CURRICULUM VITAE

CURRICULUM VITAE

João Filipe Bernardes Volkmann de Mendonça Mergulhão

Personal Details:

Date of Birth June 1980
Address São Paulo, Brazil

Email joao.mergulhao at fgv.br
Website www.joaomergulhao.eu

Nationality Portuguese

Education

2004 to 2011 NOVA School of Business and Economics,

Doctoral and Masters Program in Finance.

Masters Degree completed in 2008.

Ph.D completed in July 2011.

2006 to 2011 Queen Mary College, University of London, Visiting Research Student

2003 LSE London School of Economics and Political Science,

Summer School. Courses: Finance and Forecasting Financial Markets

1998 - 2004 NOVA School of Business and Economics,

Licenciatura in Economics. Main modules: Finance, Econometrics and Industrial Organization

Academic Experience

2011 to date Assistant Professor, Escola de Economia de São Paulo, Fundação Getúlio Vargas

2010 to 2011 Visiting Lecturer, Queen Mary, University of London

Masters courses: Financial Economics, Eviews

2007 to 2010 Teaching Assistant, Queen Mary, University of London

Masters courses: Empirical Finance, Asset Management

Undergraduate courses: Microeconomics, Statistical Methods, Spreadsheets and Data in Economics

2007 Research Assistant at FEUNL, Project on Interaction of Social Networks

Workshops

2009 NOVA School of Business and Economics, Summer School in Finance: “New Advances in Modelling and Forecasting Volatility” with Prof. Marcelo Medeiros

2008 London Business School, Corporate Governance Summer School

NOVA School of Business and Economics, Summer School in Finance: “Financial Econometrics: Exploiting High Frequency Information” with Prof. Marcelo Fernandes

University College London, CEMMAP masterclass: “The Econometrics of High-Frequency Financial Data” with Prof. Yacine Ait-Sahalia

2007 NOVA School of Business and Economics, Summer School in Finance: “Modern Dynamic Asset Pricing Models” with Prof. Pietro Veronesi

2006 NOVA School of Business and Economics, Summer School in Finance: “Foundations of Market Microstructure” with Prof. Uptal Bhattacharya

2005 Université Catholique de Louvain, CORE Lecture Series on “Financial

Econometrics: Past, Present and Future” with Andrew Lo

2004 Royal Economic Society, Nuffield College, Oxford: “Financial Econometrics: Realized Volatility”

Work in Progress

“Influential Bankers and Capital Structure”, joint work with João Amaro de Matos.

This paper studies the impact of the presence of bankers in the board of a corporation on its capital structure. We assume that the presence of bankers lowers information asymmetry problems, facilitating information transmission between corporations and financial institutions. Using a large database on Board of Directors, we construct the directors’ social network and measure the relative influence (centrality) of bankers on the information transmission mechanism. Our results indicate that for a sample of US firms, the presence of bankers in the board increases the leverage ratio. This effect is magnified by the influence of the banker, i.e. the more connected a banker is, the higher the leverage ratio of the firm in which he or she sits.

Paper accepted for presentation in

· The 22^nd Australasian Finance and Banking Conference, University of New South Wales, Sydney, December 2009

· Campus for Finance, WHU-Otto Beisheim School of Management, January 2010

· Midwest Finance Association Meeting, Chicago, March 2011

· Luso-Brazilian Finance Meeting, Natal, March 2011

· Brazilian Finance Association Meeting, Rio de Janeiro, July 2011

An earlier version of this paper was presented at:

· CEF-QASS Conference on Empirical Finance, Brunel University, May 2008

· Queen Mary, University of London, Econometrics Reading Group, March 2008

· 8^th Brazilian Finance Meeting, IBMEC-Rio de Janeiro, August 2008

“Network centrality of directors and the method of payment in mergers and acquisitions”, joint work with João Amaro de Matos.

This paper studies the impact of the network centrality of directors on the choice of payment method in mergers and acquisitions of firms in which they sit at the board. We assume that the centrality of directors reduces information asymmetry problems, facilitating information transmission between the firms involved in each deal. Using a large database on Board of Directors, we construct the directors'social network and analyse the impact of their centrality on the resolution of information uncertainty surrounding the deal. Our results indicate that when directors seating at the acquiror board have more connections, the percentage of cash used as payment increases. On the other hand, when the director of a target firm has more social connections, the percentage of stock used as payment increases.

“Anticipatory effects in the FTSE 100 index revisions”, joint work with Marcelo Fernandes.

This paper examines the price impact of changes in the FTSE 100 index composition. We focus on the latter index because it employs publicly-known objective criteria to determine membership and hence it provides a natural context to investigate anticipatory trading effects. We propose a panel-regression event study that backs out these anticipatory effects by looking at the price impact of the ex-ante probability of changing index membership status. Our findings reveal that anticipative trading explains about 40\% and 23\% of the cumulative abnormal returns of additions and deletions, respectively. We confirm these in-sample results out of sample by tracking the performance of a trading strategy that relies on the addition/deletion probability estimates. The performance is indeed very promising in that it easily first-order stochastic dominates the returns on buying and holding the FTSE 100 index.

“When and by how much financial analysts revise their earnings forecasts?”, joint work with Marcelo Fernandes, Joachim Grammig and Kerstin Kehrle.

In this paper we model the revisions of analysts’ earnings forecasts as a marked-point process, so as to forecast when and by how much will a analyst revise his or her forecast. By taking into account possible strategic behaviour of analysts, such as conformism and reputational concerns, our approach accommodates the effect of social interactions between other analysts in the market.

“Beyond Small Worlds: the Role of Paradigm Uniqueness in the Structure of Scientific Publications”, joint work with João Amaro de Matos

Using social network analysis, we test if the non-uniqueness of a paradigm within a scientific field implies that authors defending the same paradigm group in the same Journal(s). Do the authors have to "belong to the club" in order to publish in the "club" Journal? We propose to model the scientific collaboration networks using the papers as nodes and a novel edge weighting function that takes into account the average number of authors per paper. We show that the networks generated by the papers published in Physics and Finance Journals have different characteristics that may sustain our hypothesis.

IT Skills

Matlab, Eviews, Stata, Excel, Access, Word (advanced user)

VBA, Gauss (intermediate user)

Languages

Portuguese and English

References