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Session 1: Corporate Finance I
July 20, 2017 10:45 to 12:45
B-103 |
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| Session Chair:
Paulo Terra, FGV-EAESP |
| Session type: contributed |
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| The Tag Along concern for the Shareholders and Firm’s Wealth |
| presented by: Cristiano Forti, Universidade Federal de Uberlandia |
Discussant: Joelson Sampaio, USP
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| Dotcom Price Spiral |
| [slides] |
| presented by: Joelson Sampaio, USP |
Discussant: Paulo Terra, FGV-EAESP
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| Estrutura de Capital e Mecanismos Externos de Governança: uma Análise Multipaís |
| presented by: Paulo Terra, FGV-EAESP |
Discussant: Cristiano Forti, Universidade Federal de Uberlandia
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Session 2: Econometric and Numerical Methods I
July 20, 2017 10:45 to 12:45
B-104 |
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| Session Chair:
Carlos Carrasco-Gutierrez, Universidade Católica de Brasília |
| Session type: contributed |
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| Estratégias de Investimento em Portfólios em Períodos de Incerteza no Mercado Financeiro |
| presented by: Andre Oliveira, São Paulo School of Economics and CEQEF |
Discussant: Pedro Chaim, FEARP-USP
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| Foreign Exchange Expectation Errors and Filtration Enlargements |
| presented by: Pedro Chaim, FEARP-USP |
Discussant: Leandro Maciel, Universidade Federal do Rio de Janeiro
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| Financial interval time series forecasting and forecast combination: Empirical evidence for US and Brazilian stock markets |
| presented by: Leandro Maciel, Universidade Federal do Rio de Janeiro |
Discussant: Carlos Carrasco-Gutierrez, Universidade Católica de Brasília
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| Evaluating the Performance of Common-Factor Portfolios |
| presented by: Carlos Carrasco-Gutierrez, Universidade Católica de Brasília |
Discussant: Andre Oliveira, São Paulo School of Economics and CEQEF
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Session 3: Investments II
July 20, 2017 10:45 to 12:45
B-105 |
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| Session Chair:
Gustavo Araujo, Banco Central do Brasil |
| Session type: contributed |
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| Análise de desempenho da integração entre otimização de portfólio e estratégias da análise técnica no mercado de ações brasileiro. |
| presented by: Bruno Barroso, CEFET MG |
Discussant: Valéria Saturnino, Universidade Federal de Pernambuco - UFPE
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| Overreaction no Brasil de 1996 a 2015: Explicações Fundamentalistas e Comportamentais. |
| presented by: Valéria Saturnino, Universidade Federal de Pernambuco - UFPE |
Discussant: Fernando Sabino da Silva, Universidade Federal do Rio Grande do Sul
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| Performance of Pairs Trading on the S&P 500: Distance and Copula-GARCH models |
| presented by: Fernando Sabino da Silva, Universidade Federal do Rio Grande do Sul |
Discussant: Gustavo Araujo, Banco Central do Brasil
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| DOES INVESTOR ATTENTION AFFECT TRADING VOLUME IN THE BRAZILIAN STOCK MARKET? |
| presented by: Gustavo Araujo, Banco Central do Brasil |
Discussant: Bruno Barroso, CEFET MG
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Session 4: Investments I (English)
July 20, 2017 10:45 to 12:45
B-102 |
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| Session Chair:
Marco Bonomo, Insper |
| Session type: contributed |
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| Sentiment, Electoral Uncertainty and Stock Returns |
| presented by: Eduardo Zilberman, Pontifícia Universidade Católica do Ri |
Discussant: Fernando Chague, University of Sao Paulo
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| Uncovering Skilled Short-sellers |
| presented by: Fernando Chague, University of Sao Paulo |
Discussant: Ruy Ribeiro, Pontifical Catholic University
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| Gambling, Risk Appetite and Asset Pricing |
| presented by: Ruy Ribeiro, Pontifical Catholic University |
Discussant: Marco Bonomo, Insper
