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Idiosyncratic moments and the cross-section of stock returns in Brazil
(Sociedade Brasileira de Econometria, 2016-11-01)
This online appendix reports additional robustness checks for our main results. Wepresent a set of tables with summary statistics for portfolios sorted on higher idiosyncraticmoments (expected skewness, realized skewness, ...
Dois ensaios em finanças
(2016-03-22)
We use Brazilian data to compute monthly idiosyncratic moments (expected skewness, realized skewness, and realized volatility) for equity returns and assess whether they are informative for the cross-section of future stock ...
Idiosyncratic Moments and the Cross-Section of Stock Returns in Brazil
(Sociedade Brasileira de Econometria, 2016)
Apreçamento da assimetria idiossincrática no mercado brasileiro de ações
(2010-07-28)
Recent papers in finance presented models in which the idiosyncratic skewness is a priced component of security returns. More specifically, stocks with high expected idiosyncratic skewness should have low expected returns. ...
Idiosyncratic volatility: an analysis of aggregate and Individual effects
(Universidade Federal de Minas GeraisBrasilPrograma de Pós-Graduação em AdministraçãoUFMG, 2017-05-03)
Este trabalho tem como foco o estudo do risco idiossincrático nos níveis agregado e da firma e seu efeito sobre os retornos. Para essa análise, usamos uma medida independente de modelos, nomeadamente a variância cross-sectional ...
Measuring core inflation as the common trend of prices
(Escola de Pós-Graduação em Economia da FGV, 2000-10-26)
In recent years, many central banks have adopted inflation targeting policies starting an intense debate about which measure of inflation to adopt. The literature on core inflation has tried to develop indicators of inflation ...