Bruno Cara Giovannetti
Associate Professor, Sao Paulo School of Economics - FGV
E-mail: bruno.giovannetti@fgv.br
My research is in Finance, with a substantive focus on investors’ behavior and limits to arbitrage. In particular, I empirically investigate (i) how investors’ behavior can depart from rationality, (ii) how limits to arbitrage can occur, and (iii) how the interaction of (i) and (ii) can affect the stock market.
Working papers
"The overpricing of popular high-risk stocks" (with Fernando Chague and Bernardo Guimarães)
We develop an asset-pricing model to quantify how a typical behavior of retail investors affects stock prices in equilibrium. Retail investors like distressed stocks. Hence, in a distress scenario, their increased demand, coupled with high short-selling costs, allows agents to exit at higher prices. Rational investors anticipate this and agree to overpay in normal times. The effect is economically large for popular high-risk stocks. The model is calibrated with detailed trading data on OGX, a failed Brazilian oil giant. We estimate an overpricing of 6% well before distress, and an average overpricing of US$ 1.7 billion over two years.
"Attention and biases: evidence from tax-inattentive investors" (with Justin Birru, Fernando Chague, and Rodrigo De-Losso), R&R Management Science
We first provide evidence of investor inattention to a very simple and well-known capital-gains tax exemption in the Brazilian stock market. We then show that tax-inattentive investors exhibit stronger behavioral biases and worse trading performance, even after controlling for several investor-level characteristics. The evidence is consistent with inattention being a common source of behavioral biases.
Publications
"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), forthcoming at the Journal of Financial Economics
"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
"Asset pricing under quantile utility maximization", Review of Financial Economics, 22: 169-179, 2013
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
SBFin 2020 Prize
"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)
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)