About me

My research focuses on Investments, Behavioral Finance and Limits to Arbitrage. I do empirical work on investor behavior, market frictions, and their consequences for price efficiency, often exploiting granular Brazilian data. My work has appeared in the Journal of Finance, the Journal of Financial Economics, Management Science, Journal of Banking and Finance, among others. A complementary part of my agenda is public-facing: documenting the actual gains and losses of retail investors in stock speculation and in structured products sold by banks and brokers. I hold a Ph.D. in Economics from Columbia University. I was on the faculty of the University of São Paulo from 2011 to 2017 and have been at the São Paulo School of Economics (EESP-FGV) since then.

Working papers

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

Retail traders learn about their own skill from how often they win, not how much they lose — so frequent small gains and occasional large losses keep unskilled traders confident and trading.

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

When risk goes up, expected returns should rise too. Surprisingly, autocallables show the opposite — the same risk-return pattern you'd find at a betting house.

Work in progress

"Realizing gains and losses in good mood" (with J. Birru and F. Chague)

"The effect of passive investors on equity lending and price efficiency"  (with F. Chague and B. Herskovic)

Publications in international journals

"Information leakage from short sellers" (with F. Chague and B. Herskovic), Journal of Finance, forthcoming

Brokers leak the trades of well-informed short sellers to other clients, who mimic them — so private information travels through the brokerage network before it reaches prices.

"Familiarity breeds day trade" (with F. Chague  and G. Paiva),  Journal of Banking and Finance, 2026 (Internet appendix)

Individuals disproportionately day trade stocks they are already familiar with, showing that familiarity is a gateway into speculation, not a source of informational advantage.

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

Investors who fail to notice a salient and simple tax exemption also display stronger behavioral biases — inattention and biases are two symptoms of the same underlying trait.

"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

The introduction of a public loan-fee benchmark reduced fee dispersion in the OTC lending market, showing that transparency alone can lower search frictions.

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

Under the short samples and high volatility typical of emerging markets, even the well-established US risk premia would be statistically undetectable.

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

Short sellers — institutions and, notably, individuals — display genuine, persistent skill in predicting negative returns.

"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

In the OTC equity lending market, borrowers who are well-connected pay significantly lower fees — direct evidence that search frictions are priced.

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

Short sellers correctly anticipate price declines, but lending-market constraints often prevent them from trading on it — informed capital, restricted.

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

Replacing expected utility with quantile utility maximization yields a tractable asset-pricing model with testable implications.

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

Adding nonlinearities to factor-augmented models improves macroeconomic forecasts relative to the standard linear benchmark.

Publications in Brazilian journals

"As pandemias de COVID-19 e de day trade no Brasil" (with F. Chague), Revista Brasileira de Finanças, 2025

During the pandemic, nearly 1 million Brazilians took up day trading and lost, in aggregate, R$ 9.9 billion.

- media: Folha de São Paulo, Rádio CBN, UOL, Valor Invest, Monitor do Mercado, O Estado do Ceará

"Lucky Investors Trade More: Evidence from a Large and Salient Exogenous Price Shock" (with M. Brito and F. Chague), Brazilian Review of Econometrics, 2023

Investors who profit by pure luck from a salient, exogenous price shock start trading more — luck gets mistaken for skill.

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

Nine out of ten structured products (COEs) sold by Brazilian banks have expected returns below the risk-free government bond.

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

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

Of the individuals who persisted in day trading stocks, 97% lost money and only about 1% earned more than the minimum wage.

- media: Fantástico

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

Brazilian retail investors buy stocks that grab media attention — and lose money doing so.

"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

We build an implied volatility index for Brazil and show that the variance premium predicts returns even in a low-liquidity options market. 

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

The tone of Central Bank statements moves the term structure of interest rates — words, not only decisions, are monetary policy.

Books (in Portuguese)

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

      - livro semifinalista do Prêmio Jabuti, 2024  

      -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

Dormant working papers 

"The overpricing of popular high-risk stocks" (with F. Chague and B. Guimarães)

Stocks that are simultaneously popular among retail investors and high-risk can be overpriced.

"Day trading for a living?" (with F. Chague and R. De-Losso), 2020

Of all Brazilians who persisted in day trading futures for more than 300 sessions, 97% lost money and only 1.1% earned more than the minimum wage.

      - among the most downloaded papers of all time on SSRN (rank 132, last time I checked)

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

"Individuals neglect the informational role of prices: evidence from the stock market" (with F. Chague and R. De-Losso), 2018

Individual investors trade as if prices carried no information about fundamentals, ignoring the most basic lesson of market efficiency.

last update: August 16th 2026 

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