Our Financial Data for Brazil (risk factors, portfolios, etc)
"Inattentive Retail Investors" Coming soon (with Fernando Chague and Rodrigo De-Losso)
We explore a tax-exemption discontinuity to identify inattentive investors among individuals who trade frequently. Inattentive investors are significantly more prone to several behavioral biases.
"Individuals Neglect the Informational Role of Prices: Evidence from the Stock Market" (with Fernando Chague and Rodrigo De-Losso)
Based on evidence from the lab, Eyster, Rabin, and Vayanos (2018) assume the existence of investors with "cursed beliefs" to explain the observed high levels of trading volume. Using field data, we show that these investors do exist.
"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.
"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.
"Variance Premium and Implied Volatility in a Low-Liquidity Option Market" (with Eduardo Astorino, Fernando Chague, and Marcos Eugênio da Silva) Revista Brasileira de Economia, vol. 71, n. 1 , 3-28, 2017
We propose an implied volatility index for the Brazilian stock market.
"Central Bank Communication Affects the Term-Structure of Interest Rates" (with Fernando Chague, Rodrigo De-Losso, and Paulo Manoel) Revista Brasileira de Economia, vol. 69, n. 2 , 147-162, 2015
A text-mining algorithm automatically reads the Brazilian Central Bank meetings' minutes and correctly quantifies how optimistic they are.