Sao Paulo School of Economics - FGV
Research interests: Investments, Behavioral Finance
"Individual Investors Look at Price Tags" (with Fernando Chague and Rodrigo De-Losso)
Previously circulated as “Individuals Neglect the Informational Role of Prices: Evidence from the Stock Market.”
A price fall in itself induces individuals to buy the stock: they see a price fall and buy the stock with no further analysis.
"The Short-selling Skill of Institutions and Individuals: a Market-wide and Out-of-sample Analysis" (with Fernando Chague and Rodrigo De-Losso) - under revision
We show that some short-sellers - institutions and individuals - can beat the market. Robust out-of-sample evidence. We study how they trade exploring a deal-level dataset.
"Well-connected Short-sellers Pay Lower Loan Fees: a Market-wide Analysis" (with Fernando Chague, Rodrigo De-Losso, and Alan De Genaro) Journal of Financial Economics, vol. 123, issue 3, 646-670, 2017
Empirical evidence of the existence of search costs in the equity lending market. Short-sellers who are not well-connected in the lending market end up paying higher loan fees.
"Short-sellers: Informed but Restricted" (with Fernando Chague, Rodrigo De-Losso, and Alan De Genaro) Journal of International Money and Finance, vol. 47, 56-70, 2014
Informed short-sellers are often restricted by insufficient and/or expensive loan supply.
Our Financial Data for Brazil (risk factors, portfolios, etc)