Verificação da ocorrência do efeito índice no Ibovespa – 2004-2013
RAUSP: Revista de Administração da Universidade de São Paulo, 2015 RESUMO No artigo, analisa-se a ocorrência de retornos e volumes anormais para as ações adicionadas ao Ibovespa entre 2004 e 2013, no contexto do efeito índice, uma das anomalias de mercado mais antigas relatadas em finanças, empregando-se a metodologia ...
André Nardy +3 more
doaj +1 more source
Portfolio selection models: comparative analysis and applications to the Brazilian stock market [PDF]
This paper presents a comparison of three portfolio selection models, Mean-Variance (MV), Mean Absolute Deviation (MAD), and Minimax, as applied to the Brazilian Stock Market (BOVESPA).
Farias, Christiano Alves +2 more
core +1 more source
The impact of pandemic on dynamic volatility spillover network of international stock markets. [PDF]
Empir Econ, 2023 Lan T, Shao L, Zhang H, Yuan C.
europepmc +1 more source
The Market of Foreign Exchange Hedge in Brazil: Reactions of Financial Institutions to Interventions of the Central Bank [PDF]
Between 1999 and 2002, Brazil's Central Bank sold expressive amounts of dollar indexed debt and foreign exchange swaps. This paper shows that in periods of high volatility of the exchange rate, first semester of 1999 and second semester of 2002, the ...
Fernando N. de Oliveira, Walter Novaes
core
Portfolio Optimization with a Mean-Entropy-Mutual Information Model. [PDF]
Entropy (Basel), 2022 Novais RG, Wanke P, Antunes J, Tan Y.
europepmc +1 more source
Linking Financial and Macroeconomic Factors to Credit Risk Indicators of Brazilian Banks [PDF]
This study constructs a set of credit risk indicators for 39 Brazilian banks, using the Merton framework and balance sheet information on the banks’ total assets and liabilities.
Benjamin M. Tabak +2 more
core
UTILIZAÇÃO DE CURTOSE E ASSIMETRIA PARA ELABORAÇÃO DE CARTEIRAS DE INVESTIMENTO [PDF]
, 2014 TCC (graduação) - Universidade Federal de Santa Catarina. Centro Sócio-Econômico. Economia.Com base nas observações de Scott e Horvath (1980) de que investidores possuem preferência pelos valores positivos de momentos centrais ímpares, como média e ...
Gerent, Evandro Garcia
core
The state of sustainable investments in key emerging markets: synthesis report [PDF]
, 2011 The report is intended as a summary and synthesis of country reports on the state of sustainable investing in key emerging markets, namely China, India, Brazil and Turkey. In general, the authors have defined sustainable investments as investments that
Ararat, Melsa, Suel, Esra
core
Disposition effect and reference points: An experimental study. [PDF]
PLoS One, 2023 da Costa N, Paraboni AL, Goulart M.
europepmc +1 more source
Estimating value at risk and optimal hedge ratio in Latin markets: a copula-based GARCH approach [PDF]
In this paper we use a copula-based GARCH model to estimate conditional variances and covariances of the bivariate relationships between U.S. market with Brazilian, Argentinean and Mexican markets. To that we used daily prices of S&P500, Ibovespa, Merval
Marcelo Brutti Righi +1 more
core