Portuguese Abstract: Este estudo avalia o comportamento de carteiras formadas por ativos do mercado acionário brasileiro ordenados em função de sua volatilidade para investigar a anomalia de baixa volatilidade.Entre janeiro de 2003 e junho 2017, o portfólio de baixa volatilidade apresentou...

English Abstract: The long-horizon event study methodology is used to document the severe impact of the US subprime mortgage crisis on the Colombian economy. The estimated parameter of a constant mean return model is used to derive the “abnormal return” on the market portfolios of Colombia...

This paper examines how monetary policy decisions in Brazil, regarding short term interest rates, have affected the term structure of interest rates. We apply an event study methodology in two distinct periods: between January 2000 and August 2003, right after the implementation of the inflation...

A partir da concepção mais ampla de moeda discutida por Stiglitz e Weiss (1981) e de Meza (1987), desenvolvendo os aspectos microeconômicos do problema de racionamento de crédito e levando em consideração as reformas estruturais no Sistema de Pagamentos Brasileiro (SPB), bem como formas de...

We analyze the effect of two 2012's regulatory measures in the Brazilian telecommunications and electricity markets. The first intervention was undertaken by the telecommunications regulatory agency (Anatel) in 18th of July and refers to the interruption of the sales of important...

This study analyzes the effect of the Provisional Measure 281, published at 16/02/2006 and converted in the Law no 11.312, at 27/06/2006, which reduced to zero the income tax of federal bonds achieved by non-residents, over the Brazilian term structure of interest rate. We used the daily...

The present article intend to verify the presence of speculative rational bubbles, starting from the identification of switching regime of the returns generation process in the brazilian market exchange, BOVESPA, for the Plano Real period (July of 1994 to March of 2004). In order to achieve this...

The objective of this paper lies in identifying Stiglitz's main theoretical contributions to Financial Economics. It is shown that he made material headway in the following issues: (1) the Modigliani-Miller theorem, (2) the efficient market hypothesis, (3) the microeconomic effects of...

This paper studies the factors that determine the financial literacy level of the Portuguese individual investors and explores the relation between financial literacy and financial behavior, particularly portfolio diversification. Our results suggest that the average financial literacy level of...

The international financial crises of the 1990s rose doubts on the usefulness of sovereign ratings. The present paper has two aims: identify whether sovereign ratings can be predicted using a small set of macroeconomic fundamentals; and test whether sovereign spreads can be predicted by...