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Automatic model selection for forecasting Brazilian stock returns
(2015-08-07)
This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop ...
Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries
(Fundação Getulio Vargas. Escola de Pós-graduação em Economia, 2015-07)
Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay {a modi ed consumption-wealth ratio { once we consider a set of important ...
Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
(SSRN, 2005)
We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility ...
Do insiders get abnormal returns? Event studies on the trades of insiders of the firms with differentiated corporate governance of the São Paulo stock exchange
(SSRN, 2006-11)
The subject insider trading is controversial. This paper presents series of event studies carried through on the trades with stocks of the firm carried by insiders with the objective to detect abnormal returns, based on ...
Cost of equity estimation for the Brazilian market: a test of the Goldman Sachs model
(2017)
As an approach to determining the degree of integration of the Brazilian economy, this paper seeks to test the explanatory power of the Goldman Sachs Model for the expected returns by a foreign investor in the Brazilian ...
The influence of the tag-along rights in the value of companies: an event study of the effects on the market and service companies
(SSRN, 2009-07)
The aim of this work is to check the effect of granting tag-along rights to stockholders by analyzing the behavior of the return of the stock. To do so we carried out event studies for a group of 21 company stocks, divided ...
Tests of conditional asset pricing models in the brazilian stock market
(Escola de Pós-Graduação em Economia da FGV, 1999-07)
In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT modeI by using the difference ...
Predictable dividends and returns
(Escola de Pós-Graduação em Economia da FGV, 2002-11-28)
The conventional wisdom is that the aggregate stock price is predictable by the lagged pricedividend ratio, and that aggregate dividends follow approximately a random-walk. Contrary to this belief, this paper finds that ...
Modelling and forecasting the volatility of brazilian asset returns: a realized variance approach
(Escola de Pós-Graduação em Economia da FGV, 2004-06-03)
The goal of this paper is twofold. First, using five of the most actively traded stocks in the Brazilian financial market, this paper shows that the normality assumption commonly used in the risk management area to describe ...
Previsão de retornos intradiários através de regressões usando funções-núcleo
(2009-06-10)
The contributions of this paper are twofold. First we discuss and apply a method for the evaluation of non linear regressions in forecasting intraday returns of Brazilian stocks, in order to maximize the return of a simulated ...