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Session 1: Derivatives I
July 19, 2018 10:45 to 12:45 |
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| Session Chair:
Gabriela Mosmann, Universidade Federal do Rio Grande do Su |
| Session type: contributed |
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| Model risk adjusted risk forecasting |
| presented by: Fernanda Müller, Universidade Federal do Rio Grande do Sul |
Discussant: Gabriela Mosmann, Universidade Federal do Rio Grande do Su
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| Comparando Modelos DCC Para a Estimação da Taxa Ótima de Hedge |
| presented by: Wagner Monteiro, |
Discussant: Stefan Lee,
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| Axiomatic systemic risk measures forecasting |
| presented by: Gabriela Mosmann, Universidade Federal do Rio Grande do Su |
Discussant: Fernanda Müller, Universidade Federal do Rio Grande do Sul
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| Cross-hedging exchange rate risk with commodity futures in Brazil |
| presented by: Stefan Lee, |
Discussant: Wagner Monteiro,
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Session 2: Corporate Finance I
July 19, 2018 10:45 to 12:45
Sala 433-C |
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| Session Chair:
Antônio Sanvicente, Fundação Getulio Vargas |
| Session type: contributed |
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| Is the capital structure stable in Brazil? |
| presented by: Pâmela Tristão, Universidade Federal de Santa Maria |
Discussant: Antônio Sanvicente, Fundação Getulio Vargas
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| CAPITAL STRUCTURE DETERMINANTS OF PRIVATE AND PUBLIC FIRMS IN BRAZIL: A PANEL DATA QUANTILE REGRESSION ANALYSIS |
| presented by: Antônio Sanvicente, Fundação Getulio Vargas |
Discussant: Pâmela Tristão, Universidade Federal de Santa Maria
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| Efeitos da Intermediação Financeira na Estrutura de Capital das Empresas |
| presented by: Erika Burkowski, UFF |
Discussant: Verônica Santana, Universidade de São Paulo
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| The role of Ibovespa membership on financial statements’ conditional conservatism |
| presented by: Verônica Santana, Universidade de São Paulo |
Discussant: Erika Burkowski, UFF
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Session 3: Investments I (English)
July 19, 2018 10:45 to 12:45
Sala 431-C |
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| Session Chair:
Fernando Chague, Getulio Vargas Foundation |
| Session type: contributed |
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| Investor characteristics and the disposition effect |
| presented by: Mariana Oreng, FGV EAESP |
Discussant: Bruno Giovannetti, Sao Paulo School of Economics - FGV
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| Individuals Neglect the Informational Role of Prices: Evidence from the Stock Market |
| presented by: Bruno Giovannetti, Sao Paulo School of Economics - FGV |
Discussant: Ruy Ribeiro, Pontifical Catholic University
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| Pre-FOMC Announcement Relief |
| presented by: Ruy Ribeiro, Pontifical Catholic University |
Discussant: Fernando Chague, Getulio Vargas Foundation
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| Tax-inattentive retail investors |
| presented by: Fernando Chague, Getulio Vargas Foundation |
Discussant: Mariana Oreng, FGV EAESP
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Session 4: Econometrics and Numerical Methods I
July 19, 2018 10:45 to 12:45
Sala 531-C |
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| Session Chair:
Fernando S. da Silva, Universidade Federal do Rio Grande do Sul |
| Session type: contributed |
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| Is bitcoin a bubble? |
| presented by: Pedro Chaim, FEARP-USP |
Discussant: Andrea Ugolini, Universidade do Estado do Rio de Janeiro
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| Big Data, Machine Learning e Text Mining em Economia: Estudos Recentes e Análise de Sentimento do BACEN |
| presented by: Fernando S. da Silva, Universidade Federal do Rio Grande do Sul |
Discussant: Natália Zaniboni, Universidade de São Paulo
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| Twitter sentiment impact on renewable energy stocks |
| presented by: Andrea Ugolini, Universidade do Estado do Rio de Janeiro |
Discussant: Pedro Chaim, FEARP-USP
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| MODELO PARA TESTE DE ESTRESSE DO SISTEMA FINANCEIRO NO BRASIL |
| presented by: Natália Zaniboni, Universidade de São Paulo |
Discussant: Fernando S. da Silva, Universidade Federal do Rio Grande do Sul
