Now showing items 1-9 of 9

    • The Capm and Fama-French models in Brazil: a comparative study 

      Chague, Fernando Daniel
      2007-11-17
      This paper confronts the Capital Asset Pricing Model - CAPM - and the 3-Factor Fama-French - FF - model using both Brazilian and US stock market data for the same Sample period (1999-2007). The US data will serve only as ...
    • Does location matter to explain loan interest rates? Evidence from Brazilian highly concentrad local markets 

      Hirakawa, Simone Miyuki
      2009-07-21
      O setor bancário brasileiro é altamente concentrado. Embora concentração não signifique necessariamente que o mercado se comporta de forma não competitiva, o grau de competição é freqüentemente questionado no país. Utilizando ...
    • Dynamic hedging in Markov regimes 

      Monteiro, Wagner Oliveira
      2008-10-02
      This dissertation proposes a bivariate markov switching dynamic conditional correlation model for estimating the optimal hedge ratio between spot and futures contracts. It considers the cointegration between series and ...
    • Emerging markets yield curve dynamics 

      Morita, Rubens Hossamu
      2007-12-18
      This work extendes Diebold, Li and Yueís (2006) about global yield curve and proposes to extend the study by including emerging countries. The perception of emerging market su§ers ináuence of external factors or global ...
    • Essays on regulatory risk issues 

      Barcelos, Luiz Claudio
      2010-07-06
      Most studies around that try to verify the existence of regulatory risk look mainly at developed countries. Looking at regulatory risk in emerging market regulated sectors is no less important to improving and increasing ...
    • O impacto do risco inflacionário sobre os juros no Brasil 

      Tavares, Guilherme Aleixo
      2007-03-03
      This article analyzes the connection between the public debt market and the monetary policy in Brazil. Based on a Vector Auto-Regressive model, two proxies of inflationary risk were used to show that positive shocks on ...
    • Property rights as a public policy tool: an empirical analysis of the social and economic effects 

      Moura, Mauricio José Serpa Barros de
      2009-10-09
      Secure property rights are considered a key determinant of economic development. However, the evaluation of the causal effects of land titling is a di¢ cult task. The Brazilian government through a program called ‘Papel ...
    • Term structure dynamics and no-arbitrage under the Taylor Rule 

      Inhasz, Juliana
      2009-08-18
      The term structure interest rate determination is one of the main subjects of the financial assets management. Considering the great importance of the financial assets for the economic policies conduction it is basic to ...
    • What if firms adjust their debt-equity ratios toward a target range? 

      Pereira, Ricardo Buscariolli
      2009-08-18
      We estimate optimal target-ranges of capital structure controlling for a series of firmspecific characteristics and accounting for the serial correlation that arises from the dynamic component of the leverage choice. Then, ...