XXIII Encontro Brasileiro de Finanças - Anais

Asset pricing, investments, and Derivatives - 37

10 Anos de Risco e Retorno dos Fundos Imobiliários no Brasil

Fernando Siqueira dos Santos

Asset pricing, investments, and Derivatives fundo imobiliário reit investimentos diversificação de portfolio índice de sharpe

Arbitrage pricing through risk measures

Luiz Carlos de Araújo Júnior , Marcelo Brutti Righi

Asset pricing, investments, and Derivatives Conic Finance Risk Measures Option Pricing Distorted probabilities

Asset Pricing and Re-Sale in Networks

Gabriela Stockler

Asset pricing, investments, and Derivatives networks; decentralized markets; interdealer trade; primary market; inventory; network games

Asymmetric Violations of the Spanning Hypothesis

Raul Guarini Riva

Asset pricing, investments, and Derivatives Bonds; Forecasting; Spanning Hypothesis; Principal Components

Avaliação por Opções Reais de Incentivos para Investimento em Infraestrutura à luz da Lei da Relicitação e Metodologias de Indenização

Katia Rocha , Naielly Lopes Marques

Asset pricing, investments, and Derivatives Concessões e PPPs Lei das Relicitações Metodologias de Cálculo de Indenização de Investimentos Opções Reais

Calculating the Risk Premium and Extracting Information from Financial Instruments using the Theory of Expectations and a Prediction Model of the TSIR

Ailton Cassettari , Jose R. N. Chiappin , Rafael M. Antonio

Asset pricing, investments, and Derivatives Risk Premium;Theory of Expectations; Term Structure of Interest Rates

Can uncertainty signals from the policy-maker infer stock market crises in Latin America?

Leonardo Brioschi

Asset pricing, investments, and Derivatives Behavioral Finance Information and Market E?ciency Financial Markets.

Carry trade returns and Portfolio Holdings

Alex Ferreira , Giuliano de Queiroz Ferreira , Miguel León-Ledesma , Rory Mullen

Asset pricing, investments, and Derivatives carry trade portfolio holdings risk aversion heterogeneity asset pricing

Closing call auction: Uma análise das negociações ao redor desse instrumento na B3 no período de 2021 a 2023

Ivan Ricardo Gartner , Marcel dos Santos Cabral

Asset pricing, investments, and Derivatives leilão de fechamento mercado de ações liquidez eficiência de mercado ordens.

Corporate Bonds Distress and FOMC Announcement Returns

Ruy M. Ribeiro , Tommaso Baglioni

Asset pricing, investments, and Derivatives Corporate Bonds Distress; FOMC Announcements; Pre-FOMC Announcement Return; Post-FOMC Announcement Return

Critérios de Decisão de Investidores em Equity Crowdfunding no Brasil - Um Experimento de Análise Conjunta Baseada em Escolhas

Valerio M Dallolio , William Edi Junior

Asset pricing, investments, and Derivatives decisão critérios investimento financiamento pequenas empresas startups equity crowdfunding ECF BAs VCs experimento análise conjunta CBCA

Currency Returns and Fundamental Sources of Risk

Alex Ferreira , GIULIANO DE QUEIROZ FERREIRA , Miguel Leon-Ledesma , Rory Mullen

Asset pricing, investments, and Derivatives carry trade business cycles consumption growth exchange rates currency risk

Demand in the Option Market and the Pricing Kernel

Caio Almeida , Gustavo Freire

Asset pricing, investments, and Derivatives Pricing Kernel Option Returns Option Demand Market Makers Risk Premium

Dissecting retail, institutional, and foreign buy-sell imbalances

Pedro Piccoli

Asset pricing, investments, and Derivatives Market Microstructure Buy-sell imbalances Retail investors Market Efficiency

Does price efficiency improve portfolio allocation? An empirical evidence for cryptocurrencies

Eduardo Amorim Vilela de Salis , Leandro dos Santos Maciel

Asset pricing, investments, and Derivatives Allocation Cryptocurrencies Price efficiency MF-DFA Multifractality

Efficiency-based index tracking optimization model

Eduardo Tondo Pian , Leonardo Riegel Sant Anna

Asset pricing, investments, and Derivatives Index tracking Portfolio optimization Stock efficiency

Estimating implied volatility surfaces using Bayesian splines under shape restrictions

Guilherme Piantino

Asset pricing, investments, and Derivatives Implicit Volatility Non-parametric Estimation Bayesian Methods Market Expectations

Hedge Fund Investment: Optimal Portfolios with Regime-Switching

Alfonso Valdesogo , Andréas Heinen

Asset pricing, investments, and Derivatives Hedge Funds Optimal portfolio Asymmetric dependence Regime-Switching Multivariate copula Canonical vine

How Likely is the Investment of a Venture Capital Firm in a Latin American Country? Machine Learning Models Based on Experience, Distances and Network Features

Felipe Buchbinder , Marcelo Guzella

Asset pricing, investments, and Derivatives venture capital machine learning national distances syndicated investments

Improving realized volatility forecasts using news flow

Marcelo Fernandes , Murilo Andre Peres Pereira

Asset pricing, investments, and Derivatives realized volatility NLP forecasting newspapers adaptive lasso.

