Bruno Cara Giovannetti

Associate Professor, Sao Paulo School of Economics - FGV

Ph.D. in Economics, Columbia University, 2011

E-mail: bruno.giovannetti@fgv.br

CV, Lattes

Main interests: Financial Economics, Behavioral Finance, Limits to Arbitrage

Working papers

"Information leakage from short sellers" coming soon (with Fernando Chague and Bernard Herskovic)

- to be presented at ITAM Finance Conference 2023

"Structured retail products: risk-sharing or risk-creation?" (with Otávio Bitu and Bernardo Guimarães)

"Out of sight, out of mind: local stores and retail day-trading" (with Fernando Chague and Guilherme Paiva)

- presented at 2022 FMA Annual Meeting

"The overpricing of popular high-risk stocks" (with Fernando Chague and Bernardo Guimarães)

- winner of the Brazilian Econometric Society 2021 Prize in Finance

"Attention and biases: evidence from tax-inattentive investors" (with Justin Birru, Fernando Chague, and Rodrigo De-Losso)

- R&R Management Science

- presented at WFA 2020 and Cavalcade 2020

- winner of the Brazilian Econometric Society 2018 Prize in Finance


Publications

"US risk-premia under emerging markets constraints" (with Elias Cavalcante-Filho, Fernando Chague and Rodrigo De-Losso), Journal of Empirical Finance, vol. 67, 217-230, 2022

"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), Journal of Financial Economics, vol. 143, 569-592, 2022

"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

"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

"Asset pricing under quantile utility maximization", Review of Financial Economics, 22: 169-179, 2013

"Nonlinear forecasting using factor-augmented models", Journal of Forecasting, 32: 32-42, 2011


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 Fernando Chague, Rodrigo De-Losso, and Paulo Manoel), Revista Brasileira de Economia, 69(2), 147–162, 2015


Useful notes for Brazilian retail investors

"O retorno esperado dos COEs" (with Otávio Bitu, Fernando Chague, and Tomaz Hamdan), Revista Brasileira de Finanças, 19(2), 1-26, 2021

- lâminas e DIEs dos COEs analisados: link

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

"Day trading for a living?" (with Fernando Chague and Rodrigo De-Losso)

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

"É possível viver de day trading em ações?" (with Fernando Chague), Revista Brasileira de Finanças, 18(3), 1-4, 2020

- mídia: Fantástico

"Day-traders experientes e consistentes" (with Fernando Chague)

- mídia: Estadão, Valor, VC S/A


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)


NEFIN data

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


Luso-Brazilian Finance Network (Lubrafin)

I am one of the organizers of Lubrafin. The main goal of the Network is to reinforce the existing links between Finance researchers from Brazil and Portugal. Researcher from other countries who are also interested in interacting with these two communities are more than welcome. We have annual meetings, one year in Portugal, one year in Brazil. A call for papers is regularly issued every year around November (website).