This paper proposes a forecasting model that combines a factor augmented VAR (FAVAR) methodology with the Nelson and Siegel (NS) parametrization of the yield curve to predict the Brazilian term structure of interest rates. Importantly, we extract the principal components for the FAVAR from a...

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...

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,...