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Session 5: Corporate Finance II
July 19, 2018 10:45 to 12:45
Sala 532-C |
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| Session Chair:
Rodrigo Henrique Olivares, Insper |
| Session type: contributed |
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| Remuneração de Ativos Totalmente Depreciados e Obrigações Especiais em Transmissão de Energia Elétrica no Brasil |
| presented by: Paulo Coutinho, Universidade de Brasilia |
Discussant: Alberto Granzotto, UFSM
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| Private Equity Funds and Acquisition Multiples in the BRIC |
| presented by: Rodrigo Henrique Olivares, Insper |
Discussant: Layla Mendes, FGV
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| DELISTING IN BRAZILIAN COMPANIES WITH ADRS |
| presented by: Alberto Granzotto, UFSM |
Discussant: Paulo Coutinho, Universidade de Brasilia
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| Profit Status of Microfinance Institutions and Incentives for Earnings Management |
| presented by: Layla Mendes, FGV |
Discussant: Rodrigo Henrique Olivares, Insper
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Session 6: Derivatives II
July 19, 2018 16:30 to 18:30 |
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| Session Chair:
Allan da Silva, Laboratório Nacional de Computação Cient |
| Session type: contributed |
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| Evaluation of agricultural futures prices term structure: Analysis of corn futures of CME Group using integrated nested Laplace approximations – INLA |
| presented by: Felipe de Oliveira, UFPB |
Discussant: Marlon Moresco, Federal University of Rio Grande do Sul
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| Approximations of correlated CIR processes and applications in finance |
| presented by: Allan da Silva, Laboratório Nacional de Computação Cient |
Discussant: Felipe de Oliveira, UFPB
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| Acceptance Sets for Deviations |
| presented by: Marlon Moresco, Federal University of Rio Grande do Sul |
Discussant: Allan da Silva, Laboratório Nacional de Computação Cient
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Session 7: Corporate Finance III
July 19, 2018 16:30 to 18:30
Sala 433-C |
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| Session Chair:
Verônica Santana, Universidade de São Paulo |
| Session type: contributed |
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| Do opaque financial reports increase future crash risk? Comparing empirical models in the U.S. and Brazilian markets |
| presented by: Verônica Santana, Universidade de São Paulo |
Discussant: Vagner Machado,
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| As complexidades linguísticas das narrativas das demonstrações contábeis: uma análise baseada nas características de inteligibilidade |
| presented by: João Antônio Salvador de Souza, UFSC |
Discussant: Verônica Santana, Universidade de São Paulo
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| DO THE LARGEST CORPORATIONS DISCLOSE LESS INFORMATION BECAUSE THEY HAVE MORE PRIVATE BENEFITS? |
| presented by: Vagner Machado, |
Discussant: Cassia Silva, Universidade Federal de Goiás
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| O VALOR DA EMPRESA, A CONCENTRAÇÃO DE PROPRIEDADE E O CUSTO DA DÍVIDA NOS MERCADOS EMERGENTES: UMA EVIDÊNCIA DOS BRICS |
| presented by: Cassia Silva, Universidade Federal de Goiás |
Discussant: João Antônio Salvador de Souza, UFSC
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Session 8: Econometrics and Numerical Methods II (English)
July 19, 2018 16:30 to 18:30
Sala 431-C |
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| Session Chair:
Juan Arismendi Zambrano, University of Reading |
| Session type: contributed |
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| Searching the Factor Zoo |
| presented by: Alexandre Rubesam, IÉSEG School of Management |
Discussant: Juan Arismendi Zambrano, University of Reading
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| Equity Risk Premium Predictability from Cross-Sectoral Downturns |
| [slides] |
| presented by: Juan Arismendi Zambrano, University of Reading |
Discussant: Daniel Tabak, Universidade Federal Rio Grande do Sul
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| A new approach for modelling dependence regime switch: an application to European market financial indexes |
| presented by: Daniel Tabak, Universidade Federal Rio Grande do Sul |
Discussant: Alexandre Rubesam, IÉSEG School of Management
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Session 9: Investments II
July 19, 2018 16:30 to 18:30
Sala 531-C |
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| Session Chair:
