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Artigos em Periódicos

2022

  1. Cereda, F; Chague, Fernando; De-Losso, R; Genaro, A and Giovannetti, Bruno. Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark. Journal of Financial Economics, v. 143, p. 569-592, 2022. (doi)

  2. Colombo, J. A; Wanke, P. F; Antunes, J and Azad, A. K. Unveiling Endogeneity Between Competition and Efficiency in European Banks: A Robust Econometric-Neural Network Approach. SN Business & Economics, v. 2, p. 1-46, 2022. (doi)

  3. Borges Monteiro, Vitor and Valls Pereira, Pedro Luiz. Análise da inadimplência em um programa sócio-torcedor: O uso do credit scoring como ferramenta de gestão esportiva. Podium: Sport, Leisure and Tourism Review, v. 11, p. 145-174, 2022. (doi)

  4. Colombo, J. A & Terra, P. R. S. Interest on Equity Versus Dividends: The role of Shareholder Identity on Corporate Tax Avoidance. RBGN-Revista Brasileira de Gestão de Negócios, v. 24, p. 175-205, 2022. (doi)

  5. Cavalcante-Filho, Elias; Chague, Fernando; De-Losso, Rodrigo & Giovannetti, Bruno. US risk premia under emerging markets constraints. Journal of Empirical Finance, v. 67, p. 217-230, 2022. (doi)

  6. Oreiro, J. L; Damato, S. W; Dagostini, L. L. M & GALA, Paulo Sérgio de Oliveira Simões. Measuring the technological backwardness of middle- and low-income countries: The employment quality gap and its relationship with the per capita income gap. PSL Quarterly Review, v. 75, p. 139, 2022. (doi)

  7. De Prince, D; Marçal, E. F. & Valls Pereira, P. L. Forecasting Industrial Production by its aggregated, disaggregated series or a combination of both? Evidence from one emerging market economy. Econometrics, Special Issue on Economics Forecasting, 10(2), 27, 2022. (doi)

  8. Valls Pereira, P. L. & Oliveira, A. B. Strategies of portfolio investment with estimates of bull and bear markets. Brazilian Review of Finance, v. 19 (4) p. 160-185, 2022. (doi)

2021

  1. Diniz Maganini, Natalia; Rasheed, Abdula and Hua Sheng, Hsia. Exchange Rate Regimes and Price Efficiency: Empirical Examination of the Impact of Financial Crisis. Journal of International Financial Markets Institutions & Money, v. 2, p. 101361, 2021. (doi)

  2. Bampi, R; Colombo, J. A. Heterogeneous effects of foreign exchange appreciation on industrial output: Evidence from disaggregated manufacturing data. The Quarterly Review of Economics and Finance, v. 80, p. 431-451, 2021. (doi)

  3. Souza Neto, A. C. N; Sampaio, J. O & Flores, E. S. Alterações de CEOs e o gerenciamento de resultados contábeis no Brasil. Revista Brasileira de Finanças (IMPRESSO), v. 19, p. 98, 2021. (doi)

  4. Flores, Eduardo; Carvalho, J; Sampaio, J. O. Impact of interest rates on the life insurance market development: Cross-country evidence. Research in International Business and Finance, v. 58, p. 101444, 2021. (doi)

  5. Pizzinga, Adrian & Fernandes, Marcelo. Extension to the invariance property of maximum likelihood estimation for affine-transformed state space models. Journal of Time Series Analysis (Online), v. 42, p. 355-371, 2021. (doi)

  6. Gala, Paulo Sérgio de Oliveira Simões; Zagato, L; Pinheiro, F; Hartman, D. Why did some countries catch-up, while others got stuck in the middle? Stages of productive sophistication and smart industrial policies. Structural Change and Economic Dynamics, v. 58, p. 1, 2021. (doi)

  7. Pereira, Gustavo M. L; Colombo, Jéfferson & Figueiredo, Otavio H. S. Market Reaction to Political Risk: Evidence From the 2018 Brazilian Presidential Election. Latin American Business Review, 2021. (doi)

  8. Fernandes, Marcelo; Guerre, Emmanuel and Horta, Eduardo. Suavizando regressões de Quantis. Journal of Business Economics and Statistics, 39 (1), 338-357, 2021. (doi)

  9. Fernandes, Marcelo & Scherrer, Mabel Cristina. The effect of voting rigths on firm value. International Review of Finance 21, 1106-1111, 2021. (doi)

  10. Trucios, C; Mazzeu, J. H. G; Hallin, M; Hotta, Luiz; Valls Pereira, Pedro L and Herencia, M. E. Z. Forecasting Conditional Covariance Matrices in High-Dimensional Time Series: A General Dynamic Factor Approach. Journal of Business & Economic Statistics, p. 1-35, 2021. (doi)

  11. Colombo, Jéfferson Augusto & Neto, Oswaldo Donatelli. O impacto de criptomoedas na performance de carteiras multiativos: Evidências para o Brasil. Brazilian Review of Finance, 19(4), 86-129, 2021. (pdf)

  12. Costa, M. G.; Marçal, E. F. Deviations from Covered Interest Parity: The Role Played by Fundamentals, Financial and Political Turmoils and Market Frictions. Revista Brasileira de Finanças (Impresso), v. 19, p. 91-121, 2021. (doi)

