Listagem FGV EESP - Textos para Discussão / Working Paper Series por autor "Chague, Fernando Daniel"
Itens para a visualização no momento 1-3 of 3
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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, ...
