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Revista Brasileira de Finan？as

ISSN Print: 1679-0731

ISSN Online:

主页: http://www.sbfin.org.br/rbfin

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Annual Editorial Report - 2007

Ricardo Pereira Camara Leal

Financial links between the stock market and the debt securities market

Francisco Eduardo de Luna e Almeida Santos

The Relevance of the Bank Lending Channel in Brazil

Fernando Nascimento de Oliveira,Renato da Motta Andrade Neto

Determining the Optimum Level of Diversification of Home Broker Investors

Fernando Nascimento de Oliveira,Eduardo Lana de Paula

"Contagion" between the emerging and developed capital markets: empirical evidence and reflections on the international portfolio diversification

Else Monteiro Nogueira,Wagner Moura Lamounier

The Influence of Corporate Relationships Networks on the Performance of Firms in the Novo Mercado of BOVESPA

Wesley Mendes-da-Silva,Luciano Rossoni,Diógenes Leiva Martin,Roy Martelanc

A Polynomial Term Structure Model with Macroeconomic Variables

Felipe Pinheiro,Caio Ibsen Rodrigues de Almeida,José Valentim Vicente

Forecasting Exchange Rate Density Using Parametric Models: the Case of Brazil

Marcos Massaki Abe,Eui Jung Chang,Benjamin Miranda Tabak

Cash flow at risk: different estimation methods tested in the Brazilian steel industry

Fernanda Finotti Cordeiro Perobelli,Flávia Vital Januzzi,Leandro Josias Sathler Berbet,Danilo Soares de Medeiros

Does Idiosyncratic Risk Matter in the Brazilian Capital Market?

Fernando Caio Galdi,José Roberto Securato

Is there a relationship between accounting and stock market returns in Brazil?

Newton Carneiro Affonso da Costa Jr.,Roberto Meurer,César Medeiros Cupertino

On the Statistical Validation of Technical Analysis

Giuliano Lorenzoni,Adrian Pizzinga,Rodrigo Atherino,Cristiano Fernandes

The Use of Currency Derivatives by Brazilian Companies: An Empirical Investigation

José Luiz Rossi Júnior

Genetic Algorithms for Development of New Financial Products

Eder Oliveira Abensur

Modelling conversion options with a mean reversion motion

Carlos L. Bastian-Pinto,Luiz E. T. Brand？o

Board interlocking in Brazil: Director participation in multiple companies and its effect on the value of firms

Rafael Liza Santos,Alexandre Di Miceli da Silveira

The Market Reaction to Changes in the Brazilian Stock Exchange Indexes

Jairo Laser Procianoy,Rodrigo S. Verdi

Application of Compound Options in the Evaluation of American Puts

José Ferreira Marinho Junior,Mauro Antonio Rincon

Dynamic Value at Risk: A Comparative Study Between Heteroscedastic Models and Monte Carlo Simulation

Marcos Roberto Gois de Oliveira,Charles Ulises de Montreuil Carmona,José Lamartine Távora Junior

Bookbuilding and Strategic Allocation: Evidence from the Brazilian Stock Market

Richard Saito,José André C. M. Pereira

Foreign Capital Flow and the Ibovespa Performance

Roberto Meurer

Foreign Exchange Rate Futures Trends: Foreign Exchange Risk or Systematic Forecasting Errors?

