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An SDF Approach to Hedge Funds' Tail Risk:Evidence from Brazilian Funds
(Sociedade Brasileira de Econometria, 2017)
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 ...
An SDF approach to hedge funds' tail risk: evidence from Brazilian funds
(Sociedade Brasileira de Econometria, 2017-05-25)
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 \citet*{ag15} and \citet*{aagvg15}, which rely in solving dual ...
Default risk in agricultural lending, the effects of commodity price volatility and climate
Purpose – Commodity price volatility and small variations in climate conditions may have an important impact on the creditworthiness of any agricultural project. The evolution of such risk factors is vital for the credit ...
The capital asset pricing theory and its misconceptions
(2016)
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
(2013-12-06)
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 ...