The Duan Options Pricing Model is an alternative to the Black & Scholes Model (B&S), but considers the heteroskedasticity and the non-normality of the asset-returns. This study analyzes the performance and the characteristics of this model when applied to the Brazilian market, specifically on...

This paper develops a demand model for bank loans with a two-step decision process. In the first step, the agent chooses the financial institution from which she would like to borrow. In the second step, conditioned in the first decision, the agent chooses the desired amount of the loan. The...

The importance of risk management has been highlighted by the series of disasters related to the application of derivatives and by the common sense in needing to cover these operations with capital allocation. However, not much agreement exists concerning the methods for calculating the capital...

This study analyzes the adverse selection cost component embedded in the spreads of Brazilian stocks. We show that it is higher than in the U.S. market and presents an intraday U-shape pattern (i.e., it is higher at the beginning and at the end of the day). In addition, we investigate the...

This paper aims to compare the interest rates charged by credit unions and banks (commercial and multiple) in order to check whether there are differences between the rates charged for loans without personal assignment and the effects of this difference in interest rates charged by banks in...

The 2007-2009 global financial crisis has highlighted the need for a review of the practices of banking supervision. The trend of the post-crisis is a macro-prudential regulation in order to smooth out economic cycles and mitigate systemic risk. Accordingly, Adrian & Brunnermeier (2011) propose...

This study proposes a new methodology called Canonical FAVAR that incorporates the canonical correlation analysis in the estimation of two-step FAVAR models to obtain more appropriate factors for forecasting. The canonical correlation technique identifies a small number of linear combinations of...

The aim of this study is to examine whether investors who trade daily but at different times have distinct perceptions about the risk of an asset. In order to capture the uncertainty faced by these investors, we define the volatility perceived by investors as the distribution of standard...

This article develops leading indicators based on the cross-section of stock returns. The underlying assumption is that any information about future states of nature must be reflected in current stock prices. Three indicators are proposed: the approach employed by Allen et al. (2012), an...

This work aims to verify whether the information asymmetry embedded in the spread helps to explain the difference in returns between value and growth portfolios. Additionally, we tested whether the volatility of portfolios is related to this component. Thus, we incorporate a market...