  13. Godinho, Renato Martins; Marçal, Emerson Fernandes & Mendonça, Diogo de Prince. Sustentabilidade da conta corrente dos EUA e do Brasil e o papel da diferença entre as taxas de retorno de ativos e passivos externos. Revista de Economia Aplicada, v. 25, p. 165-190, 2021. (doi)

  14. Bitu, Otavio; Chague, Fernando; Giovannetti, Bruno and Hamdan, Tomaz. Retorno esperado dos COEs. Revista Brasileira de Finanças (Impresso), v. 19, p. 1-26, 2021. (doi)

  15. Hordones, Cristiano & Sanvicente, Antonio Zoratto . Structure, market power, and profitability: evidence from the banking sector in Latin America. Revista Contabilidade & Finanças (online), v. 32, p. 126-142, 2021. (doi)

  16. Castro, F. Henrique & Guzella, M. S. Individual investor attention and the predictability of stock market volatility and returns. ECONOMICS BULLETIN, v. 41, p. 1418-1424, 2021. (doi)

2020

 

  1. BARROS, L. A. B. C; BERGMANN, D. R; Castro, F. Henrique & SILVEIRA, A. D. M. Endogeneity in panel data regressions: Methodological guidance for corporate finance researchers. RBGN-Revista Brasileira de Gestão de Negócios, v. 2x2, p. 437-461, 2020. (doi)

  2. Oliveira, V. K; Holland, M; Sampaio, J. O. Did the new Law for State-owned Firms affect those that are publicly traded? Revista Brasileira de Finanças: RBFIN = RBFIN: Brazilian Finance Review, v. 18, p. 23, 2020. (doi)

  3. Sanvicente, A. Z. & Carvalho, M. R. Determinants of the implied equity risk premium in Brazil. Revista Brasileira de Finanças, v. 18(1), p. 68-90, 2020. (doi)

  4. Patrocinio, R. G; Colombo, J. A. Composite leading indicators of economic activity: An application to Rio de Janeiro’s upstream oil and gas industry. Revista Brasileira de Finanças: RBFIN = RBFIN: BRAZILIAN FINANCE REVIEW, v. 18, p. 55-81, 2020. (doi)

  5. Silva, V. A. B; Sampaio, J. O; Otto, F. Domestic and Cross-Border Effect of Acquisition Announcements: A Short-Term Study for Developed and Emerging Countries. Finance Research Letters, v. 1, p. 101501, 2020. (doi)

  6. Araújo, Eurilton; D.Brito, Ricardo & Z. Sanvicente, Antonio. Long‐term stock returns in Brazil: Volatile equity returns for U.S.‐like investors. International of Jounal of Finance e Economics, 2020. (doi)

  7. Marçal, Emerson Fernandes; Prince, D.; Merlin, G. ; Simoes, O. ; Zimmermann, B. Assessing global economic activity linkages: The role played by United States, Germany and China. Revista Economia da ANPEC, v. 21, p. 38-56, 2020. (doi)

  8. Sampaio, J. O.; Gallucci Neto, H.; Silva, V. A. B.; Schiozer, R. F.. Mandatory IFRS Adoption, Corporate Governance and Firm Value. RAE-Revista de Administracao de Empresas, v. 60, p. 284-298, 2020. (doi)

  9. Flores, Eduardo; Sampaio, Joelson Oliveira; Beiruth, Aziz Xavier and Da Silva, Aldy Fernandes. Earnings Transparency, Cost of Debt and Cost of Equity: A Cross-Country Examination. International Business Research, v. 13, p. 115, 2020. (doi)

  10. Bacciotti, Rafael & Marçal, F Emerson. Taxa de desemprego no Brasil em quatro décadas: retropolação da PNDA contínua de 1976 a 2016. Estud. Econ., São Paulo, vol.50 n.3, p.513-534, 2020. (doi)

  11. Trucíos, Carlos; Mazzeu, João H.G; Hotta, Luiz K; Valls Pereira, Pedro L; Hallin, Marc. Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting. International Journal of Forecasting, v. 37, p. 1-15, 2020. (doi)

  12. Carvalho, A. G; Andrade, F. J. D; Sampaio, J. O. Determinants of corporate governance practices in Brazil. Emerging Markets Review, v. 6, p. 01, 2020. (doi)

  13. Chague, Fernando; Giovannetti, Bruno; Silva, Anthony. Attention-grabbing stocks and the behavior of individual investors in Brazil. Revista Brasileira de Finanças: RBFIN = RBFIN: Brazilian Finance Review, v. 18, p. 1, 2020. (doi)

  14. Chague, Fernando & Giovannetti, Bruno. É possível viver de day-trade em ações? Revista Brasileira de Finanças (IMPRESSO), v. 18, p. 1, 2020. (doi)

  15. Chague, Fernando; De Losso, Rodrigo; de Genaro, Alan; Giovannetti, Bruno. Securities Lending and Short Selling. Revista Brasileira de Gestão de Negócios (Online), v. 22, p. 501-517, 2020. (doi)

