RSS 1.0FGV EPGE - Dissertações, Mestrado em Finanças e Economia Empresarial
O curso de Mestrado em Finanças e Economia Empresarial (MFEE) da EPGE proporciona formação sólida e aprofundada aplicando as mais modernas teorias de economia e finanças às atuais questões do mercado financeiro, organização empresarial, políticas econômicas e áreas afins.
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FGV EPGE - Dissertações, Mestrado em Finanças e Economia Empresarial
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Alocação de risco de demanda em concessões de rodovia
2017-12-08Any project requiring human cooperation is subject to divergence interests among parties, which can clearly be observed in infrastructure projects. In modern societies, conflicts of interest are usually mitigated by ... -
Ganhos de liquidez no sistema bancário após mudanças nos limites de garantias e o possível risco moral
2017-12-01The purpose of this dissertation is to study the role of the Brazilian Deposit InsuranceFund (Fundo Garantidor de Créditos – FGC), evidencing the benefits that an explicit guaranteestructure causes in the banking system. ... -
Impactos da sinalização de controladores no desempenho follow-ons
2017-12-22Myers e Majluf (1984) entendem a emissão de novas ações como sinalização ruim aos agentes de mercado e preveem queda no valor das ações quando do anúncio da emissão, efeito já comprovado empiricamente por Asquith e Mullins ... -
Investigação sobre o desempenho da regra de negociação de pairs trading utilizando o modelo de mudança de regime no mercado de ações brasileiro
2016Among various strategies of financial assets negotiations, The Pair Trading strategy has shown relevance in the academic and professional environment and it’s being used as an important strategy. In the main investment ... -
Educação e desigualdade de renda no Brasil
2017-10-30In this study, we seek to understand the degree in which education can affect income inequality in Brazil. We analyzed the Gini index at state level, taking into account the average years of schooling, educational inequality ... -
Arbitrage opportunities with a delta-gamma neutral strategy in the Brazilian options market
2017-11-08We investigate arbitrage opportunities in the Brazilian options market. Our research consists inbacktesting several delta-gamma neutral portfolios of options traded in B3 exchange to assessthe possibility of obtaining ... -
Análise da diversificação no mercado de mineração
2017-11-14During the period known as the commodities super cycle (2000 – 2011) the mining market saw its main companies adopting a diversification strategy from its core business, acquiring existing companies or entering in greenfield ... -
The illiquidity component of corporate bond spreads
2017We find that illiquidity remains a major factor in explaining corporate spreads. Illiquidity is second only to the credit risk itself. This effect is surprising given that the corporate debt trading activity has more than ... -
Previsão da estrutura a termo de cupom cambial
2017-09-25This paper proposes to apply a similar framework adopted by Diebold and Li (2006) to forecast the Brazilian term structure of the US dollar-denominated interest rates, which have been done through the well-known three ... -
Risco de mercado segundo implementação do acordo de Basiléia no Brasil: uma comparação da abordagem padronizada com métricas de VaR e Stress- Testing
2017-01-24This work evaluates the regulatory capital required by Brazilian Central Bank (“BCB”) from financial institutions under its regulation, concerning the standard approach for marked risk, compared to alternative approaches ... -
Modelo de hedge para royalties de petróleo aplicado ao setor público subnacional
2017-05-19In the past few years, several Brazilian subnational governments have developed an extremely high dependency on royalties revenues from the oil and gas exploration, but the financial flow generated by those revenues keep ... -
Determinantes da concessão de crédito livre para pessoas físicas no Brasil
2017-09-22This paper aims to identify, with an econometric model, the main micro and macroeconomic variables that were responsible for the process of credit concession for individuals that took place in Brazil during 2004 and 2016, ... -
Estudo empírico dos determinantes dos gastos com investimentos das empresas brasileiras
2017-05-31This sludy aims to analyze lhe microeconomic variabJes that influence lhe decision af Brazilian companics to makc Capital Expenditure. Four hypothesis related to lhe folJowing investment thesis were tested: Neoclassical ... -
Inflação e retornos acionários
2017-05-19This paper examines the impact of expected inflation on stock returns and earnings per share projections for the next 12 months. We used the Ibovespa's weekly real returns and FOCUS survey for IPCA and Industrial Production ... -
Análise do efeito de crises sobre estratégias de pairs trading no Brasil
2017-08-31The purpose of this work is to check the performance of the distance method of the pairs trading strategy in the Brazilian market. The study takes place in the period between 2004 and 2017, trying to identify if these ... -
Dividend yield e os retornos das ações brasileiras
2017-05-19This paper checks for the predictability of stocks negotiated in Sao Paulo Stock Exchange index from aggregate dividend yield. It examined a multiple regression of the excess return (Risk Premium) and return in relation ... -
A confiança do consumidor como previsor da produção industrial: um modelo alternativo
2009-05-25This paper presents the analysis about the importance of the Consumer Confidence Indexes in the United States and the potential utilization of the Brazil’s similar index, the ICC FGV, to predict and track performance local ... -
Avaliação Econômico-Financeira do Projeto de Integração do Rio São Francisco sob a forma de Parceria Público-Privada
2017-05-31The present work aimed to study a proposition of a financially sustainable operation of the Project for the Integration of São Francisco River and the Watershed of the Northern Northeast (PISF, acronym in Portuguese), known ... -
Otimização de portfólios de comercialização de energia no Brasil
2017-05-22The portfolio optimization analysis for quite some time was built around the variance measure. This approach is adequate when the assets returns are normaly distributed. However, in asymmetric or heavy-tailed distributions, ... -
Crescimento econômico e desemprego: uma estimativa da lei de Okun pós Plano Real
2017-05-31A presente dissertação testa a validade da lei de Okun para a economia brasileira pós Plano Real, em especial nos trimestres de aparente contradição, isto é, a partir de 2011, quando passou a ser registrado na economia ...
