Aversion To The Risk
Mostrando 1-12 de 29 artigos, teses e dissertações.
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1. Financial indicators, informational environment of emerging markets and stock returns
Abstract Purpose The purpose of this paper is to evaluate the influence of the informational environment on the relevance of accounting information in companies traded in stock exchanges of emerging markets. Design/methodology/approach For this purpose, the authors calculated indicators based on figures derived from the financial statements and variables t
RAUSP Manag. J.. Publicado em: 25/11/2019
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2. Gestão financeira e econômica da propriedade rural com multiproduto
Farmers have always neglected management procedures in their enterprises in detriment to initiatives regarding production technology. Overall, producers and technicians know the answer to what, how and when to produce, but they dont know the cost or profitability of this technology. The present study shows the importance of the sustainability of agricultural
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 27/08/2012
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3. Desconto do futuro e percepção de tempo / Future discounting and time perception
Every moment we have to decide, and during this process cognitive biases can occur. Decision making almost always includes the temporal dimension. Human beings and other animals prefer the present, phenomenon known as future discounting. There is almost no consensus about the psychological antecedents of future discounting. Its occurrence varies with the spe
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 11/05/2012
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4. Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options
Building Risk-Neutral Densities (RND) from options data can provide market-implied expectations about the future behavior of a financial variable. And market expectations on financial variables may influence macroeconomic policy decisions. It can be useful also for corporate and financial institutions decision making. This paper uses the Liu et all (2007) ap
Publicado em: 12/04/2012
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5. The equity premium puzzle: analysis in Brazil after the real plan
Our paper investigates whether there is evidence of an Equity Premium Puzzle (EPP) in Brazil, applying two different methodologies. The EPP was identified by Mehra and Prescott (1985) since the Consumption Capital Asset Pricing Model (CCAPM), when calibrated with reasonable preference parameters, could not explain high historical average risk premiums in the
BAR, Braz. Adm. Rev.. Publicado em: 13/11/2012
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6. Criação de empresas à luz do modelo de decisão effectuation: um estudo com mulheres empreendedoras no município de Currais Novos/RN
This study analysed the creation of businesses by entrepreneur women in the Currais Novos city, looking for verifying if they used making decision processes aligned to the Effectuation logic throughout the creation of their companies. To this, was accomplished a multiple cases and exploratory study, whit a qualitative approach of analyse, using the thematic
IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 19/09/2011
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7. A Stochastic discount factor approach to asset pricing using panel data asymptotics
Using the Pricing Equation in a panel-data framework, we construct a novel consistent estimator of the stochastic discount factor (SDF) which relies on the fact that its logarithm is the "common feature" in every asset return of the economy. Our estimator is a simple function of asset returns and does not depend on any parametric function representing prefer
Escola de Pós-Graduação em Economia da FGV. Publicado em: 27/05/2011
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8. The Private Memory of Aggregate Shocks
We study constrained efficient aggregate risk sharing and its consequence for the behavior of macro-aggregates in a dynamic Mirrlees’s (1971) setting. Privately observed idiosyncratic productivity shocks are assumed to be independent of i.i.d. publicly observed aggregate shocks. Yet, private allocations display memory with respect to past aggregate shocks,
Escola de Pós-Graduação em Economia da FGV. Publicado em: 10/07/2010
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9. Testing the Optimality of Aggregate Consumption Decisions: Is there Rule-of-Thumb Behavior?
Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimal
Publicado em: 15/02/2009
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10. O modelo principal-agente com risco moral sob a Ãtica da economia comportamental
The principal-multiagent model with moral hazard and loss averse agents is considered here. The optimal contract for each agent invidually is a bonus scheme, similar to the classical work of Holmstrom (1979), though it is also dependent on the agentâs degree of loss aversion for the case of the principal is able to observe the agentâs type. Subsequentilly,
Publicado em: 2009
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11. Controle de capitais, crescimento e bem-estar: uma análise baseada no modelo de Ramssey para uma pequena economia aberta e com restrição de crédito externo.
This dissertation investigates the impact of the control of capitals on the growth and welfare in a small open economy of one sector, subject to technological shocks and with limited access to the international capital market. The supply of capital is imperfect due to the risk aversion on the part of the international investors. The results of the model show
Publicado em: 2008
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12. Risky assets performance measures analysis: a study of potential investment, Sharpe ratio and generalized Sharpe ratio indexes. / Análise de medidas de desempenho de ativos de risco: um estudo dos índices de potencial de investimento, Sharpe e Sharpe generalizado
This master dissertation studies and compares the characteristics of Sharpe ratio and its variants, SRc and SRd, generalized Sharpe ratio (GSR) and investment potential (IP), both GSR and IP associated to any utility function. By the fact that GSR and IP are identical indexes, empiric tests were conducted between SRc and GSR. The indexes were evaluated theor
Publicado em: 2008