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Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets
(2013-01-31)
This work applies the intertemporal asset pricing model developed by Campbell (1993) and Campbell and Vuolteenaho (2004) to the Brazilian 2x3 Fama-French stock portfolios from January 2003 to April 2012 and to the US 5x5 ...
Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
(2017-11-08)
We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining ...
Sorte versus habilidade, uma abordagem através de cross section da indústria de fundos de ações no Brasil
(2012-05-28)
Initially, we test the hypothesis that actively managed funds presents alphas (excess return) when compared to the Brazilian equity indexes used by passive funds. Then bootstrap simulations check if theses alphas can be ...
¿Es persistente la volatilidad de los rendimientos en exceso de la Bolsa Mexicana de Valores?HAS THE VOLATILITY OF EXCESS YIELDS ON THE MEXICAN STOCK EXCHANGE CONTINUED TO PERSIST?
(Instituto de Investigaciones Económicas, 2011)
Investimento em ações no Brasil: curto prazo versus longo prazo
(2005-11-24)
The research aimed to test whether long-run investment in Brazilian stocks provides larger returns and smaller risks, as suggested by some recommendations of the financial press. January 1969 to December 1968 monthly excess ...
Massive housing in central neighborhoods: Who is responsible for the excessive densification?
(Pontificia Universidad Católica de Chile, 2018)
Although the phenomenon was evident at least several years ago in various communes of Santiago, it was not until 2017 that housing hyper-densification by real estate companies exploded: a tweet by Claudio Orrego, then the ...
A relação entre as avaliações de mercado e a qualidade de aquisições: evidências do mercado brasileiro
(2019-12-13)
Avaliando o desempenho em curto e em longo prazo de empresas compradoras brasileiras, pelas análises univariadas e multivariadas, este trabalho examina se as fusões e aquisições ocorridas durante mercados de alta avaliação ...
Excesso de retorno com renda fixa prefixada no Brasil
(2018)
Este trabalho analisa o resultado da adoção de uma estratégia passiva de renda fixa no Brasil, avaliando se investidores que ficaram prefixados, em diversos prazos, entre os anos de 2004 e 2018 de maneira passiva tiveram ...
Asset Price Effects of Peer Benchmarking: Evidence from a Natural ExperimentEfectos del precio de los activos de la evaluación comparativa entre pares: evidencia de un experimento natural
(FRB of New York Staff Report, 05/05/2020)
We estimate the effects of peer benchmarking by institutional investors on asset prices. To identify trades purely due to peer benchmarking as separate from those based on fundamentals or private information, we exploit a ...
Some stylized facts of returns in the foreign exchange and stock markets in PeruAlgunos hechos estilizados sobre los retornos en los mercados de cambios y valores en el Peru.
(Pontificia Universidad Católica del Perú. Departamento de EconomíaPE, 2015)