XXI Encontro Brasileiro de Finanças

XXI Encontro Brasileiro de Finanças

XXI Brazilian Finance Meeting

Register now
From 14th to 16th July Every day from 00h00 to 00h00
Event online O link do evento ainda não foi informado

About the Event

O XXI Encontro Brasileiro de Finanças é um evento organizado pela SBFin (Sociedade Brasileira de Finanças), que tem como objetivo principal promover a pesquisa em Finanças no Brasil. Além disso, o SBFin visa aprimorar a qualificação técnica dos profissionais que atuam no mercado financeiro.

O Encontro Brasileiro de Finanças acontecerá nos dias 14, 15 e 16 de julho de 2021.

FORMATO: As sessões do painel incluirão palestras e discussões nas quais participantes da academia, agências regulatórias e instituições financeiras compartilham suas pesquisas e percepções. As sessões especiais serão gratuitas e disponíveis live no YouTube. Participantes interessados em fazer perguntas deverão se inscrever e participar via Zoom. As sessões ordinárias incluirão a apresentação de trabalhos acadêmicos.

Para acessar os trabalhos aceitos para apresentação no XXI Encontro Brasileiro de Finanças, clique aqui.

Speakers

  • Aaron Yoon
  • Alberto Rossi
  • Carol Alexander
  • Darrell Duffie
  • Elena Landau
  • João Manoel Pinho de Mello
  • Laura Starks
  • Lauren H. Cohen
  • Lubos Pastor
  • Markus Pelger
  • Pedro Cavalcanti
  • Pedro Matos
  • Pérsio Arida
  • Renée Adams
  • Svetlana Bryzgalova
  • Vinicius Nascimento Carrasco

Schedule

12h30 - Alberto Rossi, Markus Pelger, Svetlana Bryzgalova Machine Learning in Finance Panel
Place: Zoom (via email) and Youtube (https://youtu.be/UEGXCsNHJ44)

A Panel discussion on Machine Learning.

Markus Pelger (Stanford) - Deep Learning Statistical Arbitrage

Alberto Rossi (Georgetown) - Who Benefits from Robo-advising? Evidence from Machine Learning

Svetlana Bryzgalova (LBS) - Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models

Participants via Zoom will be able to ask questions. Also live on Youtube.

17h30 - Lauren H. Cohen, Lubos Pastor, Pedro Matos ESG I Panel
Place: Zoom and Youtube (https://youtu.be/-kDWveWb0no)

A Panel discussion on ESG led by Pedro Matos.

Lauren Cohen will present the paper "The ESG-Innovation Disconnect: Evidence from Green Patenting"

Lubos Pastor will present the paper "Dissecting Green Returns"

Participants via Zoom will be able to ask questions. Zoom link will be sent by email to registered participants. Also live on Youtube.

09h00 Ordinary Session I Presentation of Articles
Place: Zoom link will be sent by email to registered participants one day before the presentation.

Thursday, 15th July - 9:00am to 11:00am Brasilia Time (8:00am ET)

Derivatives I (Portuguese session)

Coordinator: Giuliano Ferreira

Time

Title

Presenter

Discussant

9:00am to 9:30am

Minkowski deviation measures

Marlon Ruoso Moresco

Giuliano Ferreira

9:30 am to 10:00am

Currency Returns and Systematic Risk

Giuliano Ferreira

Samuel Solgon Santos

10:00am to 10:30am

A tale of two comonotonic assets: can they provide diversification benefits?

Samuel Solgon Santos

Alexandre Bassi

10:30am to 11:00am

Nonparametric Extreme Value Mixture Models: Applications to Insurance Losses

Alexandre Bassi

Marlon Ruoso Moresco

Econometrics I (Portuguese session)

Coordinator: Fernanda Valente

Time

Title

Presenter

Discussant

9:00am to 9:30am

Efeito disposição e momentum via regressão quantílica

Rodrigo Abbade da Silva

Igor Ferreira do Nascimento

9:30 am to 10:00am

Impacto da dependência de morte em contratos last survivor

Igor Ferreira do Nascimento

Fernanda Valente

10:00am to 10:30am

Long Memory and Term Structure of Interest Rates

Fernanda Valente

Werley da Costa Cordeiro

10:30am to 11:00am

Fitting and forecasting the yield curve: the benefits of time-varying parameters, time-varying volatility, and arbitrage restrictions

Werley da Costa Cordeiro

Rodrigo Abbade da Silva

Econometrics II (English session)

Coordinator: Leonardo Nogueira

Time

Title

Presenter

Discussant

9:00am to 9:30am

Semiparametric Portfolio Policies

Hudson S. Torrent

Leonardo Nogueira Ferreira

9:30 am to 10:00am

Forecasting with VAR-teXt and DFM-teXt models: exploiting changes in central bank communication

Leonardo Nogueira Ferreira

Cássio Roberto de Andrade Alves

10:00am to 10:30am

Can sentiment of the Brazilian Central Bank help to predict yield curve?

