Associate Professor of Finance at CUNEF Universidad
I'm also the Director of the Master in Finance at CUNEF Universidad. On the practitioner side, I'm an enthusiastic systematic investor at Noax Capital, occasionally advising institutional investors and family offices.
My research focuses on empirical asset pricing, with an emerging interest in machine learning applications. I also study how financial markets create feedback effects on the real economy.
My work has been published in leading finance journals including the Journal of Financial Economics, Journal of Corporate Finance, Journal of Empirical Finance, and The Energy Journal.
Research
Selected Papers
R&D Disclosure and Short-term Investors: Evidence from Mandated Patent Disclosure
Iván Blanco, Sergio García, David Wehrheim
The Accounting Review (R&R)
We examine how the prospect of research and development (R&D) disclosure affects a firm's institutional investor base. Difference-in-differences (DiD) regressions around the enactment of the American Inventors Protection Act (AIPA), which mandated the public disclosure of patent applications within 18 months of filing, show that short-term institutional investors increase their holdings before any public information is released, whereas long-term investors do not adjust their positions. This anticipatory shift is consistent with theoretical predictions that expected disclosure strengthens short-horizon investors' incentives to acquire and trade on private information. We further document that stock prices reflect more firm-specific information leading up to disclosure and that improved liquidity at disclosure enables short-term investors to partially unwind their positions. Our paper offers novel evidence on how increases in the expected likelihood of disclosure shape investor behavior and the composition of firms' investor bases.
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The Bright Side of Financial Derivatives: Options Trading and Firm Innovation
Iván Blanco, David Wehrheim
Journal of Financial Economics (2017)
Do financial derivatives enhance or impede innovation? We aim to answer this question by examining the relationship between equity options markets and standard measures of firm innovation. Our baseline results show that firms with more options trading activity generate more patents and patent citations per dollar of R&D invested. We then investigate how more active options markets affect firms' innovation strategy. Our results suggest that firms with greater trading activity pursue a more creative, diverse and risky innovation strategy. We discuss potential underlying mechanisms and show that options appear to mitigate managerial career concerns that would induce managers to take actions that boost short-term performance measures. Finally, using several econometric specifications that try to account for the potential endogeneity of options trading, we argue that the positive effect of options trading on firm innovation is causal.
Read Paper →All Publications
Published Papers
Iván Blanco, Jose M. Martín-Flores, Alvaro Remesal
Journal of Corporate Finance (2024)
Iván Blanco, Miguel De Jesús, Alvaro Remesal
Journal of Empirical Finance (2023)
Alejandro Baldominos, Iván Blanco, Antonio José Moreno, Rubén Iturrarte, Óscar Bernárdez, Carlos Afonso
Applied Sciences (2018)
Iván Blanco, David Wehrheim
Journal of Financial Economics (2017)
Iván Blanco, Alejandro Balbás, José Garrido
Risks (2014)
Working Papers
Iván Blanco, Sergio García, David Wehrheim
The Accounting Review (R&R)
Iván Blanco, Fabrizio Ferraro, Giovanni Valentini, David Wehrheim
Working Paper
Work in Progress
Iván Blanco, Alvaro Remesal
Work in Progress
Iván Blanco, Sergio García, Alvaro Remesal
Work in Progress
Media & Commentary
Articles & Commentary
Inteligencia artificial en los mercados financieros: evidencia empírica en el S&P 500
¿Cómo afectan los desastres naturales a las decisiones de los inversores institucionales?
Aprendizaje profundo para series temporales en finanzas:aplicación al factor momentum
Research Coverage
Should you invest in overlapping momentum investing strategies?
Overlapping momentum strategies - Gains from diversification of timeframe models
Teaching
Courses
Asset Pricing
Advanced course covering modern asset pricing theory, factor models, and empirical applications in portfolio management.
Machine Learning & Investments
Application of machine learning techniques to investment strategies, including deep learning for momentum and systematic trading.
Financial Derivatives
Comprehensive study of derivative instruments, pricing models, and risk management applications in modern finance.
Executive Training
Quantitative Investments
Systematic approaches to portfolio construction and quantitative trading strategies.
Factor Investing
Deep dive into factor-based investing, from theory to practical implementation.
Machine Learning in Asset Pricing
Advanced techniques in applying ML to asset pricing and return forecasting.
Systematic & Algorithmic Trading
Design and implementation of systematic trading strategies and execution algorithms.
Contact
Address
CUNEF Universidad
C. de Almansa, 101
28040 Madrid, Spain