitanic, L. Goukasian, Fernando Zapatero () "Optimal Risk-Taking with Flexible Income ,"  Management Science  55, 1594-1603.
A. Cadenillas, J. Cvitanic, Fernando Zapatero () "Stochastic Control Methods for the Problem of Optimal Compensation of Executives ,"  Stochastic Differential Equations: Theory and Applications. A volume in honor of Professor B. L. Rozovskii.
A. Cadenillas, S. Sarkar, Fernando Zapatero () "Optimal Dividend Policy with Mean-Reverting Cash Reservoir ,"  Mathematical Finance  17, 81-110.
J. Cvitanic, L. Martellini, A. Lazrak, Fernando Zapatero () "Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations ,"  Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations  Review of Financial Studies  19, 1113-1156 (lead article).
A. Ibanez, Fernando Zapatero () "Monte Carlo Valuation of American Options through Computation of the Optimal Exercise Frontier ,"  Journal of Financial and Quantitative Analysis  39.
Ali Lazrak, Fernando Zapatero () "Efficient Consumption Set under Recursive Utility and Unknown Beliefs ,"  Journal of Mathematical Economics  40, 207-226.
J. Cvitanic, Fernando Zapatero () "Introduction to the Economics and Mathematics of Financial Markets ,"  MIT Press.
Abel Cadenillas, Jaksa Cvitanic, Fernando Zapatero () "Leverage Decision and Manager Compensation with Choice of Effort and Volatility ,"  Journal of Financial Economics  73, 71-92.
J.P. Gomez, Fernando Zapatero () "Asset Pricing Implications of Benchmarking: A Two-Factor CAPM ,"  European Journal of Finance  9, 343-357.
Fernando Zapatero, Luis Reverter () "Foreign Exchange Intervention with Options ,"  Journal of International Money and Finance  22, 289-306.
Jaksa Cvitanic, Levon Goukasian, Fernando Zapatero () "Monte Carlo Computation of Optimal Portfolios in Complete Markets ,"  Journal of Economic Dynamics and Control  27, 971-986.
Jaksa Cvitanic, Ali Lazrak, Lionel Martellini, Fernando Zapatero () "Optimal Allocation to Hedge Funds: An Empirical Analysis ,"  Quantitative Finance  3, 28-39.
S. Sarkar, Fernando Zapatero () "The Trade-off Model with Mean Reverting Earnings: Theory and Empirical Tests ,"  Economic Journal  113, 834-860.
J. Cvitanic, L. Goukasian, Fernando Zapatero () "Hedging with Monte Carlo Simulation ,"  Computational Methods in Decision-Making, Economics and Finance  Kluwer Academic Publishers  2, 339-353.
J. Cvitanic, A. Lazrak, M.C. Quenez, Fernando Zapatero () "Incomplete Information with Recursive Preferences ,"  International Journal of Theoretical and Applied Finance  4, 245-262.
A. Cadenillas, Fernando Zapatero () "Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves ,"  Mathematical Finance   10, 141-147.
Domenico Cuoco, Fernando Zapatero () "On the Recoverability of Preferences and Beliefs ,"  Review of Financial Studies  13, 417-431.
A. Cadenillas, Fernando Zapatero () "Optimal Central Bank Intervention in the Foreign Exchange Rate Market ,"  Journal of Economic Theory  87, 242.
Fernando Zapatero () "Effects of Financial Innovations on Market Volatility when Beliefs are Heterogeneous ,"  Journal of Economic Dynamics and Control  22, 597-626.
S.M. Sundaresan, Fernando Zapatero () "Valuation, Asset Allocation and Retirement Incentives of Pension Plans ,"  Review of Financial Studies  10, 631-660.
R. Goldstein, Fernando Zapatero () "General Equilibrium with Constant Relative Risk Aversion and Vasicek Interest Rates ,"  Mathematical Finance  6, 331-340.
Fernando Zapatero () "Equilibrium Asset Prices and Exchange Rates ,"  Journal of Economic Dynamics and Control  19, 787-811.
Jerome Detemple, Fernando Zapatero () "Optimal Consumption-Portfolio Policies with Habit Formation ,"  Mathematical Finance  2, 35-58.
Jerome Detemple, Fernando Zapatero () "Asset Pricing in an Exchange Economy with Habit Formation ,"  Econometrica  59, 1633-1657.
Fernando Zapatero () "Manual de Consolidacion de Estados Financieros de los Grupos de Empresos ,".