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Idiosyncratic moments and the cross-section of stock returns in Brazil
Ricca, Bernardo; Almeida, Caio; Tessari, Cristina - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 2, pp. 255-286
Persistent link: https://www.econbiz.de/10011644511
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Stock fund returns and macroeconomic variables in Brazil
Rebeschini, Amabile Millani; Leal, Ricardo Pereira Câmara - In: Latin American business review : journal of the … 17 (2016) 2, pp. 139-161
Persistent link: https://www.econbiz.de/10011533037
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On an adaptive Black-Litterman investment strategy using conditional fundamentalist information : a Brazilian case study
Fernandes, Betina; Street, Alexandre; Fernandes, … - In: Finance research letters 27 (2018), pp. 201-207
Persistent link: https://www.econbiz.de/10012006856
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Conditional CAPM using expected returns of Brazilian sustainability companies
Tambosi Filho, Elmo - In: Theoretical economics letters 8 (2018) 3, pp. 367-377
Persistent link: https://www.econbiz.de/10011822694
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An SDF approach to hedge funds' tail risk : evidence from Brazilian funds
Leal, Laura Simonsen; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 37 (2017) 1, pp. 61-88
Persistent link: https://www.econbiz.de/10011860505
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Value at risk under heterogeneous investment horizons and spatial relations
Fernández, Viviana - In: The VaR implementation handbook, (pp. 463-483). 2009
Persistent link: https://www.econbiz.de/10003827101
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The breakdown of idiosyncratic volatility into expected and unexpected components and its effects on stock returns in Brazil
Silva, Raphael Braga da; Bressane, Bernardo Prôa; … - In: Latin American business review : journal of the … 13 (2012) 4, pp. 311-328
Persistent link: https://www.econbiz.de/10009714826
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Low Volatility Asset Valuation in Brazilian Stock Market : Lower Risk with Higher Returns
Boudjoukian França, Luciano; Avelar, Mario; Teles, Pedro - 2023
This work evaluates the behavior of portfolios comprised of Brazilian stocks ranked by their volatility to investigate the low volatility anomaly.Between January 2003 and December 2021, the low volatility portfolio presented a 6% annual return above the high volatility portfolio. This result is...
Persistent link: https://www.econbiz.de/10014349977
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Analyzing the quality factor for Brazil
Bortoluzzo, Adriana Bruscato; Pistili, Gustavo Nascimento; … - In: Revista Brasileira de Finanças : RBFin 19 (2021) 3, pp. 31-52
Persistent link: https://www.econbiz.de/10012804831
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Brazilian Market Portfolio
Tessari, Cristina - 2017
In recent years, Brazil has achieved substantial progress in capital market development by building a diversified …
Persistent link: https://www.econbiz.de/10012956499