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Antonio Zoratto Sanvicente,Antonio Zoratto Sanvicente,Antonio Zoratto Sanvicente
Pág. 631 - 649
We examine the relationship between price and volume in the Brazilian stock market. It tests the ?V-shaped relationship? developed by Karpoff (1987), identified in several empirical papers for the U.S. market. This is expressed by positive covariance bet...
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Antonio Zoratto Sanvicente
Pág. 1 - 12
The paper reports the availability of equity market and government bond indices for the 1950-1967 in Brazil, before the introduction of the Bovespa index. Nominal monthly returns are computed, and the historical market risk premium is determined. A 1.86%...
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Octavio Portolano Machado,Adriana Bruscato Bortoluzzo,Sérgio Ricardo Martins,Antonio Zoratto Sanvicente
Pág. 149 - 180
This paper examines the empirical validity of the Inter-temporal Capital Asset Pricing Model (ICAPM) with Brazilian market data. The Bali and Engle (2010) methodology is used with the estimation of conditional covariances between stock portfolio returns ...
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Antonio Zoratto Sanvicente
Pág. 179 - 196
The Lesmond (2005) method for estimating transactions costs, based on a limited-dependent variable model, is used in order to test for the significance of plausible explanations for cross sectional cost differences. Variables such as liquidity, volatilit...
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Antonio Zoratto Sanvicente,Renato Teles Delgado
Pág. 113 - 139
This paper tested the Pástor and Veronesi (2003) hypothesis that the market-to-book ratio (M/B) is negatively related to the number of years (age) during which a firm has had its stock traded on an Exchange. The predicted decline takes place as a result ...
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