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Bubble thy neighbor : portfolio effects and externalities from capital controls ; conference paper
Forbes, Kristin; Fratzscher, Marcel; Kostka, Thomas; … - 2013
We use changes in Brazil s tax on capital inflows from 2006 to 2011 to test for direct portfolio effects and …. We find that an increase in Brazil s tax on foreign investment in bonds causes investors to significantly decrease their … portfolio allocations to Brazil in both bonds and equities. Investors simultaneously increase allocations to other countries …
Persistent link: https://www.econbiz.de/10010341669
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Idiosyncratic moments and the cross-section of stock returns in Brazil
Ricca, Bernardo; Almeida, Caio; Tessari, Cristina - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 255-286
Persistent link: https://www.econbiz.de/10011644511
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What are the risk factors relevant to investors? : evidence from the Brazilian funds market
Cavalcante Filho, Elias; De-Losso, Rodrigo; Souza … - 2019
Persistent link: https://www.econbiz.de/10012240974
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Investors' behavior and mutual fund portfolio : allocations in Brazil during the global financial crisis
Linardi, Fernando M. - 2020
Persistent link: https://www.econbiz.de/10012171378
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Brazilian REIT : alternative investment to real estate, stock and bonds
Yokoyama, Karen Yukari; Sarlo Neto, Alfredo; Cunha, … - In: Revista Brasileira de Finanças : RBFin 14 (2016) 4, pp. 523-550
Persistent link: https://www.econbiz.de/10011756157
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Portfolio management using realized covariances : evidence from Brazil
Caldeira, João F.; Moura, Guilherme Valle; Perlin, … - In: Economia : revista da ANPEC 18 (2017) 3, pp. 328-343
It is often argued that intraday returns can be used to construct covariance estimates that are more accurate than those based on daily returns. However, it is still unclear whether high frequency data provide more precise covariance estimates in markets more contaminated from microstructure...
Persistent link: https://www.econbiz.de/10011866468
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Factors influencing Brazilian value investing portfolios
Holloway, Pedro; Rochman, Ricardo; Laes, Marco - In: Journal of economics, finance & administrative science 18 (2013), pp. 18-22
This study contributes to research on value investing in Brazil, analyzing the Brazilian funds that adopt this …
Persistent link: https://www.econbiz.de/10011872379
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An SDF approach to hedge funds' tail risk : evidence from Brazilian funds
Leal, Laura Simonsen; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 37 (2017) 1, pp. 61-88
Persistent link: https://www.econbiz.de/10011860505
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Risk premia estimation in Brazil : wait until 2041
Giovannetti, Bruno; Cavalcante Filho, Elias; Chague, … - 2016
Persistent link: https://www.econbiz.de/10011863859
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Beating the market with small portfolios : evidence from Brazil
Santos, André A. P. - In: Economia : revista da ANPEC 16 (2015) 1, pp. 22-31
Optimal portfolios with a restriction on the number of assets, also referred to as cardinality-constrained portfolios, have been receiving attention in the literature due to its popularity among market practitioners and retail investors. In most cases, however, the interest is in proposing...
Persistent link: https://www.econbiz.de/10011865381