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| Loan Fee Dispersion and the Cross-Section of Returns |
| presented by: Marco Bonomo, Insper |
Discussant: Eduardo Zilberman, Pontifícia Universidade Católica do Ri
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Session 5: Invited Session
July 20, 2017 14:15 to 16:00
Auditório São Francisco de Assis |
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| Session type: invited |
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Session 6: Corporate Finance II (English)
July 20, 2017 16:30 to 18:30
B-102 |
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| Session Chair:
Rogerio Mazali, Catholic University of Brasilia |
| Session type: contributed |
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| Access to Credit and Financial Health: Evaluating the Impact of Debt Collection |
| presented by: Julia Fonseca, Princeton University |
Discussant: Marco Bonomo, Insper
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| The Impact of Government-Driven Loans in the Monetary Transmission Mechanism: what can we learn from firm-level data? |
| presented by: Marco Bonomo, Insper |
Discussant: Lars Norden, Getulio Vargas Foundation
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| Informational Synergies in Consumer Credit |
| presented by: Lars Norden, Getulio Vargas Foundation |
Discussant: Rogerio Mazali, Catholic University of Brasilia
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| The Role of Commitment in the Financing of Status Goods Production |
| presented by: Rogerio Mazali, Catholic University of Brasilia |
Discussant: Julia Fonseca, Princeton University
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Session 7: Investments III
July 20, 2017 16:30 to 18:30
B-103 |
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| Session Chair:
Sabrina Silva, CEPEAD/UFMG |
| Session type: contributed |
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| Decisões de investimento e dinâmicas do market share num duopólio sob incerteza e irreversibilidade |
| presented by: Yaohao Peng, University of Brasilia |
Discussant: Luís Nunes, Univerdade Federal de Santa catarina
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| SWITCH AND DEFER OPTION IN RENEWABLE ENERGY PROJECTS |
| presented by: Luís Nunes, Univerdade Federal de Santa catarina |
Discussant: Sabrina Silva, CEPEAD/UFMG
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| A taxa de administração sinaliza a performance dos fundos de ações? |
| presented by: Sabrina Silva, CEPEAD/UFMG |
Discussant: Yaohao Peng, University of Brasilia
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Session 8: Investments IV
July 20, 2017 16:30 to 18:30
B-104 |
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| Session Chair:
Jose Ornelas, Banco Central do Brasil |
| Session type: contributed |
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| Reações a Choques Macroeconômicos no Brasil: Quando a Arbitragem é Eficaz ou Limitada? |
| presented by: Valéria Saturnino, Universidade Federal de Pernambuco - UFPE |
Discussant: Lucas Mariani, University of North Carolina
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| Do political shocks threaten sovereign spreads? Evidence from Emerging Markets. |
| presented by: Lucas Mariani, University of North Carolina |
Discussant: Gustavo Araujo, Banco Central do Brasil
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| Estimação da Inflação Implícita de Curto Prazo |
| presented by: Gustavo Araujo, Banco Central do Brasil |
Discussant: Jose Ornelas, Banco Central do Brasil
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| Risco, Dívida e Alavancagem Soberana |
| presented by: Jose Ornelas, Banco Central do Brasil |
Discussant: Valéria Saturnino, Universidade Federal de Pernambuco - UFPE
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Session 9: Econmetrics and Numerical Methods II
July 20, 2017 16:30 to 18:30
B-105 |
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| Session Chair:
Adriano Faria, Fundação Getúlio Vargas/ EPGE |
| Session type: contributed |
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| The Predictive Power of Forward Rates |
| presented by: Emanuelle Smaniotto, UFRGS |
Discussant: Diego Brandão, Getulio Vargas Foundation
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| Estimation of Misspecified Asset Pricing Models with Multiple Entropic Estimators |
