|
|
|
|
|
Waqar Badshah
Pág. 046 - 059
This study is conducted to check volatility spillovers from US to Emerging seven stock markets before and after the Global Financial Crisis through the VAR-GARCH model. The pre GFC sub sample data ranges from January 8, 2002 to June 29, 2007 and Post GFC...
ver más
|
|
|
|
|
|
|
|
|
|
|
Leonardo Anversi Ukita,Rodolfo Leandro de Faria Olivo,Leandro José Morilhas,Flávia Angeli Ghisi Nielsen
Pág. 19 - 34
The 21st Century has seen important innovations in stock markets, particularly the widespread adoption of automatic trading systems, which, allied to high-speed information systems, have increased efficiency and competition among stock brokers. In this c...
ver más
|
|
|
|
|
|
|
|
|
|
|
Luiz Moura,Lars Norden
Pág. 1 - 25
We investigate the long-run effects of higher standards of corporate governance in the stock market. We consider Brazilian firms that switched from the traditional segment to the Nível 1, Nível 2 or Novo Mercado since 2000. We document that higher standa...
ver más
|
|
|
|
|
|
|
|
|
|
|
Leandro Maciel,Rosangela Ballini
Pág. 80 - 99
Stock exchange automation, characterized by the replacement of floor trading systems by electronic trading systems, is one of the main restructuring processes observed in global capital markets in recent decades. This paper investigates the effects of au...
ver más
|
|
|
|
|
|
|
|
|
|
|
F. Henrique Castro,William Eid Junior,Verônica F. Santana,Claudia E. Yoshinaga
Pág. 47 - 65
We summarize the fifty-year history (1968-2017) of the Ibovespa, a gross total return index that comprises the most liquid stocks traded on the São Paulo Stock Exchange in Brazil. We provide contextual material on the Brazilian economy during this 50-yea...
ver más
|
|
|
|
|
|
|
|
|
|
|
Wilton Bernardino,Leonardo Brito,Raydonal Ospina,Silvio Melo
Pág. 573 - 610
In this paper, we have explored operational risk in Brazil by considering different sectoral indices of the Brazilian economy and the GACH Value-at-Risk (GARCH-VaR) estimation approach. We have carried a statistical evaluation of the eight Brazilian sect...
ver más
|
|
|
|
|
|
|
|
|
|
|
Alexandre Schwinden Garcia,André Alves Portela Santos
Pág. 81 - 122
This article estimates for the Brazilian market the multifactor pricing model proposed by Fama and French (2015, 2016) and provides a detail of five anomalies: beta, net share issues, momentum, volatility and accruals. The results indicate that the inclu...
ver más
|
|
|
|
|
|
|
|
|
|
|
Camila Cardoso Pereira,Regis A. Ely,Cláudio Djissey Shikida
Pág. 611 - 634
We test the presence of the dividend month premium in the Brazilian stock market. This premium consists in the existence of abnormal returns when companies are predicted to issue a dividend. We build portfolios based on predicted dividends and estimate a...
ver más
|
|
|
|
|
|
|
|
|
|
|
Marcelo de Castro Orefice,Pedro L. Valls Pereira
Pág. 389 - 428
In this paper, we discuss the practice of portfolio pumping in Brazil. Although the topic is recurrent in other countries, few studies provide this analysis for the Brazilian case. The statistical study is elaborated in three stages: first, we considered...
ver más
|
|
|
|
|
|
|
|
|
|
|
Antonio Marcos Duarte Junior,Hugo Ghiaroni Albuquerque e Silva
Pág. 221 - 249
We consider the problem of equity valuation. The use of fuzzy multicriteria decision analysis is proposed to solve the problem. The resulting methodology allows the use of the multiples most often calculated by equity analysts from audited balance sheets...
ver más
|
|
|
|
|
|