  16. Fernandes, Marcelo; Nunes, C. V. A; REIS, Y. What drives the nominal yield curve in Brazil? Brazilian review of econometrics, v. 40, p. 267-284, 2020. (doi)

  17. Gala, Paulo Sérgio de Oliveira Simões; Oreiro, J. L and Manarin, L. Deindustrialization, economic complexity and exchange rate overvaluation: The case of Brazil (1998-2017). Structural Change and Economic Dynamics, v. 73, p. 1, 2020. (pdf)

  18. Colombo, J. A. & Lazzari, M. R. (2020). Same, but different? A state-level chronology of the 2014-2016 Brazilian economic recession and comparisons with the GFC and (early data on) COVID-19. Economics Bulletin, v. 40(3), p. 2445-2456, 2020 (doi)

2019

  1. CHAGUE, F; DE-LOSSO, R.  & GIOVANNETTI, Bruno Cara. The short-selling skill of institutions and individuals. JOURNAL OF BANKING & FINANCE, v. 101, p. 77-91, 2019. (doi)
  2. Carlos, Trucíos; Luiz K, Hotta & Pedro L, Valls. On the robustness of the principal volatility components. JOURNAL of EMPIRICAL FINANCE, 2019. (doi)
  3. Carlos, Trucíos. Forecasting Bitcoin risk measures. A robust approach. International Journal of Forecasting, v. 35, p. 836-847, 2019. (doi)
  4. Holland, Marcio. Fiscal crisis in Brazil: Causes and remedy. Revista de Economia Política, v. 39, p. 88-107, 2019. (pdf)
  5. Tófoli, Paula; Ziegelmann, Flávio; Candido, Osvaldo and Pedro L, Valls. Dynamic D-Vine Copula Model with Applications to Valve-at-Risk (VaR). Journal of Time Series Econometrics, v11(2), p. 1-34, 2019. (doi) -leading article
  6. FLORES, E. S. & SAMPAIO, J. O. The extension of the modified Jones model with control variables: Empirical findings from the Brazilian Capital Market. INTERNATIONAL JOURNAL OF AUDITING TECHNOLOGY, v. 4, p. 05, 2019. (doi)

  7. FERRARI, A. T. ; CAPPELLOZZA, A. ; TAMBOSI FILHO, E. & SAMPAIO, J. O. A influência do comportamento impulsivo e procrastinador na tomada de decisão financeira sob a ótica da desvalorização por atraso. PERSPECTIVAS EM GESTÃO & CONHECIMENTO, v. 9, p. 101-121, 2019. (doi)

  8. Holland, Marcio; Marçal, Emerson & de Prince, Diogo . Is fiscal policy effective in Brazil? An empirical analysis. In: The Quarterly Review of Economics and Finance, v. 1, p. 1-12, 2019. (doi)

  9. FLORES, E. S.; FASAN, M.; SILVA, W. M. & SAMPAIO, J. O. Integrated reporting and capital markets in an international setting: The role of financial analysts. Business Strategy and the Environment, v. Online, p. 1-16, 2019. (doi)

  10. COSTA, L. ; SAMPAIO, J. O. & FLORES, Eduardo . Diversidade de Gênero nos Conselhos Administrativos e sua Relação com Desempenho e Risco Financeiro nas Empresas Familiares. Revista de Administração Contemporânea (online), v. 23, p. 723, 2019. (doi)

  11. MARQUES, M. R. ; SAMPAIO, J. O. & SILVA, V. A. B. . Window Dressing em Fundos de Investimento no Brasil. REVISTA DE CONTABILIDADE E FINANÇAS, v. 12, p. 1, 2019. (doi)

  12. Colombro, Jéfferson A; Loncan, T. R and Caldeira, J. F. Do foreign portfolio capital flows affect domestic investment? Evidence from Brazil. International Journal of Finance & Economics (Online), v. 24, p. 855-883, 2019. (doi)

  13. Castro, F. Henrique & Yoshinaga, Claudia . Underreaction to open market share repurchases. Revista Contabilidade & Finanças (Impresso), v. 30, p. 172-185, 2019. (doi)

  14. Castro, F. Henrique; EID JUNIOR, W; SANTANA, V. F and Yoshinaga, Claudia . Fifty-Year History of the Ibovespa. REVISTA BRASILEIRA DE FINANÇAS (IMPRESSO), v. 17, p. 47, 2019. (doi)

 

2018

  1. Gonçalves, Adalto Barbaceia; Schiozer, Rafael F & Sheng, Hsia Hua. Trade credit and product market power during a financial crisis. JOURNAL OF CORPORATE FINANCE, v. 49, p. 308-323, 2018. (doi)
  2. Fernandes, Marcelo & Scherrer, Cristina M. Price discovery in dual-class shares across multiple markets. Journal of Futures Markets, v. 38 (1), p. 129-155, 2018. (doi)
  3. Fernandes, Marcelo; Igan, Deniz & Pinheiro, Marcelo. March madness in Wall Street: (What) does the market learn from stress tests?. Journal of Banking & Finance, 2018. (doi)