| presented by: Diego Brandão, Getulio Vargas Foundation |
Discussant: Filipe Stona, UFRGS
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| The yield curve dynamics in a small emerging economy and its interactions |
| presented by: Filipe Stona, UFRGS |
Discussant: Adriano Faria, Fundação Getúlio Vargas/ EPGE
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| A Hybrid Spline-Based Parametric Model for the Real Yield Curve |
| presented by: Adriano Faria, Fundação Getúlio Vargas/ EPGE |
Discussant: Emanuelle Smaniotto, UFRGS
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Session 10: Derivatives and Risk I
July 20, 2017 16:30 to 18:30
B-108 |
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| Session Chair:
Fernanda Müller, Universidade Federal do Rio Grande do Sul |
| Session type: contributed |
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| Pricing Path-Dependent Derivatives in Fixed Income Markets: a New Approach |
| presented by: JUAN BLADIMIRO Otazú, LNCC |
Discussant: Wilton Silva, UFPE
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| Regressão Quantílica e VaR: Uma Aplicação de Quantis Condicionais Extremos para os Retornos Relativos ao IBOVESPA e Petrobrás |
| presented by: Wilton Silva, UFPE |
Discussant: Fernanda Müller, Universidade Federal do Rio Grande do Sul
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| Numerical comparison of multivariate models to forecasting risk measures |
| presented by: Fernanda Müller, Universidade Federal do Rio Grande do Sul |
Discussant: JUAN BLADIMIRO Otazú, LNCC
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Session 11: Investments V (English)
July 21, 2017 13:45 to 15:45
B-102 |
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| Session Chair:
Luiz Moura, Fundação Getúlio Vargas |
| Session type: contributed |
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| International Capital Flows and IFRS Adoption |
| presented by: Verônica Santana, Universidade de São Paulo |
Discussant: Yaohao Peng, University of Brasilia
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| A new look upon the Meese-Rogoff puzzle based on Support Vector Regression. |
| presented by: Yaohao Peng, University of Brasilia |
Discussant: Luiz Moura, Fundação Getúlio Vargas
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| Does transparency pay off? Evidence from stock market segment switches |
| presented by: Luiz Moura, Fundação Getúlio Vargas |
Discussant: Lucas Carvalho Ribeiro,
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| Adaptação do Modelo de Cinco-Fatores de Precificação de Ativos de Fama & French: Uma Análise para o Mercado de Ações Brasileiro |
| presented by: Lucas Carvalho Ribeiro, |
Discussant: Verônica Santana, Universidade de São Paulo
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Session 12: Derivatives and Risk II (English)
July 21, 2017 13:45 to 15:45
B-108 |
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| Session Chair:
Caio Almeida, Getulio Vargas Foundation |
| Session type: contributed |
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| Modelo HJM Multifatorial com Processo de Difusão com Jumps Aplicado ao Mercado Brasileiro |
| presented by: Laszlo Lueska, Fundação Getulio Vargas |
Discussant: Danilo Lopomo Beteto Wegner, Australian Institute of Business
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| Market liquidity and financial fragility. |
| presented by: Danilo Lopomo Beteto Wegner, Australian Institute of Business |
Discussant: Paulo Rosa, UnB
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| The Agent Rationality inside the Doom Loop of Sovereign Debt: an Agent-Based Model Simulation of Systemic Risk Emergence Process |
| presented by: Paulo Rosa, UnB |
Discussant: Caio Almeida, Getulio Vargas Foundation
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| Tail risk exposures of hedge funds in Brazil |
| presented by: Caio Almeida, Getulio Vargas Foundation |
Discussant: Laszlo Lueska, Fundação Getulio Vargas
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Session 13: Corporate Finance III
July 21, 2017 13:45 to 15:45
B-103 |
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| Session Chair:
Joelson Sampaio, USP |
| Session type: contributed |
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| AN ANALYSIS OF THE RELATIONSHIP BETWEEN MANAGEMENT COMPENSATION AND PERFORMANCE IN CRISIS |
| presented by: Debora Rodrigues, Universidade Federal de Uberlândia |
