Browsing FGV EESP - Textos para Discussão / Working Paper Series by Subject "Valor (Economia)"

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How well does management deliver? Creation of shareholder wealth by large public and private Brazilian firms in 2018

Sanvicente, Antonio Zoratto
2019-12

This paper examines the performance of 157 of the 400 largest nonfinancial firms in Brazil in 2018. The metric used is the creation of value for their shareholders, represented by the difference between return on assets ...
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 ...