This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom … authorities in 2012 on the market volatility of both sectors and their covariance. We also adopt the volatility impulse response …

This paper examines how regulatory interventions can affect the market risk of electricity utilities and telecom … authorities in 2012 on the market volatility of both sectors and their covariance. We also adopt the volatility impulse response …

English Abstract: The risk premium (RP) is an essential element both in determining the expected return on assets, such … valuation.The historic risk premium is the type of risk premium most widely used. However, there are three approaches to risk … according to the market index, the risk free assets employed and calculation method of the returns in the period (arithmetic or …

event. Few studies analyzed, however, the risk of these new companies. The contribution of this paper meet specifically this … idiosyncratic risk over the public offerings base on the BM&FBovespa between 2004-2014. When risk is not considered, the results … companies without this kind of management in the first five years post IPO. However, in the presence of risk adjustment, the …

volatility to investigate the low volatility anomaly. Between January 2003 and June 2017, the low volatility portfolio presented … a 15.5% annual return above the high volatility portfolio, with statistical significance in alpha as in the Sharpe Index … process, it was possible to obtain portfolios with higher returns and lower risk than those ordered by a single risk factor …