This study analyzes the adverse selection cost component embedded in the spreads of Brazilian stocks. We show that it is higher than in the U.S. market and presents an intraday U-shape pattern (i.e., it is higher at the beginning and at the end of the day). In addition, we investigate the...

The importance of risk management has been highlighted by the series of disasters related to the application of derivatives and by the common sense in needing to cover these operations with capital allocation. However, not much agreement exists concerning the methods for calculating the capital...

What drives mergers and acquisitions decisions? Can an overconfidence bias affect decisions within the management team? This study complements recent work developed within the behavioral finance analyses of Mergers & Acquisitions and proposes the use of new variable to measure overconfidence....

What is the cross-sectional relationship between financial leverage and expected equity returns? How is the empirical relationship associated with firm's financial decisions? This paper investigates the potential explanations for the flatness relation between financial leverage and expected...

This paper examines models of capital requirement determination for financial institutions in order to cover market risk stemming from exposure to foreign currencies and gold. The models examined belong to two groups according to the approach involved: standardized and internal models. In the...

The objective of this article is to verify, based on balanced portfolio theory, the impact of the offer by the Brazilian Central Bank of exchange rate swaps and reverse swaps on the attributes of the term structure of the effective interest rate on dollar borrowings (the dollar coupon curve)....