We study the case of mispricing in the odd lots equity market in Brazil. Contrary to expectation, odd lot investors are paying higher prices than round lot investors. The pricing difference between markets is affected by market returns, volatility and spreads. Our main hypothesis is that; once...

This paper analyzes the cause-effect relation between national milk supply and the price paid to Brazilian producers. It also seeks to model the expected returns on a monthly basis for the price of milk paid to producers in Brazil. Logarithmic returns of domestic supply and price of milk are...

Real Estate investments have been used to provide diversification without increasing portfolio risk, although direct real estate investment has several disadvantages, such as low liquidity and high transaction costs, and Real Estate Investment Trusts (REITs) are an alternative investment aim to...

The relationship between returns and risk factors are likely to vary depending on the investor's time horizon, but CAPM supposes homogenous expectations. A relatively new approach known as wavelet analysis may help to reduce that problem, incorporating different time scales. Taking advantage of...

Exchanged Traded Funds (ETFs) have become one of the largest investment opportunities today. They present special features that differentiate them from other investment funds, in which the most important are their traded shares. Their share prices are market oriented and are not necessarily...

Real Estate investments have been considered a good tool to provide diversification without increasing risk in a portfolio. Real Estate Investment Trusts (REITs) are a well-known investment alternative to many investors who want to invest in real estate minimizing the liquidity problem, since...

Using sectorial indices of the Brazilian market, we compare the portfolio optimization approach known as risk parity with minimum variance and equally weighted approaches. We apply various estimators for the covariance matrix to each portfolio strategy, since portfolio variance is considered as...