Inelastic Markets and Fund Flows

Alan De Genaro , André Silva , Nelson Camanho , Pedro Saffi

Asset pricing, investments, and Derivatives Asset pricing market elasticities institutional investors sources of volatility portfolio choice GIV

Information Leakage from Short Sellers

Bernard Herskovic , Bruno Giovannetti , Fernando Chague

Asset pricing, investments, and Derivatives short selling security lending brokers information leakage

Limits to Myopic Loss Aversion and Learning

Benjamin Miranda Tabak , Camila Schoti , José Guilherme de Lara Resende , Marcleiton Ribeiro Morais

Asset pricing, investments, and Derivatives Myopic Loss Aversion. Prospect Theory. Aggregation of Results

Lottery Stocks in Brazil: Analyzing Return on Betting

Gabriel Sifuentes Rocha

Asset pricing, investments, and Derivatives Lottery-stocks behavioral finance factor-model asset pricing skewed returns nominal price ilusion behavioral biases Brazil stock market

Market Reaction to Debt Renegotiations: Evidence From Brazil

João Paulo Augusto Eça , Tatiana Albanez

Asset pricing, investments, and Derivatives Market Reaction Debt Renegotiation Certifying Effect.

Missing Data in Asset Pricing Panels

Michael Weber

Asset pricing, investments, and Derivatives Cross Section of Returns Missing Data Expected Returns Generalized Method of Moments

Observations and Inferences About the Fixed Cost in Protective Put Strategy

Thiago Wanderley Macedo Neves de Almeida , Vinicio de Souza e Almeida

Asset pricing, investments, and Derivatives Options Based Portfolio Insurance OBPI Implied Volatility Dynamic Floor Fixed Insurance Cost Protective Put Strategy

Precificação internacional de ativos: uma análise empírica (2009-2019)

Hélio de Sousa Ramos Filho2 , LUCAS SOUSA MARTINS

Asset pricing, investments, and Derivatives Precificação internacional de ativos; Processamento de dados; Regressões seccionais

Probability Weighting for Decision Under Ambiguity

Rodrigo De Losso da Silveira Bueno , Thiago Cyfer Goularte

Asset pricing, investments, and Derivatives Decision Theory; Ambiguity; Uncertainty

Shedding Light on the Causes for Reaching for Yield Evidence From an Emerging Country

Rodrigo De Losso da Silveira Bueno , Thiago Cyfer Goularte

Asset pricing, investments, and Derivatives Risk-Attitude; Investment Funds; Reach-for-Yield

Tail risk and asset prices in the short-term

Caio Almeida , Gustavo Freire , Rene Garcia , Rodrigo Hizmeri

Asset pricing, investments, and Derivatives Left tail risk return predictability factor models risk-neutralization high-frequency data

The Determinant Factors of Hedging and Speculation with Foreign Exchange Derivatives of Brazilian Private Firms

Fernando Nascimento de Oliveira

Asset pricing, investments, and Derivatives foreign exchange derivatives hedge speculation private firms determinant factors

The influence of global uncertainty and financial shocks and domestic sovereign risk shock on the term structure of interest rate and its components - the case of Brazil

Joice Marques Figueiredo , Mauro Sayar Ferreira

Asset pricing, investments, and Derivatives Term structure of interest rate inflation risk premium sovereign risk global uncertainty SVAR

The Quest for Alpha in Equity Gamma

Rogerio de Deus Oliveira

Asset pricing, investments, and Derivatives Straddles Delta Hedged Dynamic Gamma Trading Alpha Harvesting Risk Return

Tuning the FMMSABR for RFR caplets

Marcelo Taipe

Asset pricing, investments, and Derivatives RFR SABR IBOR Replacement Interest Rate Cap Floor

Using High-Frequency Data to Price Financial Assets: A Systematic Review Abstract

Eli Hadad Junior , Joao Vitor de Mattos

Asset pricing, investments, and Derivatives volatility; high-frequency data; forecast

Which (Nonlinear) Factor Models?

Caio Almeida , Gustavo Freire

Asset pricing, investments, and Derivatives Model Comparison Factor Models Anomalies Stochastic Discount Factor Nonlinearities

Voltar

Asset pricing, investments, and Derivatives
Corporate Finance, Intermediation, and Banking
Econometrics and Numerical Methods