Discussant: Filipe Andrade, EAESP-FGV
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| A Natureza das Práticas de Governança Corporativa no Brasil |
| presented by: Filipe Andrade, EAESP-FGV |
Discussant: Jucyara da Silva, Universidade Federal de Pernambuco
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| EVIDÊNCIAS DA PESQUISA CIENTÍFICA EM FINANÇAS NO PERÍODO 2010 A 2015 |
| presented by: Jucyara da Silva, Universidade Federal de Pernambuco |
Discussant: Joelson Sampaio, USP
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| Dotcom Bubble Underpricing |
| [slides] |
| presented by: Joelson Sampaio, USP |
Discussant: Debora Rodrigues, Universidade Federal de Uberlândia
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Session 14: Investments VI
July 21, 2017 13:45 to 15:45
B-104 |
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| Session Chair:
Rodrigo Leite, Rio de Janeiro State University |
| Session type: contributed |
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| A importância da transparência do Banco Central na determinação das notas de crédito soberano: uma evidência empírica para as notas da agência S&P |
| presented by: Diego Pacheco, |
Discussant: Marcelo Guzella, FEA USP
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| Avaliação do grau de atenção dos investidores individuais como indutor de volatilidade adicional no mercado brasileiro de ações |
| presented by: Marcelo Guzella, FEA USP |
Discussant: Eduardo Brunaldi, FEA USP
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| Does the Nature of Large Projects Affect the Financing Decisions over the Investment Period? |
| presented by: Eduardo Brunaldi, FEA USP |
Discussant: Rodrigo Leite, Rio de Janeiro State University
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| Microfinance for Women: Are There Economical Reasons? Evidence from Latin America |
| presented by: Rodrigo Leite, Rio de Janeiro State University |
Discussant: Diego Pacheco,
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Session 15: Econometrics and Numerical Methods III
July 21, 2017 13:45 to 15:45
B-105 |
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| Session Chair:
Julio Silva Junior, Unochapecó |
| Session type: contributed |
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| Probabilidade de Informação Privilegiada Estimada por Inferência Bayesiana |
| presented by: Leonardo Bosque, University of Brasilia |
Discussant: Diego Brandão, Getulio Vargas Foundation
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| Measuring Long Run Risks for Brazil |
| presented by: Diego Brandão, Getulio Vargas Foundation |
Discussant: Felipe Cavalcanti, Banco do Brasil
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| DETERMINANTES DO SPREAD BANCÁRIO NO BRASIL E OS IMPACTOS DO ACORDO DE BASILEIA III |
| presented by: Felipe Cavalcanti, Banco do Brasil |
Discussant: Julio Silva Junior, Unochapecó
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| Dependência entre commodities de alimentos e petróleo: uma avaliação por meio de cópulas não paramétricas |
| presented by: Julio Silva Junior, Unochapecó |
Discussant: Leonardo Bosque, University of Brasilia
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Session 16: Econometrics and Numerical Methods IV (English)
July 22, 2017 8:30 to 10:30
B-102 |
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| Session type: contributed |
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| Forecasting High Frequency Volatility: A study of the Bitcoin Market using Support Vector Regression |
| presented by: Yaohao Peng, University of Brasilia |
Discussant: Alberto Ronchi Neto, Catholic University of Brasilia
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| MEASURING THE NEUTRAL REAL INTEREST RATE IN BRAZIL: A JOIN ESTIMATION WITH POTENTIAL OUTPUT, NAIRU AND NAICU |
| presented by: Alberto Ronchi Neto, Catholic University of Brasilia |
Discussant: Nidhaleddine Ben Cheikh, ESSCA School of Management
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| A Panel Smooth Transition Model for the Exchange Rate Pass-Through: New Evidence from the New EU Member States |
| presented by: Nidhaleddine Ben Cheikh, ESSCA School of Management |
Discussant: Victor Duarte, MIT
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| Macro, Finance, and Macro Finance: Solving Non-linear Models in Continuous Time with Approximate Dynamic Programming |
| presented by: Victor Duarte, MIT |
