JESÚS DAVID MORENO
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email:
jdmoreno@emp.uc3m.es
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address / office:
C/ Madrid, 126 - 28903 Getafe (Madrid) Spain / 6.0.47
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(34) 91 624 57 94 / (34) 91 624 96 07
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BUSINESS UC3M
@UC3M_BUSINESS

JESÚS DAVID MORENO

Associate Professor of Finance

Selected publications

“The Idiosyncratic Volatility Anomaly: Corporate Investment or Investor Mispricing?” (2016) (with Juliana Malagón and Rosa Rodriguez). Journal of Banking and Finance.

“Why is timing perverse?” (2015) (with Juan Carlos Matallín-Sáez and Rosa Rodriguez). The European Journal of Finance.

“Time horizon trading and the idiosyncratic risk puzzle” (2015) (with Juliana Malagón and Rosa Rodriguez). Quantitative Finance, Vol 15 (2).
David Moreno is an Associate Professor of Finance in the Department of Business Administration at the University Carlos III. He holds a PhD. in Economics and a B.A. degree in Economics from the University of Alcala (Madrid, Spain). He teaches Financial Management and Corporate Finance to undergrads and Portfolio Theory and Fixed Income Assets to Masters.

David’s research interests center on Mutual Funds Performance Evaluation and several issues around Asset Pricing. His research examines issues as the effect of outsourcing in mutual fund industry, the idiosyncratic risk puzzle. He has published in international journals, such as the Journal of Banking and Finance, Quantitative Finance, or European Journal of Operational Research among others. And also in national journals as Revista Española de Financiación y Contabilidad o el Boletín ICE.

David also provides service as anonymous referee to several academic journals: European Journal of Operational Research, IEEE Transactions on Evolutionary Computation, Moneda y Crédito, Revista de Economía Financiera among others.
“The Idiosyncratic Volatility Anomaly: Corporate Investment or Investor Mispricing?” (2016) (with Juliana Malagón and Rosa Rodriguez). Journal of Banking and Finance.

“Why is timing perverse?” (2015) (with Juan Carlos Matallín-Sáez and Rosa Rodriguez). The European Journal of Finance.

“Time horizon trading and the idiosyncratic risk puzzle” (2015) (with Juliana Malagón and Rosa Rodriguez). Quantitative Finance, Vol 15 (2).

“A study on short-selling constraints: total ban versus partial ban” (2015) (with Esther Cáceres and Rosa Rodriguez). Applied Economics Letters, Vol 22 (2).

“Accurately Measuring Gold Mutual Fund Performance” (2014) (with Chieh Wang and Rosa Rodriguez). Applied Economics Letters, Vol 21(04): 268-271.

"Optimal Diversification across Mutual Funds" (2013) (with Rosa Rodriguez). Applied Financial Economics (forthcoming).

"The value of coskewness in mutual fund performance evaluation" (2009) (with Rosa Rodríguez). Journal of Banking & Finance, Vol 33: 1664–1676.

“Price Dynamics, Informational Efficiency and Wealth Distribution in Continuous Double Auction Markets” (2007) (with Javier Gil and Mikel Tapia). Computational Intelligence, 23 (2), 176-196.

“Formación de precios en un mercado artificial de doble subasta continua” (2007) (with Javier Gil and Mikel Tapia). Revista Española de Financiación y Contabilidad, 36 (134), 235-260.

"Is the predictability of emerging and developed stock markets really exploitable?" (2007) (with Ignacio Olmeda). European Journal of Operational Research, 182 (1), 436-454.

"Self-Organizing Maps could improve the classification of Spanish Mutual Funds" (2006) (with Paulina Marco and Ignacio Olmeda). European Journal of Operational Research, 174, 1039-1054.

"Performance Evaluation considering the Coskewness: A Stochastic Discount Factor Framework" (2006) (with Rosa Rodríguez). Managerial Finance, 32 (4), 375-392.

"Risk Forecasting Models and Optimal Portfolio Selection" (2005) (with Paulina Marco and Ignacio Olmeda). Applied Economics, Vol. 37: 1267-1281.