Vinicius Brandi, Banco Central do Brasil |
| Session type: contributed |
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| Short-term predictability of stock market indexes following large drawdowns and drawups |
| presented by: Vinicius Brandi, Banco Central do Brasil |
Discussant: Gustavo Xavier, Federal University of Paraiba
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| O Efeito Momentum no mercado acionário brasileiro e a Incerteza Política Econômica. |
| presented by: Gustavo Xavier, Federal University of Paraiba |
Discussant: Fernando S. da Silva, Universidade Federal do Rio Grande do Sul
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| Pairs Trading: Optimizing via Mixed Copula versus Distance Method for S&P 500 Assets |
| presented by: Fernando S. da Silva, Universidade Federal do Rio Grande do Sul |
Discussant: Vinicius Brandi, Banco Central do Brasil
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Session 10: Corporate Finance IV
July 19, 2018 16:30 to 18:30
Sala 532-C |
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| Session Chair:
Jefferson Colombo, Fundação de Economia e Estatística (FEE) |
| Session type: contributed |
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| Financial constraints, collateral prices, and corporate investment: evidence from Brazil |
| presented by: Jefferson Colombo, Fundação de Economia e Estatística (FEE) |
Discussant: ALINE PELLICANI,
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| Family control, pyramidal ownership and financial constraint on investment decisions: Evidence from an Emerging Economy |
| presented by: ALINE PELLICANI, |
Discussant: Henrique Martins, PUC-Rio / IAG
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| Creditor Protection, Ownership Concentration and Risk-Taking: A Brazilian Bankruptcy Law Experiment |
| presented by: Henrique Martins, PUC-Rio / IAG |
Discussant: Jefferson Colombo, Fundação de Economia e Estatística (FEE)
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Session 11: Econometrics and Numerical Methods III
July 19, 2018 16:30 to 18:30
Sala 533-C |
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| Session Chair:
Benjamin Tabak, FGV |
| Session type: contributed |
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| New Credibility Indexes for the Central Bank of Brazil using Kalman Filter: Exploring Signals of Inflation Anchoring in the Long-Term* |
| presented by: Fernando Oliveira, Central Bank of Brazil and IBMEC/RJ |
Discussant: Rodolfo Moura, FEARP-USP
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| Spillovers and jumps in global markets: a comparative analysis |
| presented by: Rodolfo Moura, FEARP-USP |
Discussant: Benjamin Tabak, FGV
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| Interconnectedness, Firm Resilience and Monetary Policy |
| presented by: Benjamin Tabak, FGV |
Discussant: Fernando Oliveira, Central Bank of Brazil and IBMEC/RJ
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Session 12: Econometrics and Numerical Methods IV (English)
July 20, 2018 13:45 to 15:45 |
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| Session Chair:
Hedibert Lopes, insper |
| Session type: contributed |
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| DYNAMIC SPARSITY ON DYNAMIC REGRESSION MODELS |
| presented by: Hedibert Lopes, insper |
Discussant: Ruy Ribeiro, Pontifical Catholic University
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| Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage |
| presented by: Ruy Ribeiro, Pontifical Catholic University |
Discussant: Hedibert Lopes, insper
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| Robust Portfolio Optimization with Multivariate Copulas: A Worst-Case CVaR Approach |
| presented by: Fernando S. da Silva, Universidade Federal do Rio Grande do Sul |
Discussant: Yaohao Peng, University of Brasilia
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| Kernel Principal Component Analysis and Random Matrix Theory in Portfolio Selection |
| presented by: Yaohao Peng, University of Brasilia |
Discussant: Fernando S. da Silva, Universidade Federal do Rio Grande do Sul
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Session 13: Corporate Finance V (English)
July 20, 2018 13:45 to 15:45
Sala 433-C |
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| Session Chair:
Neyla Tardin, Fucape Business School |
| Session type: contributed |
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| Dodd-Franking bigger banks |
| presented by: Neyla Tardin, Fucape Business School |
Discussant: Filipe Correia, University of Illinois
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| Do Minority Acquisitions Relieve Financial Constraints? |
