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 …

Investimentos de risco pressupõem que, em média, os ganhos sejam superiores aos
obtidos por ativos livres de risco, diferencial este tradicionalmente denominado prêmio de …

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 …

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 …

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 …

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 …

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 …

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 …

This study investigates whether the Consumption-based Capital Asset Pricing Model
(CCAPM) is consistent with the data from four Latin-American countries: Brazil, Chile …

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 …