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Renato Lazo Paz,Robert Aldo Iquiapaza,Aureliano Angel Bressan
Pág. 79 - 101
This paper analyzes the effect of investor monitoring on the performance of equity investment funds. For that purpose, we analyze the relationship between fund performance, measured using four-factor Alpha, and a set of control variables and monitoring p...
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Lelis Pedro Andrade,Aureliano Angel Bressan,Robert Aldo Iquiapaza
Pág. 555?595
This study aims to identify whether there is a relationship between dual class shares issuance, pyramidal ownership structure and firms? financial performance in the Brazilian market. To this end, univariate tests and panel data analysis were applied in ...
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Lélis Pedro Andrade,Aureliano Angel Bressan,Robert Aldo Iquiapaza,Bruno César de Melo Moreira
Pág. 181 - 213
The aim of this study was to identify the variables that influence the firms inclusion in the BM&FBOVESPA Corporate Sustainability Index (CSI), and if such membership is correlated with the firm market value in the Brazilian market. We collected annual d...
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Andrei Salem Gonçalves,Robert Aldo Iquiapaza,Aureliano Angel Bressan
Pág. 317 - 335
We propose a single-factor mixed effects panel data model to create an arbitrage portfolio that identifies differences in firm-level latent fundamentals. Furthermore, we show that even though the characteristics that affect returns are unknown variables,...
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Nelson Ferreira Fonseca,Wagner Moura Lamounier,Aureliano Angel Bressan
Pág. 243 - 265
This article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and...
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Frederico Valle e Flister,Aureliano Angel Bressan,Hudson Fernandes Amaral
Pág. 105 - 129
This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel?s (2006) methodology in the Brazilian stock market. To this end we studied a sample of B...
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Aureliano Angel Bressan, João Eustáquio de Lima
Este artigo trata da aplicabilidade de modelos de previsão de séries temporais como ferramenta de decisão de compra e venda de contratos futuros de boi gordo na BM&F, em datas próximas ao vencimento. Os modelos estudados são: ARIMA e Redes Neurais, Model...
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