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...

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...

In this paper, the relationship between macroeconomic fundamentals and asset prices is explored by estimating the impact of macroeconomic announcements in the Brazilian futures market. Using intraday data from October 2008 to January 2011, results show that external macroeconomic announcements...

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...

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...

In this paper, the relationship between macroeconomic fundamentals and asset prices is explored by estimating the impact of macroeconomic announcements in the Brazilian futures market. Using intraday data from October 2008 to January 2011, results show that external macroeconomic announcements...

Portuguese Abstract: Um dos temas mais discutidos na área de finanças é a forma como os mercados se estruturam informacionalmente, precificando ativos financeiros. Uma das teorias centrais de discussão é a Hipótese de Eficiência dos Mercados (HEM) de Eugene Fama (1970), derivada da teoria...

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...

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: 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...