  4. Marçal, E. F.; Merlin, G. ; Zimmermann, B. & Prince, D. . Does Mixed Frequency Vector Error Correction Model Add Relevant Information to Exchange Misalignment Calculus? Evidence for United States. THE EMPIRICAL ECONOMICS LETTERS, v. 17, p. 00-00, 2018. (link)

  5. Cerqueira, Daniel; Coelho, Danilo; Fernandes, Marcelo & Junior Pinto, Jony. Guns and Suicides. Journal The American Statistician, 2018. (doi)

  6. Matos, Amaro João & Mergulhão, João. Debt, information asymmetry and bankers on board. The Journal of Network Theory in Finance, v.4, p. 39-63, March 2018. (doi)

  7. Oliveira Barbosa, André & Valls Pereira, P.L. Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching. Brazilian Review of Econometrics, v.38 (1), p. 97-127, May 2018. (doi)

  8. Santos, E. S. ; Silva, F. A. M. ; Sheng, H. H. & Lora, Mayra Ivanoff . Compliance with IFRS required disclosure and analysts? Forecast Errors: Evidence from Brazil. Contabilidade Vista & Revista, v. 29, p. 77-100, 2018. (link)

  9. GALA, PAULO; ROCHA, I. & MAGACHO, G. . The Structuralist Revenge: economic complexity as an important dimension to evaluate growth and development. REVISTA DE ECONOMIA POLÍTICA, v. 38, p. 219-236, 2018. (pdf)

  10. MARÇAL, E. F.; CUNHA, R.; SIMOES, O. & MERLIN, G. The Aftermath of 2008 Turmoil on Brazilian Economy: Tsunami or 'Marolinha’? THE EMPIRICAL ECONOMICS LETTERS, v. 17, p. 137-147, 2018. (link)

  11. Carvalho, Carlos.; Masini, Ricardo. & Medeiros, Marcelo C. ArCo: Na artificial counterfactual approach for high-dimensional panel time-series data. JOURNAL OF ECONOMETRICS, v. 207, p. 352-380, 2018. (doi)

  12. Orefice, M. C & Valls Pereira, Pedro L. Portfolio Pumping no Mercado Acionário Brasileiro. Revista Brasileira de Finanças: RBFIN=RBFIN: Brazilian Finance Review, v.16, p. 389-428, 2018. (link)
  13. Marçal, Emerson; Zimmermann, Beatrice; de Prince, Diogo & Merlin, Giovanni. "Assessing interdependence among countries' fundamentals and its implications for exchange rate misalignment estimates: An empirical exercise based on GVAR". Revista Brasileira de Economia, v.72, n.4, 2018. (pdf)

     

2017

  1. Kohn, M-B. H. & Valls Pereira, P. L. Speculative bubbles and contagion: Analysis of volayility´s clusters during the DotCom bubble based on the Dynamic Conditional Correlation Model. Congent Economics & Finance, v. 5 (1) (doi)
  2. Vieira, F.; Fernandes, M. & Chague, F. Forecasting the Brazilian yield curve using forward-lloking variables. International Journal of Forecasting, v. 33(1), p.121-131, 2017. (doi) 
  3. Doi, J.; Fernandes, M. & Nunes, C. V. A. Disagreement in inflation forecasts and inflation risk premia in Brazil. Brazilian Review of Econometrics, v.37(1), p.45-59, 2017. (pdf)
  4. Piva, R.F & Sanvicente, A.Z. Análise dos Retornos e Características da Estratégia de Risk Arbitrage no Brasil. Revista de Finanças Aplicadas, v.8, p.1, 2017. (doi)
  5. Guanais, L.F.P; Sheng, H.H & Sanvicente, A.Z. Are Country and Size Risks Priced in the Brazilian Stock Market?. BAR Brazilian Administration Review, v.14, p.1-17, 2017.(doi)
  6. Chague, F; De-Losso, R; Genaro, A & Giovannetti, Bruno Cara. Well-connected short-sellers pay lower loan fees: A market-wide analysis. Journal of Financial Economics, v.123, p.646-670, 2017. (doi)
  7. Eduardo Astorino; Chague, F; Giovannetti, Bruno Cara & Silva, M.E. Variance Premium and Implied Volatility in a Low-Liquidity option market. Revista Brasileira de Economia, v.71(1), p.3-28, 2017. (doi)
  8. Hennart, Jean-Fraçois; Sheng, Hsia Hua & Carrera, José Marcos. Openness, internacional champions, and the internationalization of Multilatinas. Journal of World Business, v.52(4), p.518-532, 2017.(doi)
  9. Holland, M. Desindustrialização e Política Industrial no Brasil. Interesse Nacional, v.10, p.33-40, 2017.(pdf)
  10. Holland, M. A Matriz da Discórdia. Conjuntura Econômica (Rio de Janeiro), v.71, p.17, 2017. (link)

  11. Linhares, João Paulo Martins; Hua Sheng, Hsia; Vaz, Daniela Verzola ; Cardoso Junior & Nilton Deodoro Moreira. Influence of Macroeconomic Factors in the Capital Structure of Foreign Subsidiarie. Outlines of global transformations: politics, economics, law, v. 10, p. 101-113, 2017. (pdf)

