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Do equity and foreign currency risk premiums display common patterns?
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2006-11-24)
In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In ...
The equity premium puzzle: um estudo de viés de seleção dos ativos
(2016-03-15)
As empresas de capital aberto, listadas em bolsa de valores, são naturalmente aquelas que vieram apresentando retornos superiores perante às demais empresas do seu setor. Assim, será que o viés de seleção desses ativos in ...
Can a habit formation model really explain the Forward Premium Anomaly?
(2009-08-07)
Verdelhan (2009) shows that if one is to explain the foreign ex- change forward premium behavior using Campbell and Cochrane (1999) s habit formation model one must specify it in such a way to generate pro-cyclical short ...
Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
(Sociedade Brasileira de Econometria, 2016-03-10)
This paper investigates the effects on the estimation of parameters related to the elasticity of intertemporal substitution and risk aversion, of the selection of different portfolios to represent the optimal aggregate ...
Equity-premium puzzle: evidence from Brazilian data
(Escola de Pós-Graduação em Economia da FGV, 2005-04-01)
This paper uses 1992:1-2004:2 quarterly data and two di§erent methods (approximation under lognormality and calibration) to evaluate the existence of an equity-premium puzzle in Brazil. In contrast with some previous works ...
Three essays on macro-finance: robustness and portfolio theory
(2017-07-28)
This doctoral thesis is composed of three chapters related to portfolio theory and model uncertainty. The first paper investigates how ambiguity averse agents explain the equity premium puzzle for a large group of countries ...
Risk Aversion or Model Uncertainty? An Empirical Cross-Sectional Analysis Across Countries
(Sociedade Brasileira de Econometria, 2019)
Essays on the relationship between the equity and the forward premium puzzles
(2006)
Our research agenda consists in showing this strong relation between these puzzles based on evidences that both empirical failures are related to the incapacity of the canonical CCAPM to provide a high volatile intertemporal ...
Existe puzzle de prêmio de risco acionário (EPP) no mercado brasileiro?: uma análise do período entre 1995 e 2013
(2014-05-30)
Segundo Sampaio (2002), os modelos intertemporais de equilíbrio começaram a ter a sua eficácia na determinação do retorno dos ativos questionada após a publicação do artigo de Mehra e Prescott em 1985. Tendo como objeto ...