Purpose: This study aims to formulate a mechanism design in the derivatives market, summarizing a framework to set up the Brazilian electricity futures market. Design/methodology/approach: This exploratory study formulates a mechanism design in the derivatives market, summarizing a framework to...

This paper fills a very important gap in the literature with a straightforward methodology that generalizes the classic Modigliani and Miller results and provides correct values for the expected return on equity and for the weighted average cost of capital (WACC). After some confusing debate in...

I provide a solution for evaluating non-conventional projects, firstly showing that the well-known modified internal rate of return does not answer correctly what investors want to measure. Even if one correctly uses the net present value criterion for capital budgeting, I show that it fails for...

This paper aimed to investigate the impact of levels of selectivity on the performance of equity funds using a methodology applied for the first time ever in the Brazilian market. As an indicator of the activity level of a fund, we proposed the coefficient of determination (R2) of the regression...

This paper aims at predicting the volatility term structure of a given asset. The model is based on the GARCH modeling of the asset's volatility, from which the term structure is derived. We test if the model is able to accommodate the term structure response to volatility shocks. Using data...

We analyze the impact of two leading international commodity indices (Bloomberg Commodity Index and S&P Goldman Sachs Commodity Index) on a Brazilian portfolio composed of stock index, government bond index, and inflation- linked government bond index. Our results show that international...