发布求助
文献互助 智能选刊 最新文献

Brazilian Review of Finance最新文献

筛选
英文 中文
Mecanismo de transmissão da política monetária: Canal de tomada de risco na economia brasileira (2000-2019) 货币政策传导机制:巴西经济的风险承担渠道(2000-2019年)
Brazilian Review of Finance Pub Date : 2022-09-11 DOI: 10.12660/rbfin.v20n3.2022.84912
Felipe Vieira Passos, Paulo Roberto Amorim Loureiro
{"title":"Mecanismo de transmissão da política monetária: Canal de tomada de risco na economia brasileira (2000-2019)","authors":"Felipe Vieira Passos, Paulo Roberto Amorim Loureiro","doi":"10.12660/rbfin.v20n3.2022.84912","DOIUrl":"https://doi.org/10.12660/rbfin.v20n3.2022.84912","url":null,"abstract":"\u0000Este trabalho busca apresentar uma contribuição sobre o canal de tomada de risco da política monetária, ao analisar se o ambiente de redução das taxas de juros aumentou o comportamento de assunção de riscos bancários. Utilizou-se 2.722 observações anuais do banco de dados do COSIF no período de 2000-2019, e não se encontrou uma predominante relação negativa entre taxas de juros e tomada de risco, medida por ativos de risco e empréstimos inadimplentes. Contrariamente, existe uma pequena relação positiva entre empréstimos inadimplentes e taxas de juros. Nas estimações, empregou-se ainda características dos balanços e demonstração de resultados com variáveis de tamanho, capitalização, lucratividade e eficiência, a variação do PIB – para a heterogeneidade em condições macroeconômicas –, e uma variável para a crise financeira em 2008-2009. Os resultados são robustos para uma série de especificações diferentes que levam em consideração a potencial endogeneidade das taxas de juros e/ou a dinâmica do risco bancário.\u0000","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"81 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-09-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128398267","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The wisdom of crowds in forecasting at high-frequency for multiple time horizons: A case study of the Brazilian retail sales 人群在多时间范围高频预测中的智慧:巴西零售销售的案例研究
Brazilian Review of Finance Pub Date : 2022-06-19 DOI: 10.12660/rbfin.v20n2.2022.85016
G. Lopes
{"title":"The wisdom of crowds in forecasting at high-frequency for multiple time horizons: A case study of the Brazilian retail sales","authors":"G. Lopes","doi":"10.12660/rbfin.v20n2.2022.85016","DOIUrl":"https://doi.org/10.12660/rbfin.v20n2.2022.85016","url":null,"abstract":"\u0000This case study compares the forecasting accuracy obtained for four daily Brazilian retail sales indexes at four time prediction horizons. The performance of traditional time series forecasting models, artificial neural network architectures and machine learning algorithms were compared in other to evaluate the existence of a single best performing model. Afterwards, ensemble methods were added to model comparison to verify if accuracy improvement could be obtained. Evidence found in this case study suggests that a consistent forecasting strategy exists for the Brazilian retail indexes by applying both seasonality treatment for holidays and calendar effects and by using an ensemble method which main inputs are the predictions of all models with calendar variables. This strategy was consistent across all 16 index and time horizon combinations since ensemble methods either outperformed the best single models or there were no statistical difference from them in a Diebold-Mariano's test.\u0000","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"6 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121151253","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
Impacts of the Monetary Policy Committee decisions on the foreign exchange rate in Brazil 货币政策委员会的决定对巴西汇率的影响
Brazilian Review of Finance Pub Date : 2022-06-19 DOI: 10.12660/rbfin.v20n2.2022.84946
José Valentim Machado Vicente, Jaqueline Terra Moura Marins, Wagner Piazza Gaglianone
{"title":"Impacts of the Monetary Policy Committee decisions on the foreign exchange rate in Brazil","authors":"José Valentim Machado Vicente, Jaqueline Terra Moura Marins, Wagner Piazza Gaglianone","doi":"10.12660/rbfin.v20n2.2022.84946","DOIUrl":"https://doi.org/10.12660/rbfin.v20n2.2022.84946","url":null,"abstract":"\u0000The purpose of this paper is to measure the impact of interest rate decisions of the Monetary Policy Committee (MPC) on foreign exchange (FX) rate in Brazil. Two new daily measures of interest rate surprises are proposed using market and survey data. The results indicate a significant effect of MPC's decisions on FX returns. In particular, the surprise variable based on market data is statistically significant to explain FX returns and has a negative sign, as expected (a positive surprise implies an appreciation of the domestic currency). Moreover, this effect is symmetric, in terms of positive or negative surprises, and does not depend on the level of Selic interest rate. Nonetheless, the surprise variable is not significant to explain FX returns in recent years, under a single-digit interest rate regime. Robustness exercises—using GARCH models or including FX market official intervention series as additional controls—corroborate the previous findings.\u0000","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"126 ","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120875707","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
What drives the release of material facts for Brazilian stocks? 是什么推动了巴西股市重要事实的公布?
