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Claudio Samanez Bisso,João Frois Caldeira,Carlos Patricio Samanez,Gheisa Roberta Telles Esteves
Pág. 323 - 352
This paper applies the method known as data envelopment analysis (DEA) to acess the performance of investment funds in Brazil during the period 2012-2014, evaluating a representative sample that is framed in the "Free Shares" category. The results show e...
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Tiago Loncan, João Frois Caldeira
Pág. 859 - 895
This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, an aggregate...
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João Frois Caldeira, Luiz Furlani
Pág. 627 - 645
O presente artigo avalia, para o caso brasileiro, se a inflação implícita extraída dos títulos de renda fixa constitui um estimador não-viesado da inflação ao consumidor, medida pelo IPCA. Nossas estimativas sugerem que as break-even inflation rates ? ou...
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João Frois Caldeira,Gulherme Valle Moura
Pág. 49 - 80
Statistical arbitrage strategies, such as pairs trading and its generalizations, rely on the construction of mean- reverting spreads with a certain degree of predictability. This paper applies cointegration tests to identify stocks to be used in pairs tr...
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João Frois Caldeira,Marcelo Savino Portugal
Pág. 469 - 504
The traditional models to optimize portfolios based on mean-variance analysis aim to determine the portfolio weights that minimize the variance for a certain return level. The covariance matrices used to optimize are difficult to estimate and ad hoc meth...
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