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Three essays on financial markets and institutions
Souto, Marcos Rietti - 2005
Persistent link: https://www.econbiz.de/10003904272
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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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Evaluating stock exchange volatility in Brazil after its upgrade to investment grade
Cavalcante, Bruno Maia; Hillbrecht, Ronald - In: Revista brasileira de economia de empresas : … 15 (2015) 2, pp. 23-33
Persistent link: https://www.econbiz.de/10011562524
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Portfolio Evaluation of Volatility Timing and Reward to Risk Timing Investment Strategies : The Brazilian Case
Iquiapaza, Robert Aldo - 2018
OBJECTIVES This research aimed to verify the performance of the Volatility Timing (VT) and Reward to Risk Timing (RRT) models of portfolio selection when compared with the Naïve and Mean-Variance ones, applied to the Brazilian stock market.METHODOLOGYThe methodology consists in applying the VT,...
Persistent link: https://www.econbiz.de/10012926429
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Long-Term Stock Returns in Brazil : Volatile Equity Returns for U.S.-Like Investors
Araújo, Eurilton - 2020
are similar in nature. The equity premium has been higher in Brazil than in the U.S., but the much higher Brazilian …
Persistent link: https://www.econbiz.de/10012831921
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Long-term stock returns in Brazil : volatile equity returns for U.S.-like investors
Araujo, Eurilton; Brito, Ricardo D.; Sanvicente, Antonion Z. - 2020 - This version: March 30th, 2020
Persistent link: https://www.econbiz.de/10012243420
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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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Diversification and optimal hedges for socially responsible investment in Brazil
Iglesias Casal, Ana; López Penabad, María Celia; … - In: Economic modelling 85 (2020), pp. 106-118
Persistent link: https://www.econbiz.de/10012210615
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Long-term stock returns in Brazil: volatile equity returns for U.S.-like investors
Araujo, Eurilton; Brito, Ricardo D.; Sanvicente, … - 2020
Persistent link: https://www.econbiz.de/10012404296
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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