Cássio Roberto de Andrade Alves

Gerson de Souza Raimundo Júnior

10:30am to 11:00am

COVID-19 and Herding in Global Equity Markets

Gerson de Souza Raimundo Júnior

Hudson S. Torrent

Corporate Finance I (English session)

Coordinator: Mirian Wawrzyniak

Time

Title

Presenter

Discussant

9:00am to 9:30am

Governing Innovation: The Role of Board of Directions’ Human and Social Capital

Mirian Wawrzyniak Chimirri

Lars Norden

9:30 am to 10:00am

“Less is More”: Credit Default Swaps and Firm Cyclicality

Lars Norden

Aviner Augusto Silva Manoel

10:00am to 10:30am

The impact of the degree of internationalization on cash levels: evidence from Latin America

Aviner Augusto Silva Manoel

Romain Cailleau

10:30am to 11:00am

Corporate Governance and Bond Yields: Evidence from Brazil

Romain Cailleau

Mirian Wawrzyniak Chimirri

11h30 - Aaron Yoon, Laura Starks, Pedro Matos ESG II Panel
Place: Zoom and Youtube (https://youtu.be/Rt7KBuvwPZw)

A Panel discussion on ESG.

Participants via Zoom will be able to ask questions. Zoom link will be sent by email to registered participants. Also live on Youtube.

14h00 - Alberto Rossi, Carol Alexander Cryptocurrencies Panel
Place: Zoom and Youtube (https://youtu.be/AgkoNjmmr7o)

A Panel discussion on Cryptocurrencies.

Participants via Zoom will be able to ask questions. Zoom link will be sent by email to registered participants. Also live on Youtube.

16h00 Ordinary Session II Presentation of Articles
Place: Zoom link will be sent by email to registered participants one day before the presentation.

Thursday, 15th July - 4:00pm to 5:30pm Brasilia Time (3:00pm ET)

Derivatives II (English session)

Coordinator: Alex Luiz Ferreira

Time

Title

Presenter

Discussant

4:00pm to 4:30pm

Can a Machine Correct Option Pricing Models?

Francesca Tang

Alex Luiz Ferreira

4:30pm to 5:00pm

Option Prices and Risk-Corrected Probabilities of a Binary Event

Alex Luiz Ferreira

Fernando Alves Silveira

5:00pm to 5:30pm

Brazilian Electricity Market and Weather Derivatives:Hedging Temperature Using Blockchain

Fernando Alves Silveira

Francesca Tang

Investments I (Portuguese session)

Coordinator: Sabrina Espinele da Silva

Time

Title

Presenter

Discussant

4:00pm to 4:30pm

Determinantes da Velocidade de Chamada e Devolução de Capital em Fundos de Private Equity Brasileiros

João Vitor Aparecido dos Santos

Sabrina Espinele da Silva

4:30pm to 5:00pm

Investor sentiment and equity mutual fund performance

Sabrina Espinele da Silva

Marcelo Guzella

5:00pm to 5:30pm

Atenção do Investidor Brasileiro em Tempos Bons e Ruins do Mercado de Ações: Efeito Avestruz ou Suricato?

Marcelo Guzella

João Vitor Aparecido dos Santos

Corporate Finance II (English session)

Coordinator: Weichao Wang

Time

Title

Presenter

Discussant

4:00pm to 4:30pm

The effects of financial constraints on the market value of cash in a mandatory dividend context

Aviner Augusto Silva Manoel

Lucas Serrão Macoris

4:30pm to 5:00pm

Acquisitions under financing frictions: evidence from credit supply shortfalls

Lucas Serrão Macoris

Weichao Wang

5:00pm to 5:30pm

COVID-19, Policy Interventions and Credit: The Brazilian Experience

Weichao Wang

Aviner Augusto Silva Manoel

Corporate Finance III (Portuguese session)

Coordinator: Tyago Oliveira

Time

Title

Presenter

Discussant

4:00pm to 4:30pm

Efeitos da eficiência jurídica no custo do crédito das micro e pequenas empresas no Brasil: Uma análise a partir do poder de mercado dos bancos

