This paper proposes a model that associates borrower credit risk with the cash flow method to assess the economic value of a consumer credit portfolio. A Monte Carlo simulation applying the method to an illustrative loan reveals that the lending standards of the institution, captured in the...

In this paper, I document that investor attention negatively predicts betting against beta returns. Using Google Search Volumes toward US market indices as my proxy to attention, I find that this relation holds after controlling for competitive factors and different search terminologies and in...

Individual investors are believed to trade on noise. Based on this assumption, this paper investigates whether noisy variables, such as price trends and market sentiment, attract more attention from these investors than value-related information such as the price-earnings ratio. The results...

Despite the growth of exchange risk literature in the field of agricultural economics, little attention has been paid to firm-level currency exposure in emerging countries. This oversight is more damaging in the case of private firms, as these organizations are the most common entities in...

In this paper we find that stocks overreact to both positive and negative extreme daily movements of the broader market, but more intensely in the latter case. The overreaction is even more pronounced when the market exhibits clustered extreme swings, indicating that the overreaction is related...

This paper studies the short-term (21 trading days) behavior of Brazilian stocks in the event of extreme movements in the Brazilian market index. Using cumulative abnormal returns of contrarian and momentum strategies, we find that stocks tend to overreact after negative events while they...

In this paper, I document that investor attention negatively predicts betting against beta returns. Using Google Search Volumes toward US market indices as my proxy to attention, I find that this relation holds after controlling for competitive factors and different search terminologies and in...

This paper proposes a model in which the borrower credit risk is associated with the cash flow method to assess the economic value of a consumer credit portfolio. A Monte Carlo simulation applying the method in an illustrative loan reveals that the lending standards of the institution, captured...

The dynamics of cryptocurrency prices and on-line search about them during the 2016-2018 period reveals a direct/positive mutual feedback relationship during the bubble formation phase that weakened considerably when the prices started to fall. This behavior is prevalent for Bitcoin and...