Now showing items 1-4 of 4
Credit ratings and government bonds: evidence before, during and after the european debt crisis
Neste projeto, investigamos se as agências de rating e as taxas de juro de longo prazo da dívida soberana tiveram uma influência recíproca antes, durante e após a crise da dívida soberana Europeia. Esta análise é ...
International portfolio diversification: evidence from emerging markets
Taking into account previous research we could assume to be beneficial to diversify investments in emerging economies. We investigate in the paper International Portfolio Diversification: evidence from Emerging Markets if ...
Dinamicity and unpredictability of emerging markets: an implementation of Goetzamnn and Jorion (1999)
This research is to be considered as an implementation of Goetzmann and Jorion (1999). In order to provide a more realistic scenario, we have implemented a Garch (1,1) approach for the residuals of returns and a multifactor ...
Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets
This work applies the intertemporal asset pricing model developed by Campbell (1993) and Campbell and Vuolteenaho (2004) to the Brazilian 2x3 Fama-French stock portfolios from January 2003 to April 2012 and to the US 5x5 ...