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...

Portuguese Abstract: Neste artigo investiga-se o que determina o fluxo de recursos para fundos de investimentos brasileiros. Constata-se que investidores são mais atentos ao risco de mercado (beta) ao avaliar fundos, enquanto tendem a atribuir o retorno de fatores como tamanho, valor, momentum,...

Brazil is the world's largest producer of sugarcane, product with history and importance in the Brazilian agribusiness. The State of São Paulo is responsible for 50% of Brazilian production. Harvested area is estimated at 4.25 million hectares. The metropolitan region of Ribeirão Preto, in...

We thoroughly describe the workings of the Brazilian interbank exchange rate market: agents, products, regulation, operation and risks. We analyse the recent evolution of the exchange rate market and came to a negative evaluation of the current exchange rate trading system, thereby suggesting an...

Brazil is the world's largest producer of sugarcane, product with history and importance in the Brazilian agribusiness. The State of São Paulo is responsible for 50% of Brazilian production. Harvested area is estimated at 4.25 million hectares. The metropolitan region of Ribeirão Preto, in...

Portuguese Abstract: Na literatura econômica sobre razão e efetividade do hedge, os estudos têm utilizado dados de alta e de baixa frequência, resultando em diferentes estimativas, as quais podem ser resultantes do efeito Epps. Nesse sentido, o objetivo dessa investigação foi verificar a...

Portuguese Abstract: Com o objetivo de verificar se a análise técnica por Convergência e Divergência de Médias Móveis (MACD) possui excesso de retorno significativo, após controlar os possíveis efeitos causados por data snooping, foram construídas 6.480 parametrizações para os ativos...

In theory, prices of current-month federal funds futures contracts should reflect market expectations of near-term movements in the Federal Reserve's target level for the federal funds rate. However, empirical results show that such measures of market expectations are too noisy to predict...

Este artigo examina empiricamente a demanda de derivativos de câmbio de empresas brasileiras de capital aberto. Para tanto, construimos um banco de dados original com 23.767 contratos de swap cambial entre empresas e instituições financeiras em aberto em 2002. A partir destes contratos,...

We thoroughly describe the workings of the Brazilian interbank exchange rate market: agents, products, regulation, operation and risks. We analyse the recent evolution of the exchange rate market and came to a negative evaluation of the current exchange rate trading system, thereby suggesting an...