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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...
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Guilherme Fernandes Sanches,André Alves Portela Santos
Pág. 299 - 321
The goal of our paper is to contribute to the discussion about the most important aspects of the loss given default validation process, with special attention to the brazilian case, as the Central Bank of Brazil determines in Circular no 3.648/2013. The ...
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Felipe Wolk Teixeira,Roberto Meurer,André Alves Portela Santos
Pág. 215 - 248
In this paper we study what drives buy-side and sell-side probabilities of intervention by the Brazilian Central Bank (BCB) on the USD/BRL spot market between 1999 and 2010. BCB?s forex interventions seem to be related to the exchange rate returns and v...
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André Alves Portela Santos,Cristina Tessari
Pág. 369 - 393
In this paper we assess the out-of-sample performance of two alternative quantitative portfolio optimization techniques - mean-variance and minimum variance optimization ? and compare their performance with respect to a naive 1/N (or equally-weighted) po...
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André Alves Portela Santos
Pág. 141 - 166
Robust optimization has been receiving increased attention in the recent few years due to the possibility of considering the problem of estimation error in the portfolio optimization problem. A question addressed so far by very few works is whether this ...
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André Alves Portela Santos, Newton Carneiro Affonso da Costa, Jr. and Leandro dos Santos C
Pág. 816 - 823
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Wlademir Ribeiro Prates,André Alves Portela Santos,Newton Carneiro Affonso da Costa Jr.
Pág. 351?383
Finance literature has shown evidence of a positive relationship between trading volume and stock returns. This relationship can be explained by the concept of overconfidence within the behavioral finance literature, which postulates that when positive r...
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