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Bond risk premia and the return forecasting factor
(De Gruyter, 2020-02)
The return forecasting factor is a linear combination of forward rates that seems to predict 1-year excess bond returns of bond of all maturities better than traditional measures obtained from the yield curve. If this ...
Do interest rate options contain information about excess returns?
(Elsevier Science Sa, 2011-09-01)
There is strong empirical evidence that long-term interest rates contain a time-varying risk premium. Options may contain valuable information about this risk premium because their prices are sensitive to the underlying ...
Excess Returns and Systemic Risk for Chile and Mexico
(ILADES; Georgetown University; Universidad Alberto Hurtado. Facultad de Economía y Negocios, 2014)
The effects of economic policy uncertainty on stock market returns: Evidence from Brazil
(Lociedade Brasileira de Finanças, 2021)
Automatic model selection for forecasting Brazilian stock returns
(2015-03-27)
This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop ...
Automatic model selection for forecasting Brazilian stock returns
(2015-08-07)
This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop ...
On uncovered interest parity puzzles: excess return, asymmetry and crash risk
(Universidade Federal de Minas GeraisUFMG, 2017-01-19)
This dissertation evaluates implications of the uncovered interest parity (UIP) equation for the pound/dollar nominal exchange rate variation and for the return of the carry trade investment strategy. Conditioned on interest ...
A survey on the Brazilian Assets, its performance and the investing behavioral biases of its Investment Fund Managers
(Centro de Estudos em Finanças (GVcef), 2015)
Behavioral Investing Biases are cognitive and emotional aspects that may intervene in investment decisions. In order to search for evidences of behavioral biases in the Investment Fund Managers (IFM) in Brazil, a survey ...
Do options contain information about excess bond returns ?
(Escola de Pós-Graduação em Economia da FGV, 2006-02-23)
There is strong empirical evidence that risk premia in long-term interest rates are time-varying. These risk premia critically depend on interest rate volatility, yet existing research has not examined the im- pact of ...
A estrutura a termo da taxa de juros e a oferta de títulos públicos
(2011-05-19)
O presente trabalho tem o objetivo analisar como a oferta de dívida pública é capaz de afetar os yields e o excesso de retorno de títulos públicos. Para tanto, o estudo é baseado em um modelo construído em torno de três ...