We investigate how public and private information affects corporate CDS spreads prior to rating announcements. First, CDS spreads of firms with high news intensity change significantly earlier and more strongly prior to ...

Neste trabalho analisaram-se estratégias de spread calendário de contratos futuros de taxa de juros de curto prazo (STIR – Short Term Interest Rate) em operações de intraday trade. O spread calendário consiste na compra e ...

O objetivo desse trabalho é analisar os determinantes do spread de crédito das debêntures de infraestrutura no mercado secundário. Para isso, calculamos o spread de crédito dos negócios de debêntures realizados diariamente ...

We show evidence of a liquidity searching behaviour of informed investors in option listings, which was also found by Collin-Dufresne and Fos (2015) using stock markets. Nevertheless, and differently from Collin-Dufresne ...

Este trabalho possui o objetivo de verificar se o expoente de Hurst é uma medida eficaz para selecionar pares de ativos do mercado acionário brasileiro que apresentem resultados financeiros líquidos positivos quando ...

We find that illiquidity remains a major factor in explaining corporate spreads. Illiquidity is second only to the credit risk itself. This effect is surprising given that the corporate debt trading activity has more than ...

We identify trade in goods opportunities in a EU-Mercosul free trade area. Gains for Mercosul are rather concentrated, being mostly associated with a few agricultural commodities which face high protection barriers. EU ...