1. Monetary policy and the cross-section of stock returns: a FAVAR approach

We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection

Publicado em: 28/05/2012

2. Relevância do conteúdo informacional das book-tax differences : evidências de países membros da América Latina

This present research aims at investigating whether the types of book-tax differences are useful to future income prediction and to stock returns of joint-stock companies from five countries in Latin America. This is possible, once, these differences bring information about transitory components of income and future cash flow of companies, which can be used

Repositório Institucional da UFU. Publicado em: 2014

3. The relation between stock returns and EVA, residual income, mandated performance measures: a empirical study applied to Brazilian companies with open capital / A relação do retorno das ações com o EVA, com o lucro residual e com as medidas contábeis tradicionais: um estudo empírico aplicado às empresas brasileiras de capital aberto

The huge propagation of the EVA® (Economic Value Added) concept allows companies to use this performance measure to prove how much value was added for the owners. These companies hope positive EVA®s increase firm values in the market. In this direction, some studies prove a strong association between EVA® and stock returns, confirming that the positive EV

Publicado em: 2007

4. Monetary policy and the cross-section of stock returns: a FAVAR approach

Repositório Institucional do FGV (FGV Repositório Digital). Publicado em: 2012

5. Fatores comuns de mercado, tamanho, valor e diferenciais de juros nos retornos das ações do mercado brasileiro / Common factors of market, value, size and interest differential in stock returns in Brazilian market

This article tests the existence of systematic influences on Brazilian stock returns from July 1996 to December 2005. It is found that the inclusion of factors related to market, value, size, credit and maturity spreads provides better explanation capacity of the stock returns variability than the CAPM. The premium related to market, to value and to innovati

Publicado em: 2007

6. Black swans in the brazilian stock market

This study analyzes extreme values in the daily returns of 45 Brazilian stocks between 2 January 1995 and 18 March 2009. The incidence of observations outside the range of three standard deviationsfrom the mean is at least five times greater than under the normal distribution. The occurrence of extreme values in the upper tail is 1.13 times higher than in th

Pesqui. Oper.. Publicado em: 16/07/2013

7. The relationship between market sentiment index and stock returns: a panel data analysis / A relação entre índice de sentimento de mercado e as taxas de retorno das ações: uma análise com dados em painel

In classical nance theory investor sentiment is not considered an important factor in asset pricing. Although the existence of investor sentiment is not denied, theories assume that in competitive markets quasi-rational behavior is quickly oset by rational agents. The main goal of this thesis is to investigate the relationship between investor sentiment and

Publicado em: 2009

8. The TED spread as a risk factor in the cross section of stock returns / A TED spread como fator de risco no corte transversal dos retornos de ações

We provide empirical evidence of the TED spread as a risk factor in the cross-section of stock returns. Portfolios with high sensitivities to the TED spread have high average risk-adjusted returns. The pricing of TED spread risk is especially strong among small caps. TED spread is a usual measure of funding difficulties in interbank markets and our results a

IBICT - Instituto Brasileiro de Informação em Ciência e Tecnologia. Publicado em: 15/08/2012

9. Comparing the performance of equity active and passive funds / Comparação do desenvolvimento de fundos de ações ativos e passivos

This dissertation examines the existence of supeior returns in 626 Brazilian equity funds. The idea is to observe if the stock selection strategies were capable to add value in the returns, making it superior from the market one. The estimations compare the retunrs of active and passive investment funds both with and without manager s fees. The methodology u

Publicado em: 2007

10. The relationship between market returns and accounting returns: a case study of banking sector / A relação entre retornos de mercado e retornos contábeis: um estudo de caso do setor bancário brasileiro

This paper examines the relationship between accounting and market quarterly eturns of the largest companies in the banking sector using the econometric test causality of Granger, and investigated the behavior of tock prices of banks before nd after the financial disclosures. The sample used is the four major Brazilian banks raded on BOVESPA during the third

Publicado em: 2008

11. Investimento em Ações no Brasil: Curto Prazo versus Longo Prazo / Stock Investment in Brazil: Short Term versus Long Term

The research aimed to test whether long-run investment in Brazilian stocks provides larger returns and smaller risks, as suggested by some recommendations of the financial press. January 1969 to December 1968 monthly excess returns of the Ibovespa stock index over the caderneta de poupança return were analyzed against several investment horizons. The empiri

Publicado em: 24/11/2005

12. Os Retornos no Mercado Acionário Brasileiro e a Distribuição Hiperbólica - Um Estudo Empírico / Returns of Brazilian Equity Market and the Hyperbolic Distribution - An Empirical Study

The research aimed at testing whether Brazilian stock market returns follow a hyperbolic distribution. The tests considered the daily returns of an aggregate stock market index - the Ibovespa Index - and of 30 individual stocks during the June-30-1994 to December-31-1999 period and during three subperiods into which this time span can be broken down. Results

Publicado em: 24/11/2005