|
|
|
|
|
André Giudice de Oliveira,Vinicius Mothé Maia,Antonio Carlos Figueiredo Pinto,Marcelo Cabús Klotzle,Luiz Felipe Jarques da Motta
Pág. 44 - 64
This paper compares the BM&FBovespa reference option premiums with the Garman-Kohlhagen model, Corrado-Su modified model, Merton's jump-diffusion model, and Black modified model for skewness and kurtosis for pricing dollar options and Ibovespa futures. T...
ver más
|
|
|
|
|
|
|
|
|
|
|
Elton Tizziani,Marcelo Cabus Klotzle,Walter Lee Ness Jr.,Luiz Felipe Motta
Pág. 383 - 416
The goal of this study is to test the disposition effect, the tendency of investors to sell winning investments too soon and hold losing investments too long, by analyzing all Brazilian equity fund portfolios from November 2003 to March 2008. The analysi...
ver más
|
|
|
|
|
|
|
|
|
|
|
Raphael Braga Silva,Roberto Moreno Moreira,Luiz Felipe Jacques Motta
Pág. 237 - 258
The present study has performed an analysis of the effects caused in the performance of Brazilian pension funds by the inclusion of international assets in their portfolios. The Resolution CMN 3456 of June 1, 2007 allowed pension funds in Brazil to alloc...
ver más
|
|
|
|
|
|
|
|
|
|
|
Felipe Pretti Casotti,Luiz Felipe Jacques da Motta
Pág. 157 - 204
The pricing process of new shares in IPOs has been under study in several countries. This paper initially looks at the valuation process using multiples and seeks to classify the new shares under two categories: underpriced or overpriced at the time of t...
ver más
|
|
|
|
|
|