XXI Encontro Brasileiro de Finanças

XXI Brazilian Finance Meeting

From 14th to 16th July Every day from 00h00 to 00h00

Event online The event link has not yet been informed

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 Work Presentation +

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 Work Presentation +

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 Work Presentation +

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 Work Presentation +

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