Browsing FGV EESP - Textos para Discussão / Working Paper Series by Author "Scherrer, Cristina Mabel"

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    • Disentangling the effect of private and public cash flows on firm value 

      Scherrer, Cristina Mabel; Fernandes, Marcelo
      2017
      This paper presents a simple model for dual-class stock shares, in which common shareholders receive both public and private cash flows (i.e. dividends and any private benefit of holding voting rights) and preferred ...

    • Improving on daily measures of price discovery 

      Dias, Gustavo Fruet; Fernandes, Marcelo; Scherrer, Cristina Mabel
      2017
      We formulate a continuous-time price discovery model in which the price discovery measure varies (stochastically) at daily frequency. We estimate daily measures of price discovery using a kernel-based OLS estimator instead ...

    • Price discovery in dual-class shares across multiple markets 

      Fernandes, Marcelo; Scherrer, Cristina Mabel
      2013-12-09
      We extend the standard price discovery analysis to estimate the information share of dual-class shares across domestic and foreign markets. By examining both common and preferred shares, we aim to extract information not ...