Bruno Giovannetti

Ph.D. in Economics, Columbia University

Assistant Professor at Sao Paulo School of Economics - FGV



Research interests: Investments, Investors Behavior, Limits to Arbitrage

Working papers

"Attention and Biases: Evidence from Tax-Inattentive Investors" (with Justin Birru, Fernando Chague, and Rodrigo De-Losso)

  • Submitted

  • Presented at: 2020 WFA Annual Conference; 2020 Cavalcade North America Conference

  • Video of the 2020 SFS Cavalcade presentation

  • Best Paper in Finance in the 2018 Brazilian Econometrics Society Meeting

"Price Transparency in OTC Equity Lending Markets: Evidence from a Loan Fee Benchmark" (with Fábio Cereda, Fernando Chague, Rodrigo De-Losso, and Alan de Genaro)

  • R&R at the Journal of Financial Economics

"Day Trading for a Living?" (with Fernando Chague and Rodrigo De-Losso)

"Individuals Neglect the Informational Role of Prices: Evidence from the Stock Market" (with Fernando Chague and Rodrigo De-Losso)

Work in progress

"Asset Prices with Contrarian Investors" (with Fernando Chague and Bernardo Guimarães)


"The Short-selling Skill of Institutions and Individuals" (with Fernando Chague and Rodrigo De-Losso) - Internet appendix, Journal of Banking and Finance, vol. 101, 77-91, 2019

"Well-connected Short-sellers Pay Lower Loan Fees: a Market-wide Analysis" (with Fernando Chague, Rodrigo De-Losso, and Alan Genaro), Journal of Financial Economics, vol. 123, 646-670, 2017

  • Haralambos Simeonidis 2018 Prize for Best Paper Published by an Economist in Brazil

"Short-sellers: Informed but Restricted" (with Fernando Chague, Rodrigo De-Losso, and Alan Genaro), Journal of International Money and Finance, vol. 47, 56-70, 2014

Publications in Brazilian journals

"Attention-grabbing stocks and the behavior of individual investors in Brazil" (with Fernando Chague and Anthony Silva), Revista Brasileira de Finanças, 18(1), 1-22, 2020

"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, 71(1), 3–28, 2017

"Central bank communication affects the term-structure of interest rates" (with Rodrigo De-Losso, Fernando Chague, and Paulo Manoel), Revista Brasileira de Economia, 69(2), 147–162, 2015

Teaching (Ph.D. level)

Behavioral Finance (syllabus)

Before: Econometrics I (syllabus), Econometrics II (syllabus), Topics in Econometrics (syllabus), Asset Pricing I (syllabus), Asset Pricing II (syllabus)

I recorded an open (YouTube) on-line course on Behavioral Finance where I go over the main papers in the field (in Portuguese):

1. Overview, 2. Modelo canônico, 3. Puzzles 1, 4. Puzzles 2, 5. Pessoas vs. macacos, 6. Bias 1, 7. Bias 2, 8. Bias 3, 9. Bias 4, 10. Bias 5, 11. Bias 6, 12. Bias 7, 13. Origem dos Biases, 14. Limites à arbitragem 1, 15. Limites à arbitragem 2, 16. Limites à arbitragem 3, 17. Limites à arbitragem 4, 18. Limites à arbitragem 5, 19. Conclusão

Useful information

Here you find Brazilian financial data that we make available for research (risk factors, portfolios returns, etc)

Personal (music)

Lamento Sertanejo, Across the Universe, She's leaving home, Last Christmas (Laura and I)

A disc with songs that I composed: Apple Music, Spotify, Deezer