Now showing items 1-10 of 1058
Assessment Of Price Risks In The Sugar-alcohol SectorAvaliação Dos Riscos De Preços No Setor Sucroenergético
(University Center of Maringa, 2016)
A Note on Price Asymmetry Using a Monetary Model
(Scientific Research Publishing, 2014-10)
In this paper we present a macroeconomic foundation of downward money price inflexibility based on classical Monetary Economics. We show that under the principle of risk aversion and the neutral money axiom, our model ...
The capital asset pricing theory and its misconceptions
The CAPM is the fundamental model for pricing financial securities. Nevertheless, the way it is proved in Finance textbooks can be fairly confusing, and more complicated than necessary; with an excessive use of figures at ...
Conditional alphas and realized betas
This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas ...
Financial market structures revealed by pricing rules: Efficient complete markets are prevalent
(Academic Press Inc., 2018)
It is well known that when an arbitrage-free financial market is incomplete or has tradable financial assets with frictions there must be multiple risk-neutral probability measures. The main motivation for the present study ...
Pricing the option adjust spread of Brazilian Eurobonds
(Escola de Pós-Graduação em Economia da FGV, 1997-03-20)
This paper presents results of a pricing system to compute the option adjusted spread ('DAS') of Eurobonds issued by Brazilian firms. The system computes the 'DAS' over US treasury rates taktng imo account the embedded ...
The role of consumer's risk aversion on price rigidity
(Escola de Pós-Graduação em Economia da FGV, 2006-02-16)
This paper aims at contributing to the research agenda on the sources of price stickiness, showing that the adoption of nominal price rigidity may be an optimal firms' reaction to the consumers' behavior, even if firms ...
Commodity price perdictability: commodity currencies or global risk factor
(Universidad Torcuato Di Tella, 2015)
In this paper, I argue that global factors also have a role in forecasting commodity prices. That is, both global factors and the exchange rates of small commodity exporters have predictive power over global commodity ...
Retail consumers and risk in centralized energy auctions for indexed long-term contracts in Chile
Centralized energy auctions for long-term contracts are commonly-used mechanisms to ensure supply adequacy, to promote competition, and to protect retail customers from price spikes in Latin America. In Chile, the law ...