Brazilian Review of Finance Pub Date : 2022-06-19 DOI: 10.12660/rbfin.v20n2.2022.85378
Marcos Henrique Reichert, M. Perlin
{"title":"What drives the release of material facts for Brazilian stocks?","authors":"Marcos Henrique Reichert, M. Perlin","doi":"10.12660/rbfin.v20n2.2022.85378","DOIUrl":"https://doi.org/10.12660/rbfin.v20n2.2022.85378","url":null,"abstract":"\u0000In this study we look at the determinants of material facts (Fatos Relevantes) in the Brazilian Market. Following local legislation, material facts should be released to the public right after its occurrence, and preferably, after trading time. We investigate the randomness of the release of material facts—and release strategies by executives—and test whether there is a particular time period where more or fewer material facts are published. We also investigate whether the content of the material fact—positive or negative sentiment—explains different strategies regarding the release of news to the market. Lastly, using Vector Auto Regressions, we test for a feedback effect between material facts and the financial data, that is, if material facts publishing drives the returns, volume and volatility and vice versa. Finally, our results show that volume, volatility and returns (to a lesser extent) are determinants for material facts publishing and material facts.\u0000","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"65 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120999800","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Blockholders and firm value: Evidence from Brazil 大股东和公司价值:来自巴西的证据
Brazilian Review of Finance Pub Date : 2022-06-19 DOI: 10.12660/rbfin.v20n2.2022.83645
Bruno Brasil Lombello, H. Martins, M. Klotzle
{"title":"Blockholders and firm value: Evidence from Brazil","authors":"Bruno Brasil Lombello, H. Martins, M. Klotzle","doi":"10.12660/rbfin.v20n2.2022.83645","DOIUrl":"https://doi.org/10.12660/rbfin.v20n2.2022.83645","url":null,"abstract":"\u0000This research analyzes the relationship between the presence of blockholders and the value of Brazilian firms. Our analysis comprises all non-financial listed firms in Brazil with data available in the period 2010-2019 (i.e., 1,091 firm-year observations). We estimate Ordinary Least Squares (OLS) models with firm fixed effects and use Propensity Score Matching (PSM) to pair sub-samples and mitigate selection bias concerns. Our results suggest a negative association between Tobin's Q and the presence of blockholders. Our findings contradict previous studies using samples of international firms but corroborate previous studies using Brazilian firms. We also find that companies with blockholders of the family-type have Tobin's Q lower than the other types.\u0000","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"88 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-06-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129704915","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Can extreme returns predict the cross-section of expected returns in the Brazilian market? 极端收益能否预测巴西市场预期收益的横截面?
Brazilian Review of Finance Pub Date : 2022-04-09 DOI: 10.12660/rbfin.v20n1.2022.84384
Naielly Lopes Marques, M. Klotzle, Antonio Carlos Figueiredo Pinto, Paulo Vitor Jordão da Gama Silva
{"title":"Can extreme returns predict the cross-section of expected returns in the Brazilian market?","authors":"Naielly Lopes Marques, M. Klotzle, Antonio Carlos Figueiredo Pinto, Paulo Vitor Jordão da Gama Silva","doi":"10.12660/rbfin.v20n1.2022.84384","DOIUrl":"https://doi.org/10.12660/rbfin.v20n1.2022.84384","url":null,"abstract":"\u0000This article extends the evidence of maximum (MAX) and minimum (MIN) daily return effects on stock performance to the Brazilian market. Our sample includes data on daily and monthly stock returns of the firms listed on the Brazilian stock exchange between January 2001 and December 2018. To test whether extreme returns can predict the cross-section of expected returns, we perform univariate and bivariate portfolio analyses and the Fama-MacBeth regression. The results suggest a negative (positive) relationship between MAX (MIN) and the cross-section of future stock returns, which supports the hypothesis that idiosyncratic lottery-like payoffs are priced in equilibrium. This work is of interest to investors seeking insight into how to analyze high-risk and reward opportunities in the Brazilian stock market.\u0000","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127445084","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Equilibrium real interest rates in Brazil: Convergence at last, but not quite 巴西均衡实际利率:最终趋同，但并非完全趋同
Brazilian Review of Finance Pub Date : 2022-04-09 DOI: 10.12660/rbfin.v20n1.2022.82751
Marcelo Fonseca, Marcelo Kfoury Muinhos, E. Schulz
