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Revista Brasileira de Finan？as

ISSN Print: 1679-0731

ISSN Online:

Website: http://www.sbfin.org.br/rbfin

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Quantitative Portfolio Optimization Techniques Applied to the Brazilian Stock Market

André Alves Portela Santos,Cristina Tessari

Country Factors and Dynamic Capital Structure in Latin American Firms

Leonel Rodrigues Bogéa Sobrinho,Hsia Hua Sheng,Mayra Ivanoff Lora

Opaqueness and Bank Risk Taking

Patrick Behr

Abnormal Returns in the Ibovespa Using Models for High-Frequency Data

Nelson Ferreira Fonseca,Wagner Moura Lamounier,Aureliano Angel Bressan

Raffle Risk Valuation in With-Raffle Savings Account

Eduardo Fraga Lima de Melo,Sergio Luis Franklin Jr.,César da Rocha Neves

Determinants of Transactions Costs in the Brazilian Stock Market

Antonio Zoratto Sanvicente

Mean Reversion with Drift and Real Options in Steel Industry

Luiz de Magalh？es Ozorio,Carlos de Lamare Bastian-Pinto,Tara Nanda Baidya,Luiz Eduardo Teixeira Brand？o

Measuring the Spread Components of Oil and Gas Companies from CDS

Juliano Ribeiro de Almeida,Guilherme Ribeiro de Almeida

A Hybrid Fuzzy GJR-GARCH Modeling Approach for Stock Market Volatility Forecasting

Leandro Maciel

Development of a Behavioral Performance Measure

Marcelo Cabus Klotzle,Leonardo Lima Gomes,Luiz Eduardo Teixeira Brand？o,Antonio Carlos Figueiredo Pinto

Editorial Report - 2011

Ricardo Pereira Camara Leal

Volatility Estimation and Forecasting During Crisis Periods: A Study Comparing GARCH Models with Semiparametric Additive Models

Douglas Gomes dos Santos,Flávio Augusto Ziegelmann

Corporate Governance and Information Incorporation Speed: Lead-Lag between the IGC and IBrX

José Carneiro da Cunha Oliveira Neto,Otávio Ribeiro de Medeiros,Thiago Bergmann de Queiroz

Financial Stability and Market Structure: International Evidence

Marcos Soares da Silva,José Angelo Divino

Risk Measures and Contagion Matrix: an Application of CoVaR for the Brazilian Financial Market

Aléssio Tony Cavalcanti de Almeida,Bruno Ferreira Frascaroli,Danilo Regis da Cunha

The Impact of Fiscal Policy on Emerging Markets Sovereign Spreads

Katia Rocha,Ajax Moreira

Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns

Pradosh Simlai

Latent Fundamentals Arbitrage with a Mixed Effects Factor Model

Andrei Salem Gon？alves,Robert Aldo Iquiapaz,Aureliano Angel Bressan

Evaluating Asset Pricing Models in a Simulated Multifactor Approach

Carlos Enrique Carrasco-Gutierrez,Wagner Piazza Gaglianone

Global Risk Evolution and Diversification: a Copula-DCC-GARCH Model Approach

Marcelo Brutti Righi,Paulo Sergio Ceretta

Employee Stock Options Plans and the Value of Brazilian Companies

Fernanda Finotti Cordeiro Perobelli,Bruno de Souza Lopes,Alexandre Di Miceli da Silveira

The Payout Decision-Making Process of Brazilian Listed Companies: A CFO Survey

Roberto Frota Decourt,Jairo Laser Procianoy

Structural Equation Modeling Applied to the Reaction to Stock Dividends and Stock Splits: integrating signaling, liquidity and optimal price level

Kelmara Mendes Vieira,Jo？o Luiz Becker

Giving Flexibility to the Nelson-Siegel Class of Term Structure Models

Rafael Barros de Rezende

Intraday volatility forecasting: analysis of alternative distributions

Paulo Sérgio Ceretta,Fernanda Galv？o de Barba,Kelmara Mendes Vieira,Fernando Casarin

Generating Interest Rate Stress Scenarios

Alan De Genaro Dario,Mariela Fernández

Returns Predictability and Stock Market Efficiency in Brazil

Regis Augusto Ely

Conditional CAPM in the Brazilian Market: a study of the Moment, Size and Book to Market effects between 1995 and 2008

Frederico Valle e Flister,Aureliano Angel Bressan,Hudson Fernandes Amaral

Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis

Gustavo Passarelli Giroud Joaquim,Marcelo Leite Moura

Central Bank Transparency and Financial Market: Evidence for the Brazilian Case

Helder Ferreira de Mendon？a,José Sim？o Filho

Reserves and Valuation using Multiples for Oil and Gas Companies

Eduardo Pontual Ribeiro,Luiz Teles Menezes Neto,Rosemarie Br？ker Bone

Corrigendum

Ricardo Pereira Camara Leal

The Supply of Trade Credit by Brazilian Publicly Traded Firms

Rafael Felipe Schiozer,Jo？o Alberto Peres Brando

Modeling Financial Contagion using Copula

Pedro Luiz Valls Pereira,Ricardo Pires de Souza Santos

Determinants of Success in Private Equity-Venture Capital Investments

Eduardo Madureira Rodrigues Siqueira,Antonio Gledson de Carvalho,Humberto Gallucci Netto

Asymmetry and Risk Premia in the Brazilian Term Structure of Interest Rates

Marcelo Ganem,Tara Keshar Nanda Baidya

Modeling House Pricing in the Real Estate Market of S o Paulo City

Denisard Cneio de Oliveira Alves,Joe Akira Yoshino,Paula Carvalho Pereda,Carla Jucá Amrein

Evidence of speculative bubbles on the BOVESPA: an application of the Kalman filter

Thiago Bergmann de Queiroz,Otávio Ribeiro de Medeiros,José Carneiro da Cunha Oliveira Neto

The Effects of Price Stabilization on Short-Term Returns of IPOs

Douglas Beserra Pinheiro,Antonio Gledson de Carvalho

Cost of Capital when Dividends are Deductible

Ignacio Velez-Pareja,Julian Benavides Franco

Editorial Report – 2010

Ricardo Pereira Camara Leal

Performance Convergence Analysis of Stock Exchanges: the Situation of the Ibovespa in the World Scenario

Paulo Rogério Faustino Matos,Christiano Modesto Penna,Maria Nazareth Landim

Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market

Márcio André Veras Machado,Otávio Ribeiro de Medeiros

Recovering Risk-Neutral Densities from Brazilian Interest Rate Options

José Renato Haas Ornelas,Marcelo Yoshio Takami

Short-Run Asset Selection using a Logistic Model

Walter Gon？alves Junior,Fábio Gallo Garcia,William Eid Junior,Luciana Ribeiro Chalela

Small Worlds and Board Interlocking in Brazil: A Longitudinal Study of Corporate Networks, 1997-2007

Wesley Mendes-da-Silva

Equity Valuation and Accounting Numbers: Applying Zhang (2000) and Zhang and Chen (2007) models to Brazilian Market

Fernando Caio Galdi,Rodrigo Falco Lopes

Hedge Effectiveness in the Brazilian US Dollar Futures Market

Marcelo Cabus Klotzle,Antonio Carlos Figueiredo Pinto,Mario Domingues Sim？es,Leonardo Lima Gomes

Accounting and Economic Rates of Return: A Dynamic Econometric Investigation

Rodrigo M. Zeidan,Marcelo Resende

An Application of the Real Options Method to the Valuation of a License to Operate 3G Mobile Phone Service in Brazil.

Rafael Stille,Celso F. Lemme,Luiz Eduardo T. Brand？o

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