| presented by: Lucas Macoris, University of São Paulo |
Discussant: Fernando Oliveira, Central Bank of Brazil and IBMEC/RJ
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| Does Paycheck Frequency Matter for Households’ Decisions? Evidence from Financial Account Data |
| presented by: Filipe Correia, University of Illinois |
Discussant: Neyla Tardin, Fucape Business School
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| Investment of Firms in Brazil: Do Financial Restrictions, Unexpected Monetary Shocks and BNDES Play Important Roles? |
| presented by: Fernando Oliveira, Central Bank of Brazil and IBMEC/RJ |
Discussant: Lucas Macoris, University of São Paulo
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Session 14: Investments III
July 20, 2018 13:45 to 15:45
Sala 431-C |
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| Session Chair:
Henrique Ramos, UFRGS |
| Session type: contributed |
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| MEASURING THE EFFECTS OF THE BRAZILIAN DEVELOPMENT BANK LOANS ON INVESTMENT USING LARGE BAYESIAN VARS |
| presented by: Gabriel Vasconcelos, PUC-Rio |
Discussant: Henrique Ramos, UFRGS
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| Opacity, risk, performance and inflows in hedge funds |
| presented by: Flávia Januzzi, Universidade Federal de Juiz de Fora |
Discussant: Rodrigo Leite, Rio de Janeiro State University
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| Proper liquidity measures |
| presented by: Henrique Ramos, UFRGS |
Discussant: Gabriel Vasconcelos, PUC-Rio
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| Grace Periods Offers in Loan Contracts under Adverse Selection |
| presented by: Rodrigo Leite, Rio de Janeiro State University |
Discussant: Flávia Januzzi, Universidade Federal de Juiz de Fora
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Session 15: Derivatives III
July 20, 2018 13:45 to 15:45
Sala 531-C |
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| Session Chair:
Marisa Costa, Universidade Presbiteriana Mackenzie |
| Session type: contributed |
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| DETERMINANTS OF BRAZIL’S COUNTRY RISK LEVEL: AN AUTOMATED MODEL SELECTION APPROACH |
| presented by: Marisa Costa, Universidade Presbiteriana Mackenzie |
Discussant: Luisa Mendonça, BSM
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| Detection and Analysis of Occurrences of Spoofing in the Brazilian Capital Market |
| presented by: Luisa Mendonça, BSM |
Discussant: Marisa Costa, Universidade Presbiteriana Mackenzie
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| Apreçamento de Credit Default Swaps sobre Emissor Corporativo no Brasil e Oportunidades de Arbitragem |
| presented by: Guilherme Candido, EESP-FGV |
Discussant: Gilberto Androvandi, BACEN
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| Inovação Financeira e Risco Moral: o caso dos DPGE |
| presented by: Gilberto Androvandi, BACEN |
Discussant: Guilherme Candido, EESP-FGV
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Session 16: Corporate Finance VI (English)
July 20, 2018 13:45 to 15:45
Sala 532-C |
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| Session Chair:
Luiz Moura, Fundação Getúlio Vargas |
| Session type: contributed |
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| THE DISCIPLINING EFFECT: HOW CAN BOARD LOSE POWER AFTER SUDDEN DEATHS OF CEOs? |
| [slides] |
| presented by: Luiz Moura, Fundação Getúlio Vargas |
Discussant: Guilherme Freitas Cardoso, Universidade Federal de Uberlândia
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| Board Structure and Financial Distress in Brazilian Firms |
| presented by: Guilherme Freitas Cardoso, Universidade Federal de Uberlândia |
Discussant: Cristiano Costa, Unisinos
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| Does control concentration affect board structure? International evidence |
| [slides] |
| presented by: Cristiano Costa, Unisinos |
Discussant: Henrique Vianna, Insper - Inst. of Education and Research
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| REMUNERAÇÃO E PERFORMANCE DAS EMPRESAS: TODOS OS EXECUTIVOS SE COMPORTAM IGUAL? UM ESTUDO PARA EMPRESAS DE CAPITAL ABERTO NO BRASIL |
| presented by: Henrique Vianna, Insper - Inst. of Education and Research |
Discussant: Luiz Moura, Fundação Getúlio Vargas
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Session 17: Investments V
July 21, 2018 9:30 to 11:30 |
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| Session Chair:
Pedro Valls Pereira, Sao Paulo School of Economics - FGV |
| Session type: contributed |
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| What is the utility function of the Brazilian investor? |
| presented by: Juliana Tessari, USP |
