RSS 1.0FGV EESP - Textos para Discussão / Working Paper Series
FGV EESP - Textos para Discussão / Working Paper Series
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The government as a large shareholder: impact on corporate governance
2017What is the role that governments play as large shareholders of mixed-owned firms? By solving a bargaining model over investment decisions, we unveil two corporate governance effects of the government's activism as a large ... -
Arco: an artificial counterfactual approach for high-dimensional panel time-series data
2017We consider a new, flexible and easy-to-implement method to estimate causal effects of an intervention on a single treated unit and when a control group is not readily available. We propose a two-step methodology where in ... -
Disagreement in inflation forecasts and inflation risk premia in Brazil
2017The aim of this study is to investigate the link between the inflation risk premia implied by the term structures of nominal and real interest rates in Brazil and disagreements in inflation forecasts. We gauge the former ... -
The perils of counterfactual analysis with integrated processes
2017Recently, there has been a growing interest in developing econometric tools to conduct counterfactual analysis with aggregate data when a "treated" unit suffers an intervention, such as a policy change, and there is no ... -
How to neutralize the Dutch disease notwithstanding the natural resources curse
2017This paper discusses two closely related concepts – the Dutch disease and the natural resource curse – and a third one, exchange rate populism, associated to the curse. The Dutch disease is a long-term overvaluation of the ... -
Capital structure determinants of financially constrained and unconstrained firms
2017This paper discusses the determinants of capital structure with a focus on both publicly-owned and privately-owned firms. We use annual financial statement data for over 1,000 publicly-owned and privately-owned Brazilian ... -
Desenvolvimento econômico, sofisticação produtiva e valor-trabalho
2017In this paper, I discuss the historical (not the normative) concept of economic development, distinguish it from human development, reassert its identification with industrialization or structural change or productive ... -
The Economic Commission for Latin America (ECLA) was right: scale-free complex networks and core-periphery patterns in world trade
2017The main purpose of this paper is to apply big-data and scale-free complex network techniques to the study of world trade, with a specific focus on the investigation of ECLA and structuralist ideas. A secondary objective ... -
The resource curse reloaded: revisiting the Dutch disease with economic complexity analysis
2017This paper shows that the Dutch disease can be more formally characterised as low economic complexity using ECI-type indicators; there is a solid and robust inverse relationship between exports concentrating on natural ... -
Dotcom bubble and underpricing: conjectures and evidence
2017We provide conjectures for what caused the price spiral and the high underpricing of the dotcom bubble of 1999–2000. We raise two conjectures for the price spiral. First, given the uncertainty about the growth opportunities ... -
Mandatory IFRS adoption in Brazil and firm value
2017Using diff-in-diff approaches and the propensity-score matching, this study focuses on firm-level Tobin´s q and Market-to-book outcomes for Brazilian firms who in 2008 were required by Law 11.638/07 to adopt the full ... -
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 ... -
Teoria residual da política de dividendos: um experimento natural
2017Em 15 de dezembro de 1976, nova lei das sociedades por ações (S.As.) introduziu, entre outras inovações, a exigência de distribuição mínima obrigatória de resultados anuais ('dividendo mínimo obrigatório'). O presente ... -
Cost of equity estimation for the Brazilian market: a test of the Goldman Sachs model
2017As an approach to determining the degree of integration of the Brazilian economy, this paper seeks to test the explanatory power of the Goldman Sachs Model for the expected returns by a foreign investor in the Brazilian ... -
Disentangling the effect of private and public cash flows on firm value
2017This 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
2017We 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 ... -
Contingent judicial deference: theory and application to usury laws
2017Legislation that seems unreasonable to courts is less likely to be followed. Building on this premise, we propose a model and obtain two main results. First, the enactment of legislation prohibiting something raises the ... -
Sophisticated jobs matter for economic development: an empirical analysis based on input-output matrices and economic complexity
2017A wide range of economic development theoreticians have discussed the manufacturing sector’s properties as an engine for economic growth. More recently, the sophisticated services sector began to share similar characteristics ... -
Reinterpreting the mutual fund theorem: the risk portfolio as a tactical overlay
2017The Mutual Fund Theorem is an elegant way of describing how investors with different attitudes towards risk should construct their portfolios. It is, however, often misinterpreted. This paper revisits the topic by defining ... -
The capital asset pricing theory and its misconceptions
2016The CAPM is the fundamental model for pricing financial securities. Nevertheless, the way it is proved in Finance textbooks can be fairly confusing, and more complicated than necessary; with an excessive use of figures at ...
