This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom carriers traded in the Brazilian stock market. Our article uses a bivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH - BEKK) model to analyze the impact of two...

This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom carriers traded in the Brazilian stock market. Our article uses a bivariate Generalized AutoRegressive Conditional Heteroskedasticity (GARCH - BEKK) model to analyze the impact of two...

Portuguese Abstract: O prémio de risco (PR) é um elemento primordial tanto na determinação da rentabilidade esperada dos ativos, como na determinação do custo de capitais, aspetos tão importantes em finanças empresariais como em avaliação de empresas.O PR histórico é o mais...

Portuguese Abstract: O crescimento vigoroso da indústria de Private Equity no mundo gerou questões fundamentais, como por exemplo explicar se as empresas abertas previamente investidas por estes gestores geram retornos reais aos seus acionistas, após o evento do IPO. Pouco se analisou,...

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...

This paper shows estimates of the optimal level of foreign reserves for Brazil between the first quarter of 2004 and the third trimester of 2012, by applying the new Jeanne e Rancière (2011) framework, using different scenarios. The estimates of the optimal holdings of this asset are calculated...

The home bias is observed in the composition of portfolios of different classes of financial assets. The literature offers conflicting arguments about the rationality of this behavior in the case of the portfolios invested in short-term securities, commonly known as currency deposits. In the...

This paper contributes for an initial study on the empirical determinants of the portfolio allocation of retirement savings in Brazil. To this end, the work makes use of a database with disaggregated data on the allocation profile of employees participating in the closed pension fund of a major...

The canonical model of financial decision argues that the wealth allocation between the risk free asset and the tangent portfolio of risky assets depends only on the degree of risk aversion of the investor. However, recent theoretical advances support the influence of a broader set of...