The purpose of this paper is to present the Grinblatt and Moskowitz Model (2004), and make a modification to adapt for an emerging market, in this case to apply in the Sao Paulo Stock Exchange (Bovespa), that presents some specifics characteristics and problems, common in financial models and...

This paper aims to test the hypothesis of abnormal returns from the strategy of investing in shares with lower Price/Value Ratio (PVPA) in the Brazilian capital market. All the shares negotiated in the Sao Paulo Stock Exchange (Bovespa) from 1994 to 2006 were used, and formed 6 portfolios...

We studied the rationales of investing in CSR/ESG, drawing on recent empirical research articles on CSR/ESG to choose four different perpetual real options models and perform sensitivity analyses on the decision to become a socially responsible firm, invest in CSR/ESG to capture goodwill in a...

The main objective of this paper is the analysis of the electricity sector in Brazil and the whole restructuring process occurred since the creation of the Electricity National Agency (ANEEL). It is discussed if the regulation of the electricity sector in Brazil brought benefits to the...

We propose an alternative backtest to evaluate the performance of Value-at-Risk (VaR) models. The presented methodology allows us to directly test the performance of many competing VaR models, as well as identify periods of an increased risk exposure based on a quantile regression model (Koenker...