Browsing by Author "Santos, José Evaristo dos"
Now showing items 1-9 of 9
-
Disclosure da utilização de derivativos por companhias abertas não-financeiras brasileiras
2001The research aimed to appraise how good the disclosure of transactions with derivative instruments by non-financial Brazilian public companies is, while testing whether foreign capital companies have better disclosure ... -
A hipótese de Samuelson no mercado futuro brasileiro: um estudo empírico
2005-11-24The research aimed to test whether what is known in the literature as Samuelson's Hypothesis applies to the Brazilian futures markets. The hypothesis postulates that the volatility of a futures prices returns increase as ... -
Investimento em ações no Brasil: curto prazo versus longo prazo
2005-11-24The research aimed to test whether long-run investment in Brazilian stocks provides larger returns and smaller risks, as suggested by some recommendations of the financial press. January 1969 to December 1968 monthly excess ... -
-
Normal backwardation é normal no mercado futuro brasileiro?
1998The resarch tests whether what Keynes coined as normal backwardation is a feature of the Brazilian futures market. Four futures contracts which trade at BM&F Bolsa de Mercadorias e Futuros have been studied, namely, Ibovespa ... -
Preços futuros brasileiros seguem um passeio aleatório? Um estudo empírico
2005-11-24The research aimed to test whether Brazilian futures prices follow a random walk - one of the versions of the Efficient Market Hypothesis. Futures prices of the Ibovespa index and dollar futures contratacs have been analysed, ... -
Previsão de volatilidade no Brasil: RiskMetrics, GARCH, volatilidade implícita ou uma combinação desses modelos? Um estudo empírico
1997O trabalho testa o poder de previsão da volatilidade futura, de cinco modelos: um modelo ingênuo, do tipo martingale, o modelo sugerido pelo JPMorgan em seu RiskMetrics™, o modelo GARCH-Generalized Autoregressive Conditional ... -
Os retornos no mercado acionário brasileiro e a distribuição hiperbólica: um estudo empírico
2002The research aimed at testing whether Brazilian stock market returns follow a hyperbolic distribution. The tests considered the daily returns of an aggregate stock market index - the Ibovespa Index - and of 30 individual ... -
Volatilidade no mercado acionário brasileiro: negociação ou passagem do tempo? Um estudo empírico
2005-11-24The research aimed to test whether Brazilian stock market volatility is more related to trading rather than calendar time. Parametric and non-parametric tests were applied to daily returns series of the IBOVESPA Index and ...
