USA market is the benchmark for empirical finance and considered the closest example of how an efficient market should behave. On the other hand, divergent results from the observed in the USA are often associated with unreliable and due deviations from efficient hypothesis. However, how would...

We study the effects of a price transparency shock in the Brazilian OTC equity lending market. Previously, a publicly available stock-specific loan fee benchmark was the average fee of the past 15 trading days. On March 1, 2011, this interval was reduced to 3 days, significantly improving...

We argue that the sheer rational expectation about some typical behaviors of retail investors can induce large and persistent overpricing in popular high-risk stocks. It is well-known that retail investors like distressed stocks. Hence, in a distress scenario, retail investors' increased demand,...

According to theory, the level of short-selling can predict short-run future returns through two channels. One channel relates to the demand-side of the stock lending market: short-sellers are informed. The other channel relates to the supply-side: short-sellers are restricted. Measuring the...

This paper aims to understand the dynamic of the relative demand for skilled labor in Brazilian industry, during the last decade. Thus, presenting evidences that relative demand for skill increased overall in the period, it seeks to explain this movement, at least in part. For this, we test the...

We show that it is virtually impossible for individuals to day trade for a living, contrary to what course providers claim. We observe all individuals who began to day trade between 2013 and 2015 in the Brazilian equity futures market, the third in terms of volume in the world. We find that 97%...

Directional bets by short sellers typically forecast future returns, but direct evidence of how other investors acquire information from these bets is nearly nonexistent. Using granular data on the entire Brazilian OTC security lending market and all trades in the Brazilian stock exchange, we...

We show that living in a small city that has a local store of a brick-and-mortar firm more than doubles the chances of individuals picking the stock of that firm to day-trade. This suggests that the salience of a stock, in itself, affects retail investors' trading decisions since a local store...