Daniel Chrity,Márcio G. P. Garcia,Marcelo Cunha Medeiros

Modeling and Forecasting the Volatility of Brazilian Asset Returns: a Realized Variance Approach

Marcelo C. Carvalho,Marco Aurélio S. Freire,Marcelo Cunha Medeiros,Leonardo R. Souza

Pricing Volatility Referenced Assets

Alan De Genaro Dario

Corporate Attributes, Corporate Governance Quality, and the Value of Public Brazilian Companies

Alexandre Di Miceli da Silveira,Lucas Ayres B. de C. Barros,Rubens Famá

Internal Model Validation in Brazil: Analysis of VaR Backtesting Methodologies

Alan Cosme Rodrigues da Silva,Claudio Henrique da Silveira Barbedo,Gustavo Silva Araújo,Myrian Beatriz Eiras das Neves

Measuring the Influence of the US Market over Observed Interdependencies in Latin America

Alba Regina Moretti,Beatriz Vaz de Melo Mendes

Non-Linear Transaction Costs Inclusion in Mean-Variance Optimization

José Euclides de Melo Ferraz,Christian Johannes Zimmer

Debt Structure of Public Brazilian Companies: an Empirical Study

Cláudio R. Lucinda,Richard Saito

Modeling the Interest Rate Term Structure: Derivatives Contracts Dynamics and Evaluation

Cícero Augusto Vieira Neto,Pedro L. Valls Pereira

Evaluation of Foreign Exchange Risk Capital Requirement Models

Claudio H. da S. Barbedo,Gustavo S. Araújo,Jo？o Maurício S. Moreira,Ricardo S. Maia Clemente

Computing Conditional VaR using Time-varying CopulasComputing Conditional VaR using Time-varying Copulas

Beatriz Vaz de Melo Mendes

Corporate Governance Index, Firm Valuation and Performance in Brazil

André Luiz Carvalhal da Silva,Ricardo Pereira Camara Leal

A Multi-Period Mean-Variance Portfolio Selection Problem

Oswaldo Luiz do Valle Costa,Rodrigo de Barros Nabholz

A Real Option Model with Uncertain, Sequential Investment and with Time to Build

Guilherme B. Martins,Marcos Eugênio da Silva

An Essay on the Foreign Exchange Rate Expectations in Brazil

Wagner Piazza Gaglianone,Ana Luiza Louzada Pereira

Estimating Risk and Return Combinations for New Derivatives Funds

Ney Roberto Ottoni de Brito,Alexandre Bona,Affonso Tarciro, Jr.

Implicit Volatility versus Statistical Volatility: an Exercise Using Options and Telemar S.A. Stock

Jo？o Gabe,Marcelo Savino Portugal

Ratio Versus Regression Analysis: Some Empirical Evidence in Brazil

José Paulo de Lucca Ramos,Newton Carneiro Affonso da Costa Jr.

The Uncovered Interest Parity in the Foreign Exchange (FX) Markets

Joe Akira Yoshino,Silvio Ricardo Micheloto

Apre ando Derivativos de Crédito no Brasil Credit Derivatives Pricing in Brazil

Jorge C. Kapotas,Pedro Paulo Schirmer,Marcelo M. Taddeo

Forward Volatility Contract Pricing in the Brazilian Market

Jorge C. Kapotas,Pedro Paulo Schirmer,Sandro Magalh？es Manteiga

Heston Model Calibration in the Brazilian Foreign Exchange (FX) Options Market

Marcelo Nóbrega da Costa,Joe Akira Yoshino

Assessing Drawdown-at-Risk in Brazilian Real Foreign Exchange Rates

Vinicius Ratton Brandi,Beatriz Vaz de Melo Mendes

Stock Return Predictability at Bovespa: a Test Involving the Expected Return Factor Model

Luciano Martin Rostagno,Gilberto de Oliveira Kloeckner,Jo？o Luiz Becker

Determining an Efficient Frontier in a Stochastic Moment Setting

Christian Johannes Zimmer,Beat Matthias Niederhauser

Bidding Strategies in Brazilian Treasury Auctions

Anderson Caputo Silva

Performance Evaluation and Market Timing: the Skill Index

Ney Roberto Otoni de Brito

The Dynamics of the Option-Adjusted Spread of Brady Bond Securities

Franklin de O. Gon？alves,Luiz Otavio Cal？ba

Decentralized Portfolio Management

Paulo Coutinho,Benjamin Miranda Tabak

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