In this paper we look into the interaction of Google's search queries and several aspects of international equity markets. Using a novel methodology for selecting words and a VAR modeling approach, we study whether the search queries of finance related words can have an impact on market...

In this paper we consider a novel procedure for forecasting the US yield curve by using the methodology of nonparametric kernel estimation of functional data (NP-FDA). Within this approach, each element of the sample is a monthly yield curve, evaluated at points corresponding to maturities. In...

This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, in an aggregate analysis, the partial effect of foreign...

In this paper, we investigate whether and how firms respond to an exogenous tax variation at the investor level by examining their financial decisions following a tax reform for pension funds in Brazil. Consistent with the tax-preference theory of dividends, we find that after implementation of...

We present a semiparametric portfolio optimization method in which portfolio weights are parameterized as a non-linear function of firm characteristics. This approach generalizes the linear parametric portfolio policy of Brandt et al. (2009) and can be applied to high-dimensional problems at a...

Dynamic factor models for the yield curve have been extensively applied to fit and forecast the yield curve. We propose a novel utilization of these models in bond portfolio optimization. Specifically, we derive closed-form expressions for the vector of expected bond returns and for its...

We examine the statistical accuracy and economic value of modelling and forecasting the term structure of interest rates using forecast combinations. We adopt five alternative methods to combine point forecasts from several univariate and multivariate autoregressive specifications, as well as...

We propose a novel approach to measure risk in fixed income portfolios in terms of value-at-risk (VaR). We use closed-form expressions for the vector of expected bond returns and for the covariance matrix of bond returns based on a general class of well established term structure factor models,...