Discussant: Pedro Valls Pereira, Sao Paulo School of Economics - FGV
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| Análise empírica dos modelos CAPM e OCAPM para os mercados brasileiro e americano |
| presented by: Carlos Henrique Castro, Universidade do Estado do Rio de Janeiro |
Discussant: Daniel Henrique Bun, Insper
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| Estimação do Prêmio de Liquidez no Mercado Acionário Brasileiro |
| presented by: Daniel Henrique Bun, Insper |
Discussant: Carlos Henrique Castro, Universidade do Estado do Rio de Janeiro
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| Notícias e precificação de ativos |
| presented by: Pedro Valls Pereira, Sao Paulo School of Economics - FGV |
Discussant: Juliana Tessari, USP
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Session 18: Investments VI
July 21, 2018 9:30 to 11:30
Sala 433-C |
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| Session Chair:
Flávia Januzzi, Universidade Federal de Juiz de Fora |
| Session type: contributed |
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| The Finance-Growth Nexus: The role of banks |
| presented by: MARCELA LAIZ, |
Discussant: RODRIGO KAPPEL, UNISINOS / GEFIC
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| DECISÃO DE INVESTIMENTO: EFEITOS DA RESTRIÇÃO FINANCEIRA E DAS CRISES ECONÔMICAS |
| [slides] |
| presented by: RODRIGO KAPPEL, UNISINOS / GEFIC |
Discussant: Flávia Januzzi, Universidade Federal de Juiz de Fora
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| The use of derivatives and the risk-taking behavior of hedge fund managers: evidence from Brazil |
| presented by: Flávia Januzzi, Universidade Federal de Juiz de Fora |
Discussant: MARCELA LAIZ,
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Session 19: Corporate Finance VII
July 21, 2018 9:30 to 11:30
Sala 431-C |
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| Session Chair:
Raquel Oliveira, BCB; FECAP |
| Session type: contributed |
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| Intervenção estatal no mercado de crédito: o papel dos bancos públicos e do crédito direcionado na crise de 2008 |
| presented by: Raquel Oliveira, BCB; FECAP |
Discussant: Arthur Moretão,
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| CORPORATE SOCIAL RESPONSIBILITY AND CASH HOLDINGS IN BRAZILIAN COMPANIES |
| presented by: Arthur Moretão, |
Discussant: Raquel Oliveira, BCB; FECAP
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Session 20: Derivatives IV (English)
July 21, 2018 9:30 to 11:30
Sala 531-C |
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| Session Chair:
Frederico Mourad, Fundação Getulio Vargas |
| Session type: contributed |
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| Prêmio de Risco, Risco e Efeito Contágio de Bancos |
| presented by: João Gabriel Souza, University of Brasília |
Discussant: Marcelo Bego, UNIVERSIDADE ESTADUAL DE LONDRINA - UEL
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| Bank risk, bank bailouts and sovereign capacity during a financial crisis: a cross-country analysis |
| presented by: Frederico Mourad, Fundação Getulio Vargas |
Discussant: João Gabriel Souza, University of Brasília
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| The Profitable Farmer Hedging Puzzle |
| presented by: Marcelo Bego, UNIVERSIDADE ESTADUAL DE LONDRINA - UEL |
Discussant: Frederico Mourad, Fundação Getulio Vargas
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Session 21: Econometrics and Numerical Methods V
July 21, 2018 9:30 to 11:30
Sala 532-C |
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| Session Chair:
João Caldeira, Universidade Federal do Rio Grande do Sul |
| Session type: contributed |
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| Index-Tracking Portfolios and Long-Short Statistical Arbitrage Strategies: A Lasso Based Approach |
| presented by: João Caldeira, Universidade Federal do Rio Grande do Sul |
Discussant: Fernando Oliveira, Central Bank of Brazil and IBMEC/RJ
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| New Evidence on the Effectiveness of Interventions in the Foreign Exchange Market in Brazil |
| presented by: Fernando Oliveira, Central Bank of Brazil and IBMEC/RJ |
Discussant: Vitor Rocio, FEARP-USP
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| Assessing the Contribution of GARCH-type Models with Realized Measures to B3 Stocks Allocation |
| presented by: Tainan Boff, |
Discussant: João Caldeira, Universidade Federal do Rio Grande do Sul
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| Um modelo espaço-temporal contínuo para o preço de lançamentos imobiliários na cidade de São Paulo |
| presented by: Vitor Rocio, FEARP-USP |
Discussant: Tainan Boff,
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