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Nonparametric tail risk, macroeconomics and stock returns: predictability and risk premia
(2015-02-12)
This paper proposes a new novel to calculate tail risks incorporating risk-neutral information without dependence on options data. Proceeding via a non parametric approach we derive a stochastic discount factor that correctly ...
An SDF approach to hedge funds’ tail risk: evidence from Brazilian funds
(2016-03-21)
The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente ...
Risk prices and model selection: bad news about sparse estimators and an uniformly valid inference theory
(2019-03-28)
Lots of risk factors have been published in Finance papers in the last 20 years. Under a large menu, it’s hard to manually construct factor models with data-driven discipline and, more importantly, it’s difficult to assess ...
The effects of price on product’s perceived risk and overall benefits in B2B contexts
(2017-03-06)
B2B price scholarship most frequently assumes that organizational purchase is a rational, free-bias activity, in line with theory of choice. Heuristics, such as price-quality effect, are rarely applied in theories, frames ...
Sovereign default risk and commodity prices
(2017-05-12)
Country risk is known to be an important driver of emerging economies business cycles. Existing studies of macroeconomics effects of commodities prices on emerging economies' country risk assume an exogenous negative ...
Toward agriculture 4.0: opportunities and threats of the agribusiness sector: an analysis of the risk management strategies developed by Brazilian SMEs to cope with commodity price risk
(2019-12-13)
This paper aims at demonstrating the importance of the adoption of risk management strategies by companies operating in the agribusiness sector. The future evolution of the sector requires the change of operations and the ...
A systematic component of the jump-risk premium in an AJD model
(2015-04-07)
We develop an affine jump diffusion (AJD) model with the jump-risk premium being determined by both idiosyncratic and systematic sources of risk. While we maintain the classical affine setting of the model, we add a finite ...
Cointegração e price discovery do risco soberano brasileiro
(2007-04-20)
The law of one price states that all identical assets, traded in different markets, must have only one price. In this dissertation, we aim to examine whether the Brazilian sovereign credit risk, traded in the international ...
A influência do risco de liquidez no apreçamento de debêntures
(2007-02-07)
A principal contribuição deste estudo consiste em incluir o risco de liquidez entre os fatores que influenciam o apreçamento dos títulos de renda fixa corporativos brasileiros. Ao longo do trabalho mostramos que, muito ...
Introducing additional factors for the Brazilian market in the fama-french five-factor asset pricing model
(2016-08-23)
This dissertation is aimed at evaluating the risk-return relationship of stocks by incrementing the Fama and French five-factor model (F. FAMA and R. FRENCH, 2015) with two new variables. This was done by creating a ...