Using the price series of the assets that compose the IBrX in the period from May 2002 to December 2007, this article examines the influence of the variables beta, market value, price-earnings ratio and book-to-market ratio on the behavior of the Brazilian stock market, comparing the results...

This article analyses the pricing, using autocall mechanisms, of a coupon barrier note issue based on ADRs of Brazil's biggest mining and metals company: Vale S.A. (VALE). The numerical method used was based on a modification of the trinomial tree model with auto-call, barrier and knock-in...

In electrical power systems with strong hydro generation, the use of adequate techniques to generate synthetic hydrological scenarios is extremely important for the evaluation of the ways the system behaves in order to meet the forecast energy demand. This paper proposes a new model to generate...

This paper has as main objective to present and to test a tool of multivariate statistics in financial models. This methodology, known as clusters analysis, separates the observations in groups through its determined characteristic, in contrast of the traditional methodology, which is only the...

The aim of this paper is to present and to test a modification in the traditional Fama and French Multifactor Model (1996), from the necessities of adaptation for the Brazilian case. This model takes into consideration two anomalies, which have to be added to the CAPM Model: size and...

The purpose of this paper is to present the Grinblatt and Moskowitz Model (2004), and make a modification to adapt for an emerging market, in this case to apply in the Sao Paulo Stock Exchange (Bovespa), that presents some specifics characteristics and problems, common in financial models and...

This paper aims to test the hypothesis of abnormal returns from the strategy of investing in shares with lower Price/Value Ratio (PVPA) in the Brazilian capital market. All the shares negotiated in the Sao Paulo Stock Exchange (Bovespa) from 1994 to 2006 were used, and formed 6 portfolios...