  12. Tourinho, Juliana Carvalho Sampaio & Sheng, Hsia Hua. Expansion Mode Choices: The Case of US Multinationals in Brazil. INTERNEXT (SÃO PAULO), v. 12, p. 31, 2017. (link)

  13. Oliveira, A. B. & Valls Pereira, Pedro L. Mudança de Regime e Efeito ARCH em Volatilidade: Um Estudo dos Choques das Cotações do Petróleo. REVISTA BRASILEIRA DE FINANÇAS: RBFIN = RBFIN: BRAZILIAN FINANCE REVIEW, v. 15, p. 197-225, 2017. (link)

2016

  1. Bruscato, A.; Sheng, H. H. & Gomes, A. L. P. Earning Management in Brazilian Financial Institutions. Revista de Administração (FEA-USP), v. 51, p. 182-197, 2016. (pdf)
  2. Fernandes, M. & Mergulhão, J. Anticipatory effects in the FTSE 100 index revisions. Journal of Empirical Finance, v. 37, p. 76-90, 2016. (doi)
  3. Fernandes, M. ; Medeiros, M. C. & Veiga, A. The (semi-)parametric functional coefficient logarithmic autoregressive conditional duration model. Econometric Reviews, v. 35, p. 1221-1250, 2016. (leading article) (doi)
  4. Goes, K. C.; Sheng, H. H. & Shiozer, R. F. Contingent Covertibles and their impacts on the Optimization of the Capital Structure of Brazilian Banks Under Basel III. Revista Contabilidade & Finanças, v. 27, p. 80-97, 2016 (pdf)
  5. Hadad Junior, E & Marçal, E. F. Is ti possible to beat the Random Walk Model in Exchange Rate Forecasting?: more evidence for Brazilian case. Brazilian Review of Finance, v. 14(1), p. 65-88, 2016. (pdf)
  6. Hennart, J-F; Sheng, H. H. & Carrera, J. M. Openness, international champions and the internationalization of Multilatinas. Journal of World Business, 2016 (forthcoming) (doi)
  7. Marçal. E. F. & Carlo, T. C. Forecasting Brazilian Inflation by its aggregate and disaggregated data: a test of predictive power by forecast horizont. Applied Economics, v.48(50, 4846-4860, 2016. (doi)
  8. Rotta, P. N. & Valls Pereira, P. L. Analysis of Contagion from the Dynamic Conditional Correlation Model with Markov Regime Switching. Applied Economics, v. 48(25), p. 2367-2382, 2016. (doi)
  9. Sincerre, B. P.; Sampaio, J. O.; Fama, R & Santos, J. O. Emissão de dívida e Gerenciamento de Resultados. Revista Contabilidade & Finanças, v. 27(72) p. 291-305, 2016. (pdf)
  10. Sulzbach, V. N.; Mergulhão, J. & Valls Pereira, P. L. O Conteúdo Informacionaldas Transações no Mercado Futuro de Câmbio: uma investigação do caso brasileiro. Brazilian Review of Finance, v. 14(1), p. 7-43, 2016. (leading article) (pdf)

2015

  1. Chicaroli, R. & Valls Pereira, P. L. Preditability of Equity Models, Journal of Forecasting, v. 34(6), p.427-440, 2015. (leading article) (doi)
  2. Marinho, C.R.V & Marçal, E. F. A estrutura a termo da taxa de juros e a oferta de títulos públicos. Pesquisa e Planejamento Econômico, v. 45, p. 437-457, 2015. (pdf)
  3. Marçal, E. F. Estimando o Desalinhamento Cambial Brasileiro: uma análise de robustez a partir do modelo global com mecanismo de correção de Erros.  Estudos Econômicos, v. 45, p. 593-623, 2015. (doi)
  4. Alvarez, J. F. M. ; Sheng, H. H. & Vaz, D. V. The Internationaliztion of Spanish and Portuguese Speaking Banks. Latin American Business Review, v. 16, p. 183-202, 2015. (doi)
  5. Arata, N.; Sheng, H. H. & Lora, M. I. Internationalization and Corporate Cash Holdings: evidence from Brazil and México. RAC. Revista de Administração Contemporânea, v. 19, p. 01-19, 2015. (doi)
  6. Hennart, J-F; Sheng, H. H. & Pimenta G. Local Complementary inputs as drivers of entry model choices: the case of US investments in Brazil. International Business Review, v.24(3), p-466-475, 2015. (doi)
  7. Thiele, E. & Fernandes, M. The macroeconomic determinanyts of the term structure of inflation expectation in Brazil. Brazilian Review of Econometric, v. 35(1), p. 3-22, 2015. (doi)
  8. Azevedo, L. F. P. & Valls Pereira, P. L. Testando o poder preditivo do VIX: uma aplicação do modelo de erro multiplicativo. Revista Brasileira de Finanças, v.13, p. 571-620, 2015. (pdf)
  9. FERNANDES, Marcelo ; MENDES, Eduardo F. ; SCAILLET, O. . Testing for symmetry and conditional symmetry using asymmetric kernels. Annals of the Institute of Statistical Mathematics, v. 67(4), p. 649-671, 2015. (doi) 
  10. HENNART, JEAN-FRANÇOIS ; SHENG, HSIA HUA ; PIMENTA, GUSTAVO . Local complementary inputs as drivers of entry mode choices: The case of US investments in Brazil. International Business Review, v. 24(3), p. 466-475, 2015. (doi)
  11. Sanvicente, A. Z. Relevância de Prêmio por Risco País no Custo de Capital das Empresas. RAC, Revista de Administração Contemporânea, v.19, p. 38-52, 2015. (doi)
  12. Sanvicente, A. Z. Price-Volume Relationship in the Brazilian Market, Stock Lending and Technical Analysis. Brazilian Review of Finance, v. 13(4 ), p. 643-662, 2015 (pdf)