Discussant: Yaohao Peng, University of Brasilia
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Session 17: Derivatives and Risk III
July 22, 2017 8:30 to 10:30
B-103 |
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| Session Chair:
Luiz Araújo, Brazilian Defence Ministry |
| Session type: contributed |
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| High Frequency Tail Risk |
| presented by: Caio Almeida, Getulio Vargas Foundation |
Discussant: Filipe Stona, UFRGS
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| Indicadores Compostos da Instabilidade Financeira no Brasil |
| presented by: Filipe Stona, UFRGS |
Discussant: Cristina Yamanari, Ministry of Finance of Brazil
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| Determinants of sovereign ratings: estimating according to rating agencies' criteria |
| presented by: Cristina Yamanari, Ministry of Finance of Brazil |
Discussant: Luiz Araújo, Brazilian Defence Ministry
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| REPUTATIONAL RISK MEASUREMENT: BRAZILIAN BANKS |
| presented by: Luiz Araújo, Brazilian Defence Ministry |
Discussant: Caio Almeida, Getulio Vargas Foundation
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Session 18: Investments VII (English)
July 22, 2017 8:30 to 10:30
B-108 |
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| Session Chair:
Andre Silva, Universidade Nova de Lisboa |
| Session type: contributed |
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| Optimal Asset Allocation: How Many Miles are we From the Promised Gains? |
| presented by: Pedro Engel, Getulio Vargas Foundation |
Discussant: Ruy Ribeiro, Pontifical Catholic University
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| Term Structure(s) of Equity Risk Premia |
| presented by: Ruy Ribeiro, Pontifical Catholic University |
Discussant: Hugo Ramirez, Universidad del Rosario
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| Hedge Funds Management with Liquidity Constraint |
| presented by: Hugo Ramirez, Universidad del Rosario |
Discussant: Andre Silva, Universidade Nova de Lisboa
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| Government Financing with Taxes or Inflation |
| presented by: Andre Silva, Universidade Nova de Lisboa |
Discussant: Pedro Engel, Getulio Vargas Foundation
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Session 19: Econometrics and Numerical Methods V
July 22, 2017 8:30 to 10:30
B-104 |
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| Session Chair:
Fernando Vinhado, Banco do Brasil S.A |
| Session type: contributed |
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| Worst Case Copula-CVaR Performance based on Distance selection criterion |
| presented by: Fernando Sabino da Silva, Universidade Federal do Rio Grande do Sul |
Discussant: Jefferson Colombo, Fundação de Economia e Estatística (FEE)
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| Do Foreign Portfolio Capital Flows Affect Domestic Investment? Evidence from Brazil |
| presented by: Jefferson Colombo, Fundação de Economia e Estatística (FEE) |
Discussant: Fernando Vinhado, Banco do Brasil S.A
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| POLÍTICA MONETÁRIA, MACROPRUDENCIAL E BANCOS: ANÁLISE DA TRANSMISSÃO POR MEIO DE UM MODELO DSGE |
| presented by: Fernando Vinhado, Banco do Brasil S.A |
Discussant: Fernando Sabino da Silva, Universidade Federal do Rio Grande do Sul
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Session 20: Derivatives and Risk IV
July 22, 2017 8:30 to 10:30
B-105 |
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| Session Chair:
Estevão Junior, Laboratório Nacional de Computação Científica |
| Session type: contributed |
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| VALUATION OF MULTI-ASSET BARRIER OPTIONS |
| presented by: Estevão Junior, Laboratório Nacional de Computação Científica |
Discussant: Layla Mendes, FGV
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| On the Propensity to Issue Contingent Convertible (CoCo) Bonds |
| presented by: Layla Mendes, FGV |
Discussant: Felipe de Oliveira, UFPB
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| VOLATILITY TRANSMISSION MODELLING USING MGARCH-BEKK, DCC, t-COPULAS: WHICH INFORMATION MATTERS TO MARKET RISK SPREADING IN BRAZIL? |
| presented by: Felipe de Oliveira, UFPB |
Discussant: Estevão Junior, Laboratório Nacional de Computação Científica
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