Tyago Oliveira do Carmo

Adhmir Renan Voltolini Gomes

4:30pm to 5:00pm

ASSOCIAÇÃO ENTRE O DISCURSO RELEVANTE E O PREÇO DOS ATIVOS: Com processamento de linguagem natural

Adhmir Renan Voltolini Gomes

Tiago César Farinelli

5:00pm to 5:30pm

Gestão do capital de giro e rentabilidade: estudo sobre o ponto ótimo de investimento nas empresas brasileiras

Tiago César Farinelli

Tyago Oliveira do Carmo

18h00 - Darrell Duffie, João Manoel Pinho de Mello Central Bank Digital Currencies Panel
Place: Zoom and Youtube (https://youtu.be/R5JTcy1ccWA)

A Panel discussion on Central Bank Digital Currencies.

Participants via Zoom will be able to ask questions. Zoom link will be sent by email to registered participants. Also live on Youtube.

08h00 Ordinary Session III Presentation of Articles
Place: Zoom link will be sent by email to registered participants one day before the presentation.

Friday, 16th July - 8:00am to 10:00am Brasilia Time (7:00am ET)

Econometrics III (Portuguese session)

Coordinator: Rafaela Dezidério dos Santos Rocha

Time

Title

Presenter

Discussant

8:00am to 8:30am

Arbitragem nos Mercados de Criptomoedas da América Latina

Fernando Barros Jr

Rafaela Dezidério dos Santos Rocha

8:30 am to 9:00am

Estudo da Suficiência dos Fatores no Apreçamento de Ativos

Rafaela Dezidério dos Santos Rocha

Paulo Icaro Barros Rodrigues da Costa

9:00am to 9:30am

Brazilian Banking Cycle Synchronization During COVID-19 Crisis

Paulo Icaro Barros Rodrigues da Costa

Willian Antônio de Castro

9:30am to 10:00am

Uma análise do impacto da adoção das IFRS na volatilidade do mercado brasileiro

Willian Antônio de Castro

Fernando Barros Jr

Corporate Finance IV (English session)

Coordinator: Lars Norden

Time

Title

Presenter

Discussant

8:00am to 8:30am

Is a Friend in Need a Friend Indeed? How Relationship Borrowers Fare during the COVID-19 Crisis

Lars Norden

Dimas Mateus Fazio

8:30 am to 9:00am

Housing Collateral Reform and Economic Reallocation

Dimas Mateus Fazio

Henrique Castro Martins

9:00am to 9:30am

Competition and ESG practices in emerging markets: evidence from a differences-in-differences model

Henrique Castro Martins

Aviner Augusto Silva Manoel

9:30am to 10:00am

The Effects of the Degree of Internationalization on the Market Value of Cash: Evidence from Latin America

Aviner Augusto Silva Manoel

Lars Norden

Corporate Finance V (Portuguese session)

Coordinator: Igor Bernardi Sonza

Time

Title

Presenter

Discussant

8:00am to 8:30am

DOES CORPORATE CLIMATE PERFORMANCE AFFECT CORPORATE FINANCIAL PERFORMANCE? A CROSS-REGION ANALYSIS ON RETURN, VALUE, AND LIQUIDITY

Rebeca Peres de Lima

Rafael Ukazono

8:30 am to 9:00am

Decodificando o Puzzle da relação ESG-Performance Financeira: Uma Revisão Sistemática de Literatura

Rafael Ukazono & Ana Julia Padula

Henrique Suathê Esteves

9:00am to 9:30am

Investimentos operacionais em P&D como estratégia para desempenho diferenciado

Henrique Suathê Esteves

Igor Bernardi Sonza

9:30am to 10:00am

Can remote voting mitigate agency problems?

Igor Bernardi Sonza

Rebeca Peres de Lima

Corporate Finance VI (Portuguese session)

Coordinator: Claudine Pereira Salgado

Time

Title

Presenter

Discussant

8:00am to 8:30am

Do Board Interlock and Gender Diversity affect CEO compensation? Evidence from Brazilian listed companies

Claudine Pereira Salgado

Letícia Moraes Silveira

8:30 am to 9:00am

MÁ CONDUTA GERENCIAL: A RESPOSTA DO MERCADO DIANTE DE ESCÂNDALOS CORPORATIVOS

Letícia Moraes Silveira

Lucas Nogueira Cabral de Vasconcelos

9:00am to 9:30am

State-owned enterprises’ stock returns and risk exposures in Brazil

Lucas Nogueira Cabral de Vasconcelos

Lucas Allan Diniz Schwarz

9:30am to 10:00am

Stock Price Crash Risk and the adoption of Poison Pills: Evidence from Brazil

Lucas Allan Diniz Schwarz

Claudine Pereira Salgado

10h00 - Elena Landau, Pedro Cavalcanti, Pérsio Arida, Vinicius Nascimento Carrasco Perspectivas de Longo-Prazo para a Economia Brasileira Panel
Place: Zoom and Youtube (https://youtu.be/veEMpKSIH0Y)

A Panel Discussion on Long-term Perspectives for the Brazilian Economy led by Elena Landau.