 

2014

  1. BRESSER-PEREIRA, Luiz Carlos ; Araújo, Eliane ; Gala, Paulo . An empirical study of the substitution of foreign for domestic savings in Brazil. Economia, v. 15(1), p. 54-67, 2014. (doi)
  2. Bortoluzzo, A. B. ; GARCIA, M. P. S. ; BOEHE, D. M. ; SHENG, HSIA HUA . Desempenho de Fusões e Aquisições cross Border: Uma Análise Empírica do Caso Brasileiro. RAE, v. 54(6), p. 659-671, 2014 (doi)
  3. Carvalho, A. G.; Gallucci Neto, H. & Sampaio, J. O. Private Equity and Venture Capital in Brazil: an analysis of its evolution. Brazilian Review of Finance, v. 12(4), p. 499-515, 2014. (pdf)
  4. HENNART, JEAN-FRANÇOIS ; SHENG, HSIA HUA ; PIMENTA, GUSTAVO . Local complementary inputs as drivers of entry mode choices: The case of US investments in Brazil. International Business Review, v. 24(3), p. 466-475, 2015. (doi)
  5. SHENG, HSIA HUA ; PEREIRA, V. S. . Effects of Internationalization on Ownership Structure: Evidence from Latin American Firms. BAR. Brazilian Administration Review, v. 11, p. 323-339, 2014. (doi)
  6. SHENG, H. H. ; SILVA, W. M. . The Big Family: Informal Financing of Small- and Medium-Sized Businesses by Guanxi. Thunderbird International Business Review (Print), v. 56, p. 157-171, 2014. (pdf)
  7. FERNANDES, MAURICIO ; SHENG, HSIA ; Lora, Mayra . Securitization, Credit Rating and Issuers’ Characteristics. BBR. Brazilian Business Review, v. 11, p. 1-21, 2014. (doi)
  8. Marcal, Emerson Fernandes . Exchange Rate Misalignments, Interdependence, Crises, and Currency Wars: An Empirical Assessment.Revista Brasileira de Economia, v. 68(2), p. 243-2762014. (pdf)
  9. FERNANDES, Marcelo ; NUNES, Ricardo . Corporate debt securities from Brazilian firms: Shall one invest in the local or in the international market?. Brazilian Review of Econometrics, v. 34, p. 125-154, 2014. (pdf)
  10. COELHO, Danilo ; FERNANDES, Marcelo ; FOGUEL, Miguel N. . Foreign capital and gender differences in promotions: Evidence From a Large Brazilian Manufacturing Firms. Economía (Washington, D.C.), v.49(2) 2014. (pdf)
  11. SCHARTH, Marcel ; FERNANDES, Marcelo ; MEDEIROS, M. C. . Modeling and predicting the CBOE market volatility index. Journal of Banking & Finance, v.40, p. 1-10, 2014. (leading article) (doi)
  12. THROSTESEN, V. ; MARÇAL, E. F. ; FERRAZ, L. . Trade rules and exchange rate misalignment. Revista de Economia Política (Impresso), 2014.
  13. Marçal, E. F.; Valls Pereira, P. L. . Structural change in Brazilian term structure of interest rate: evidence based on Hansen´s cointegration models with structural break. São Paulo Journal of Mathematical Sciences, v. 8(2), p. 32-52, 2014. (pdf)
  14. FERNANDES, Marcelo ; SOUZA, V. F. . Voting premium in the Brazilian equity market. Brazilian Review of Econometrics, v. 34, p.79-96, 2014. (pdf)
  15. Barros, C. & Fernandes, M. Market depth at the BM&FBovespa. Brazilian Review of Econometrics, v. 34, p.25-44, 2014. (pdf)
  16. Sanvicente, A. Z. The Foreign Capital Flows and the Behavior of Stock Prices at BM&FBovespa. BAR, Brazilian Administration Review, v. 11 (1), p.86-106, 2014. (doi) 