{"title":"Equilibrium real interest rates in Brazil: Convergence at last, but not quite","authors":"Marcelo Fonseca, Marcelo Kfoury Muinhos, E. Schulz","doi":"10.12660/rbfin.v20n1.2022.82751","DOIUrl":"https://doi.org/10.12660/rbfin.v20n1.2022.82751","url":null,"abstract":"\u0000Real interest rates in Brazil converged to zero in 2020, but increased again in 2021. This paper aims to measure the equilibrium interest rate to assess the stance of monetary policy. We calculate this latent variable using different methodologies, including a version of Laubach and Williams (2003) with fiscal and credit variables. Based on this approach, the long-run equilibrium rate is in the range of 2-4%, depending on the output gap and risk scenario. Our sensitivity analysis shows that results change slightly in different scenarios of Brazil risk premium and US interest rate. Since 2019, the effective real rate is significantly below the neutral rate and slightly below the Taylor rate, indicating an expansionary monetary policy, but since 2021 is back in a contractionary mode.\u0000","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132439451","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The predictability of cross-sectional returns in high frequency 高频横截面收益的可预测性
Brazilian Review of Finance Pub Date : 2022-04-09 DOI: 10.12660/rbfin.v20n1.2022.84399
Y. Wang
{"title":"The predictability of cross-sectional returns in high frequency","authors":"Y. Wang","doi":"10.12660/rbfin.v20n1.2022.84399","DOIUrl":"https://doi.org/10.12660/rbfin.v20n1.2022.84399","url":null,"abstract":"\u0000Stock return forecast is of great importance to trading, hedging, and portfolio management. In this article, we apply LASSO and random forest to make rolling one-minute-ahead return forecasts of Dow Jones stocks, using the cross-section of lagged returns of S&P 500 components as candidate predictors. Although the number of candidate variables is large, the negative out-of-sample R2 suggests that the predictions from LASSO and random forest give larger mean-squared error than the historical average. So, there is no evidence of predictability in the cross-sectional returns of large stocks in high frequency. The predictability presented by Chinco et al. (2019) might be due to the interaction between large and small stocks.\u0000","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"103 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117343030","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Functional data analysis for Brazilian term structure of interest rate curves 巴西利率曲线期限结构的函数数据分析
Brazilian Review of Finance Pub Date : 2022-04-09 DOI: 10.12660/rbfin.v20n1.2022.81401
Lucélia Viviane Vaz, Rodrigo Jardim Raad
{"title":"Functional data analysis for Brazilian term structure of interest rate curves","authors":"Lucélia Viviane Vaz, Rodrigo Jardim Raad","doi":"10.12660/rbfin.v20n1.2022.81401","DOIUrl":"https://doi.org/10.12660/rbfin.v20n1.2022.81401","url":null,"abstract":"The term structure of the interest rate is a crucial tool to underline the decision-making process of several agents: investors, regulators, and risk managers. The data that form the basis of empirical/theoretical studies are particular observations of a function [representing the term structure of the interest rate for each instant of time]. Most of the studies in the literature do not take into account that the data are discretizations of functions. And, therefore, they do not incorporate information that reflects important aspects of the data, such as the smoothness characteristics of the curves. In this work, we propose the use of a set of techniques known by functional data analysis to describe the sources of variability of the interest curves. We also estimate functional linear regression models, where the covariates are some macroeconomic variables.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"137 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124670066","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Reddit as a prediction tool for crypto-assets Reddit作为加密资产的预测工具
Brazilian Review of Finance Pub Date : 2022-04-09 DOI: 10.12660/rbfin.v20n1.2022.83888
Luis Antonio Loredo Camou
{"title":"Reddit as a prediction tool for crypto-assets","authors":"Luis Antonio Loredo Camou","doi":"10.12660/rbfin.v20n1.2022.83888","DOIUrl":"https://doi.org/10.12660/rbfin.v20n1.2022.83888","url":null,"abstract":"\u0000Cryptocurrencies, such as Bitcoin and Ethereum, have recently become a conversation topic among the general population. This paper will explore the information available in Reddit regarding crypto assets. Unlike other social platforms, Reddit allows analyzing the general population sentiment while conveniently organizing information by topic. We study the benefit of sentiment variables derived from Reddit's crypto forums to forecast volatilities and returns. While volatility forecasts seem to benefit from Reddit sentiment variables consistently, results are not statistically different from a benchmark. In contrast, returns present mixed forecasting results but show statistical differences from the proposed benchmark. We also offer evidence that the Reddit variables gain importance in market-wide and asset-specific events.\u0000","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"254 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2022-04-09","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116237588","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
首页 上一页 下一页 尾页
0
×
引用
GB/T 7714-2015
复制
MLA
复制
APA
复制
导出至
BibTeX EndNote RefMan NoteFirst NoteExpress
×
提示
您的信息不完整，为了账户安全，请先补充。
现在去补充
×
提示
您因"违规操作"
具体请查看互助需知
我知道了
×
提示
现在去查看 取消
×
提示
确定
请完成安全验证×
相关产品
×
本文献相关产品
联系我们：info@booksci.cn Book学术提供免费学术资源搜索服务，方便国内外学者检索中英文文献。致力于提供最便捷和优质的服务体验。 Copyright © 2023 布克学术 All rights reserved.
京ICP备2023020795号-1
ghs 京公网安备 11010802042870号
Book学术文献互助
Book学术文献互助群
群 号：604180095
Book学术官方微信