Equity-premium puzzle: evidence from Brazilian data
RP Cysne - Economia Aplicada, 2006 - SciELO Brasil
This paper uses 1992: 1-2004: 2 quarterly data and two different methods (approximation
under lognormality and calibration) to evaluate the existence of an equity-premium puzzle in …
under lognormality and calibration) to evaluate the existence of an equity-premium puzzle in …
Estimando o prêmio de mercado brasileiro
W Gonçalves Junior, RR Rochman… - Revista de …, 2011 - SciELO Brasil
Investimentos de risco pressupõem que, em média, os ganhos sejam superiores aos
obtidos por ativos livres de risco, diferencial este tradicionalmente denominado prêmio de …
obtidos por ativos livres de risco, diferencial este tradicionalmente denominado prêmio de …
Testing the optimality of consumption decisions of the representative household: Evidence from Brazil
MG Costa, CE Carrasco-Gutierrez - Revista Brasileira de Economia, 2015 - SciELO Brasil
This paper investigates whether there is a fraction of consumers that do not behave as fully
forward-looking optimal consumers in the Brazilian economy. The generalized method of …
forward-looking optimal consumers in the Brazilian economy. The generalized method of …
Are price limits on futures markets that cool? Evidence from the Brazilian Mercantile and Futures Exchange
M Fernandes… - Journal of Financial …, 2007 - academic.oup.com
This article investigates the impact of price limits on the Brazilian futures markets using high
frequency data. The aim is to identify whether there is an ex ante cool-off or magnet effect …
frequency data. The aim is to identify whether there is an ex ante cool-off or magnet effect …
[HTML][HTML] Fator de desconto estocástico no mercado acionário brasileiro
AB Catalão, JA Yoshino - Estudos Econômicos (São Paulo), 2006 - SciELO Brasil
Este trabalho implementa as fronteiras de variância mínima para o fator de desconto
estocástico, conforme Hansen e Jagannathan (1991) e Cochrane e Hansen (1992), no …
estocástico, conforme Hansen e Jagannathan (1991) e Cochrane e Hansen (1992), no …
Estimando betas de mercado com quebras estruturais
FN Oliveira, FC dos Santos Cunha - Brazilian Review of Finance, 2017 - periodicos.fgv.br
This study verifies the contribution of a structural break (if any) to CAPM models. Therefore,
we used all the assets listed in Bovespa and New York Stock Exchange in monthly …
we used all the assets listed in Bovespa and New York Stock Exchange in monthly …
Estimando o Prêmio de Mercado Brasileiro/Estimating the Brazilian Market Premium
WG Junior, RR Rochman, WE Junior… - Revista de …, 2011 - search.proquest.com
Risky investments assume that profits are on average higher than those obtained from risk-
free assets; this difference is traditionally called an equity risk premium. Its importance is …
free assets; this difference is traditionally called an equity risk premium. Its importance is …
[PDF][PDF] MASTERS IN FINANCE AND BUSINESS ECONOMICS
RFG DA SILVA - repositorio.fgv.br
We examined the relationship between temperature anomalies and direct insurance claims
from the Brazilian insurance market, as well as their effect on a pricing model for consumer …
from the Brazilian insurance market, as well as their effect on a pricing model for consumer …
Un test empírico del modelo de valoración de activos basado en consumo (CCAPM, por sus siglas en inglés) en Latinoamérica.
This study investigates whether the Consumption-based Capital Asset Pricing Model
(CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile …
(CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile …
Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters
A Faria, R Ornelas, C Almeida - Brazilian Review of Econometrics, 2016 - periodicos.fgv.br
This paper investigates the effects on the estimation of parameters related to the elasticity of
intertemporal substitution and risk aversion, of the selection of different portfolios to …
intertemporal substitution and risk aversion, of the selection of different portfolios to …