Browsing FGV EESP - Escola de Economia de São Paulo by Author "Chague, Fernando Daniel"
Now showing items 1-4 of 4
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The Capm and Fama-French models in Brazil: a comparative study
2007-11-17This 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 ... -
A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
2017This paper proposes a Factor-Augmented Dynamic Nelson-Siegel (FADNS) model to predict the yield curve in the US that relies on a large data set of weekly financial and macroeconomic variables. The FADNS model significantly ... -
Individuals neglect the informational role of prices: evidence from the stock market
2018-02We find that a stock price fall in itself induces individual investors to buy the stock. That is, individuals neglect the negative information that may be attached to a stock price fall. Our identification strategy uses ... -
The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis
2018-02Using market-wide data from the Brazilian stock lending market, we find strong evidence of short-selling skill for some institutions and individuals. Skilled short-sellers present out-of-sample performance persistence, ...