2013 

  1. Arruda, B. P. de ., Valls Pereira, P. L. Analysis of the Volatility's Dependency Structure during the Subprime Crisis. Applied Economics, v. 45, p. 5031-5045, 2013. (pdf)
  2. Giacomoni, B.; Sheng, H. H., 2013, O impacto da liquidez nos retornos esperados das debêntures brasileiras. Revista de Administração (FEA-USP), vol. 48, p. 1-20, 2013. (pdf)
  3. Holland, M. Cardoso, E. China in South America: A trade-based analysis, Revista de Economia Política, (forthcoming). (pdf)
  4. Holland, M., Vieira, F. Gomes, C., Bottecchia, L. C. Growth and Exchange Rate Volatility: A Panel Data Analysis. Applied Economics, vol. 45, p. 3733-3741, 2013. (doi)
  5. LOPES, JOÃO LUIZ GUILLAUMON ; SCHIOZER, RAFAEL FELIPE ; SHENG, HSIA HUA . Hedge e especulação com derivativos cambiais: evidências de operações cotidianas. RAC. Revista de Administração Contemporânea, v. 17, p. 438-458, 2013. (doi)
  6. SHENG, HSIA HUA ; Bortoluzzo, A. B. ; SANTOS, G. A. P. . Impact of Trade Credit on Firm Inventory Investment During Financial Crisis: Evidence from Latin America. Emerging Markets Finance & Trade, v. 49, s4, p. 32-52, 2013. (doi)
  7. HOLLOWAY, PEDRO ; ROCHMAN, RICARDO ; LAES, MARCO . Factors Influencing Brazilian Value Investing Portfolios. Journal of Economics Finance and Administrative Science, v. 18, p. 18-22, 2013. (doi)
  8. Vieira, H. P. & Valls Pereira, P. L. . A Study of the Brazilian Business Cycles (1900-2012). Brazilian Review of Econometrics, v. 33, p. 123-143, 2013. (pdf) 

2012

  1. Thorstensen, V.; Marçal, E. F. & Ferraz, L. Exchange Rate Misalignments and International Trade Policy: impacts on tariffs. Journal of World Trade, v. 46(3), p. 597-634, 2012. (pdf)2365-2379.
  2. Bogea Sobrinho, L. R.; Sheng, H. H. & Lora, M. I. Country Factors and Dynamic Capital Structure in Latin American Firms. Revista Brasileira de Finanças, v. 10 (2), p. 267-284, 2012. (pdf)
  3. Corradi, V., Fernandes, M. Distaso, W.  International market links and volatility trasmission. Journal of Econometrics, v. 170: 117-141, 2012. (doi)
  4. Coutinho, J. R. R., Sheng, H. H., Lora, M. I.  The use of FX derivatives and the cost of capital - Evidence of Brazilian companies, Emerging Markets Review, 13: 411-423, 2012. (doi)
  5. Gala, P. S. O. S., Araújo, E. Regimes de crescimento econômico no Brasil: evidências empíricas e implicações de política. Estudos Avançados(USP), v. 26, p. 41-56, 2012. (pdf)
  6. Gala, P. S. O. S., Correa, M.  Câmbio real, poupança doméstica e poupança externa: análise teórica e evidências empíricas. Nova Economia, v. 21,p. 351-367, 2012. (pdf)
  7. Holland, M., Vieira, F. Resende, M. F. Financial dollarization and systemic risks: new empirical evidence. Journal of International Money and Finance, v. 31, p. 1695-1714, 2012. (doi)
  8. Piccioni, J. L., Sheng, H. H., Lora, M. I. Mutual fund managers stock preferences in Latin America. International Review of Financial Analysis, v. 24, p. 38-47, 2012. (doi)
  9. Simões, O. & Marçal, E. F. Agregação Temporal e Não Linearidade da Paridade de poder de Compra: testes para o Brasil e seus parceiros comerciais. Revista Brasileira de Economia,  v. 66, p. 375-399, 2012. (pdf)
  10. Rivera y Rivera, E. B. B.; Marçal, E. F.; Martin, D. M. L. & Basso, L. Present value model: price and dividens with constant and time varying expected returns: enterprise level brazilian stock market evidence from nonstationary panels. BBR, Brazilian Business Review, v. 9, p. 54-86, 2012. (doi)
  11. Fonseca, M. G. da S. & Valls Pereira, P. L. . Credit Shocks and Monetary Policy in Brazil; A Structural FAVAR Approach. Brazilian Review of Econometrics, v. 32, p.169-200, 2012. (pdf)
  12. FERNANDES, Marcelo ; PREUMONT, P.-Y. . The finite-sample size of the BDS test for GARCH residuals. Brazilian Review of Econometrics, v. 32(2) , 211-260, 2012. (pdf)

 

