Working papers

"Information leakage from short sellers" (with F. Chague and B. Herskovic), Revise and Resubmit at the Journal of Finance

"The overpricing of popular high-risk stocks"  (with F. Chague and B. Guimarães), Revise and Resubmit at the Review of Asset Pricing Studies

"Counting pennies, losing pounds: biased learning about own trading ability" (with F. Chague,  B. Guimaraes, and B. Maciel)

"Familiarity breeds day trade"   (with F. Chague  and G. Paiva), submitted

"Structured retail products: risk-sharing or risk-creation?"   (with O. Bitu and B. Guimarães), submitted - The 1,847 SRPs

Publications

"Attention and biases: evidence from tax-inattentive investors"  (with J. Birru, F. Chague, and R. De-Losso), Management Science, 2024

"Price transparency in OTC equity lending markets: evidence from a loan fee benchmark" (with F. Cereda, F. Chague, R. De-Losso, and A. Genaro),  Journal of Financial Economics, 2022

"US risk-premia under emerging markets constraints" (with E. Cavalcante, F. Chague and R. De-Losso),  Journal of Empirical Finance, 2022 

"The short-selling skill of institutions and individuals" (with F. Chague and R. De-Losso),  Journal of Banking and Finance, 2019 (Internet appendix)

"Well-connected short-sellers pay lower loan fees: a market-wide analysis" (with F. Chague, R. De-Losso, and A. Genaro),  Journal of Financial Economics, 2017

"Short-sellers: informed but restricted" (with F. Chague, R. De-Losso, and A. Genaro), Journal of International Money and Finance, 2014

"Asset pricing under quantile utility maximization", Review of Financial Economics, 2013

"Nonlinear forecasting using factor-augmented models", Journal of Forecasting, 2011

Publications in Brazilian journals

"Attention-grabbing stocks and the behavior of individual investors in Brazil" (with F. Chague and A. Silva), Revista Brasileira de Finanças, 2020

"Variance premium and implied volatility in a low-liquidity option market" (with E. Astorino, F. Chague, and M. da Silva), Revista Brasileira de Economia, 2017 

"Central bank communication affects the term-structure of interest rates" (with F. Chague, R. De-Losso, and P. Manoel), Revista Brasileira de Economia, 2015

Useful notes for Brazilian retail investors

"O retorno esperado dos COEs" (with O. Bitu, F. Chague, and T. Hamdan), Revista Brasileira de Finanças, 2021 (COEs brochures)

- media: CNN Brasil, Você S/A, Valor Invest 

"Day trading for a living?"  (with F. Chague and R. De-Losso)

- media: CNBC, Financial Times, Forbes, Bloomberg, Business Insider, Burton Malkiel, CNN Brasil, Exame, Valor

"É possível viver de day trading em ações?"  (with F. Chague), Revista Brasileira de Finanças, 2020

- media: Fantástico

"Day-traders experientes e consistentes"  (with F. Chague)

- media: Estadão, Valor, VC S/A

Books (in Portuguese)

"Trader ou investidor: aprenda a investir na bolsa sem cair nas armadilhas dos vieses comportamentais" (with F. Chague), Editora Intrínseca, 2023

      -media: Folha de São Paulo, Valor Econômico, Brazil Journal, VC S/A, Zero Hora, Jornal da Noite (Band)  

"Economia na palma da mão: do economês para o português"(with C.E. Gonçalves), Editora Saraiva - selo Benvirá, 2015