12h30 - Renée Adams Women in Finance Panel
Place: Zoom and Youtube (https://youtu.be/4mSvyW48PGE)

A presentation by Renée Adams (Oxford).

Robert Frost’s famous poem “The Road Not Taken” asks us to consider the consequences of choosing among divergent paths. In this lecture, I discuss some implications of taking “the road less travelled” for women. Using data on human values ranging from academics to corporate directors, I show that women who choose careers in which they are underrepresented are significantly different from women who choose other careers. As a result, differences between men and women depend on the path they have chosen. I invite the audience to reflect on the implications of choices for our understanding of stereotypes and diversity.

Participants via Zoom will be able to ask questions. Zoom link will be sent by email to registered participants. Also live on Youtube.

15h00 Ordinary Session IV Presentation of Articles
Place: Zoom link will be sent by email to registered participants one day before the presentation.

Friday, 16th July - 3:00pm to 5:30pm Brasilia Time (2:00pm ET)

Econometrics IV

Coordinator: Caio Almeida

Time

Title

Presenter

Discussant

3:00pm to 3:30pm

Constrained Polynomial Likelihood

Caio Almeida

Leandro Maciel

3:30pm to 4:00pm

Assessing nonlinearities in the price discovery process of Brazilian cross-listed stocks on NYSE and B3

Leandro Maciel

Fernando Henrique de Paula e Silva Mendes

4:00pm to 4:30pm

Duration Dependent Volatility Models with Value-weighted Approach

Fernando Henrique de Paula e Silva Mendes

Mateus Hiro Nagata

4:30pm to 5:00pm

THE TAIL AND THE CENTER - Truncated Lévy Flights and Hill estimator on Bitcoin

Mateus Hiro Nagata

Bruno Levy

5:00pm to 5:30pm

Dynamic Ordering Learning in Multivariate Forecasting

Bruno Levy

Caio Almeida

Investments II (English session)

Coordinator: Andre Alves Portela Santos

Time

Title

Presenter

Discussant

3:00pm to 3:30pm

Can Machine Learning Help to Select Portfolios of Mutual Funds?

Andre Alves Portela Santos

Jéfferson Augusto Colombo

3:30pm to 4:00pm

The diversification benefits of cryptocurrencies in multi-asset portfolios: cross-country evidence

Jéfferson Augusto Colombo

Andre Lot

4:00pm to 4:30pm

Daily, unambiguous, heterogeneous mutual fund flows and their performance sensitivity

Andre Lot

Pedro Piccoli

4:30pm to 5:00pm

Finding the risk-return trade-off with Google

Pedro Piccoli

Henrique Lamounier Costa

5:00pm to 5:30pm

False Discoveries and Luck in the Brazilian Equity Fund Market

Henrique Lamounier Costa

Andre Alves Portela Santos

Investments III (English session)

Coordinator: Fernando Tassinari

Time

Title

Presenter

Discussant

3:00pm to 3:30pm

Who is saving and how much? New evidence from Brazil

Luan Vinicius Bernardelli

Fernando Tassinari Moraes

3:30pm to 4:00pm

Unskilled fund managers: replicating active fund performance with few ETFs

Fernando Tassinari Moraes

Leonardo Salim Saker Chaves

4:00pm to 4:30pm

Macro Announcement Disagreement Observed in the Cross Section of Stocks

Leonardo Salim Saker Chaves

Diego Nunes Teixeira

4:30pm to 5:00pm

Gender gap and regional economic diversity in microfinance: evidence from the microcredit program of the State of Bahia

Diego Nunes Teixeira

Victor Henriques

5:00pm to 5:30pm

Does the ESG investment strategy generate alpha? Evidence from Brazilian stock market

Victor Henriques

Luan Vinicius Bernardelli

17h30 ASSEMBLEIA GERAL ORDINÁRIA (AGO) Apresentação
Place: Zoom

Apresentação realizada pela Direção Executiva e o Conselho Fiscal da Sociedade Brasileira de Finanças.

Organização e Realização

Sponsors

Support

Organizer

Sociedade Brasileira de Finanças