Browsing FGV EPGE - Seminários de Pesquisa Econômica by Subject "Finanças - Modelos matemáticos"

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A consumption CAPM with a reference level

Garcia Junior, Renê
2006-03-30

We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference ...
Macroeconomic announcements, price discovery, and order flow efects in the stock market: evidence from incomplete data and multiple financial markets

Gonzalo Rangel, José
2006-03-06

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous ...