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Benjamin Miranda Tabak,Pedro Henrique Rincon Amaral
Pág. 472 - 491
A identificação e consideração de vieses cognitivos nos indivíduos cujos comportamentos são regulados pelo Estado pode aumentar a efetividade do processo de formulação das políticas públicas. O combate aos vieses cognitivos decisórios observados nos form...
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Glener de Almeida Dourado,Benjamin Miranda Tabak
Pág. 517?553
The goal of this paper is to evaluate Brazilian stock market efficiency using daily data for the Sao Paulo Stock Exchange Index from January 1995 to December 2012. We employ a variance ratio statistic with wild bootstrap, developed to test linear depende...
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Cláudio Ruiz,Benjamin Miranda Tabak,Daniel Oliveira Cajueiro
Pág. 413 - 438
The measure of bank efficiency has been object of many studies in the past years, in several parts of the world. The variables that are frequently used to measure bank efficiency are relative to the administration of institutions and are extracted from a...
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Marcos Massaki Abe,Eui Jung Chang,Benjamin Miranda Tabak
Pág. pp. 29 - 39
This paper employs a recently developed parametric technique to obtain density forecasts for the Brazilian exchange rate, using the exchange rate options market. Empirical results suggest that the option market contains useful information about future ex...
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Paulo Coutinho,Benjamin Miranda Tabak
Pág. pp. 243 - 270
We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. Ho...
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Benjamin Miranda Tabak,Sandro Canesso de Andrade
Pág. pp. 19 - 43
We test the Expectations Hypothesis (EH) plus Rational Expectations (RE) in the Brazilian term-structure of interest rates, using maturities ranging from 1 month to 12 months, and daily data from 1995 to 2000. We rely on two methodologies based on single...
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