2011

  1. Barbosa, R.C.O. & Marçal, E. F. The impacts of information asymmetry in determining bank spreads. Revista de Gestão & Políticas Públicas, v. 1, p. 113-130, 2011. (pdf)
  2. Gonçalves Junior, W. Rochman, R. R., Eid Junior, W. Chalela, L. R. Estimando o prêmio de mercado brasileiro. Revista de Administração Contemporânea, v. 15, p. 931-954, 2011. (pdf)
  3. Holland, M.; Nunes, C. V. & Gomes, C. Sinalização de Política Monetária e Movimentos na Estrutura a Termo da Taxa de Juros no Brasil. Revista da ANPEC, v. 12, p. 71-90, 2011. (pdf)
  4. Lora, M. I. & Singer, J. M. Beta-binomial/gamma-Poisson regression models for repeated counts with random parameters. Revista Brasileira de Probabilidade e Estatística, v. 25, p. 218-235, 2011. (pdf)
  5. Marçal, E. F., Valls Pereira, P. L., Martin, D., Nakamura, W. Evaluation of Contagion or Interdependence in the Financial Crisis of Asia and Latin America Considering the Macroeconomic Fundamentals. Applied Economics, v. 43, p. 2365-2379, 2011. (doi)
  6. Pereira, E.A. & Marçal, E. F. Análise dos determinantes da oferta no setor de turismo: efeitos sobre o setor de transporte aéreo. Revista de Literatura dos Transportes, v. 5, p. 184-210, 2011 (pdf)
  7. Santos, R. P. de S., Valls Pereira, P. L. Modelando Contágio Financeiro através de Copulas. Revista Brasileira de Finanças, v. 9(3), p. 335-363, 2011. (pdf)
  8. Thorstensen, V.; Marçal, E. F. & Ferraz, L. Os efeitos do câmbio nas tarifas negociadas na OMC: os casos de Brasil, EUA e China. Política Externa (USP), v. 20, p. 95-111, 2011. (doi)
  9. Wink Junior, M. V. ; Valls Pereira, P. L. Modelling and Forecasting Realized Volatility: evidence from Brazil. Brazilian Review of Econometrics,v. 31(2), p. 315-337, 2011. (pdf)

 2010

  1. Costa, O. L. V., Maiali, A. C., Pinto, Afonso C.Sampled control for mean-variance hedging in a jump diffusion financial market. IEEE Transactions on Automatic Control, v. 55, p. 1704-1709, 2010. (doi)
  2. Holland, M. & Vieira, F. Crescimento Econômico e Liquidez Externa no Brasil. Revista de Economia Política, v. 30, p. 45-58, 2010. (pdf)
  3. Holland, M. & Yanaka, G. Basiléia II e a Exigência de Capital para Risco de Crédito de Bancos no Brasil. Revista Brasileira de Finanças, v. 8, p. 167-195, 2010. (pdf)
  4. Holland, M. & Palaia, D. Taxa de Câmbio e Paridade de Poder de Compra no Brasil: análise econométrica com quebra estrutural. Revista de Economia Aplicada, v. 14, p. 5-24, 2010. (pdf)
  5. Holland, M. & Mori. R. Dinâmica da inflação no Brasil e os efeitos globais. Revista de ANPEC, v. 11, p. 649-670, 2010. (pdf) 

2009

  1. Bacha, E.; Holland, M. & Gonçalves, F. A Panel-Data Analysis of Interest Rates and Dollarization in Brazil. Revista Brasileira de Economia,v. 63, p. 341-360, 2009. (doi)
  2. Boianain, P. G., Valls Pereira, P. L. Ombro-Cabeça-Ombro: Testando a Lucratividade do Padrão Gráfico de Análise Técnica no Mercado de Ações Brasileiro. Revista Brasileira de Finanças, v. 7(3), p. 265-303, 2009. (pdf)
  3. Holland, M.; Bacha, E. & Gonçalves, F.  Systemic Rsik, Dollarization and Interest Rates in Emerging Markets: a panel-based empirical approach. The World Bank Economic Review, v. 23, p. 101-117, 2009. (pdf)
  4. Holland, M.A crise financeira corrigiu a taxa de câmbio no Brasil?". Economia & Tecnologia, v. 16, p. 5-16, 2009. (pdf)
  5. Holland, M. & Bresser-Pereira, L. C. Common Currency and Economic Integration in Mercosur. Journal of Post Keynesian Economics, v. 32, p. 213-236, 2009. (doi)
  6. Holland, M. & Pillatti, C. Regimes Cambiais e Intervenções no Mercado de Câmbio: uma abordagem a partir da experiência brasileira. Revista Produção OnLine, v. IX, p. 361-382, 2009
  7. Holland, M. Por que os economistas erram e continuarão errando?Econômica (Niterói), v. 11, p. 61-78, 2009
  8. Lauretti, C. M., Kayo, E. K., Marçal, E. F.Sobre-Reação do Mercado à Informação Intangível. Revista Brasileira de Finanças, v. 7(2), p. 215-236, 2009. (pdf)
  9. Laurini, M. & Valls Pereira, P. L. Conditional stochastic kernel estimation by nonparametric methods. Economics Letters, v. 105, p. 234-238, 2009. (doi)

2008

  1. Baptista, R. F. de F. & Valls Pereira, P. L. Análise do Desempenho de Regras de Análise Técnica aplicada ao Mercado intradiário do Contrato Futuro do Índice Ibovespa. Revista Brasileira de Finanças, v. 6, p. 205-234, 2008. (pdf)
  2. GOMES, C. ; NUNES, C. V. . Uma Análise da Estratégia Nacional de Desenvolvimento da Malásia. Revista de Economia Política, v. 28, p. 1-2, 2008. (pdf)
  3. Hwang, S., Valls Pereira, P. L. The Effects of Structural Breaks in ARCH and GARCH Parameters on Persistence of GARCH Models, Communications in Statistics. Simulation and Computation, v. 37:571-578, 2008. (doi)   
  4. Marçal, E. F., Valls Pereira, P. L. Testing the Hypothesis of Contagion with Multivariate Volatility Models, Brazilian Review of Econometrics, 28(2):193-218, 2008. (pdf)

 

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