Fernando Chague
associate professor of finance at the São Paulo School of Economics - FGV
curriculum vitae: english, portuguese (lattes)
email: fernando.chague | at | fgv.br
research interests: short-selling, day-trading, behavioral biases, emerging markets, empirical finance
Working papers:
"Distracted by Crypto" with Matheus Brito, Jefferson Colombo.
Crypto attention initially displaced retail equity trading, but the displacement diminished as crypto became tradable on traditional equity exchanges.
best paper award, Brazilian Econometric Society Meeting, 2024, BlockChainRio
presented at: EBE 2024
"Counting Pennies, Losing Pounds: Biased Learning About own Trading Ability" with Bruno Giovannetti, Bernardo Guimarães and Bernardo Maciel. R&R Review of Finance
We study retail day traders to examine overconfidence: they gauge skill by simply counting the share of profitable days, a heuristic mechanically inflated by the disposition effect (selling winners, holding losers). Estimating a model, we find that without this bias the profit-day share would be 47%, versus 52% observed.
presented at: Lubrafin 2024, EBE 2023
"Information Leakage from Short Sellers" (NBER WP) with Bruno Giovannetti and Bernard Herskovic. R&R Journal of Finance.
Broker's equity lending desks have a privileged position: they talk every day to short-sellers in the over-the-counter lending market. Consistent with prior evidence showing information leakage by financial intermediaries, we find that clients from brokers that are connected to informed short-sellers trade in the same direction and benefit from short-seller's superior information.
best paper award, Brazilian Econometric Society Meeting, 2023
presented at: SFS Cavalcade 2024, Adam Smith Workshop Spring 2024, EBE 2023, IWiFE 2023, FMA 2023, EBFIN 2023, Lubrafin 2023, UCI Finance Conference 2023, ITAM-Finance 2023
"Familiarity Breeds Day Trade" with Bruno Giovannetti and Guilherme Paiva. R&R Journal of Banking & Finance.
Individuals overweight familiar stocks, and we show this bias extends to day trading, where trades last only hours. In small cities, living near a company’s store more than doubles the likelihood of day-trading its stock, a pattern unlikely driven by information since a single outlet rarely yields intraday signals outside truly abnormal events.
presented at: Lubrafin 2022, FMA 2022, EBFIN 2022, EBE 2022
"The Overpricing of Popular High-risk Stocks" with Bruno Giovannetti and Bernardo Guimarães. R&R Review of Asset Pricing Studies.
Retail investors systematically end up holding stocks that later fall—driven by contrarian buying, tastes for distressed/lottery-like names, and the disposition effect. Using granular data, we empirically discipline a reduced-form retail contrarian demand and an arbitrage-capacity constraint, showing their interaction can severely overprice popular high-risk stocks.
best paper award, Brazilian Econometric Society Meeting 2021
presented at: EBE 2022, Lubrafin 2020
"Day Trading for a Living?" with Rodrigo De-Losso and Bruno Giovannetti.
Can one make a living day trading stocks? In this short note, we hope to inform retail investors who are thinking about leaving their jobs and become day traders. We base our evidence using high-quality data from the entire universe of Brazilian retail investors who decided to do just that.
media coverage: Bloomberg, CNN Brasil, Financial Times, Forbes, Business Insider, Burton Malkiel blog, Valor, Exame, Fantástico
follow-up studies: Day-trading stocks for a living? and Experienced day-traders.
Published papers:
"Attention and Biases: Evidence from Tax-inattentive Investors" with Justin Birru, Rodrigo De-Losso and Bruno Giovannetti. Management Science. Volume 70, October 2024. Pages 7101-7119.
We use failure to claim a standard Brazilian tax benefit as a marker of inattention and show it predicts greater behavioral biases among retail investors. The relationship remains robust to rich sophistication controls (trading longevity, professional occupation, derivatives and short-selling history), supporting models that root biases in inherent inattention.
best paper award, Brazilian Econometric Society Meeting, 2018
"US Risk Premia under Emerging Markets Constraints" with Elias Cavalcante, Rodrigo De-Losso, Bruno Giovannetti. Journal of Empirical Finance. Volume 67, June 2022. Pages 217-230.
Claims of “no equity risk premium” in Brazil hinge on a mid-1990s sample that would be similarly misleading in the U.S. Estimating Brazil’s premium from realized returns requires a much longer horizon.
"Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark" with Fábio Cereda, Rodrigo De-Losso, Alan Genaro, Bruno Giovannetti. Journal of Financial Economics. Volume 143, January, 2022. Pages 569-592.
Short-sellers improve price efficiency, but opaque, over-the-counter equity lending—especially around loan fees—constrains them. Exploiting a March 2011 transparency shock in Brazil, we show that greater fee transparency raises lending volume, lowers fees, and sharpens price efficiency, motivating our proposal for loan-fee benchmarks worldwide.
"The short-selling skill of institutions and individuals" with Rodrigo De-Losso and Bruno Giovannetti. Journal of Banking & Finance. Volume 101, April, 2019. Pages 77–91. (internet appendix).
With comprehensive account-level records, we identify a skilled subset behind about 30% of short-selling volume that earns repeatable profits. The edge holds out of sample and across names, and these traders are more likely to target losers than to bet on reversals.
"Well-Connected short-sellers pay lower loan fees: a Market-wide analysis" with Rodrigo De-Losso, Alan De Genaro, and Bruno Giovannetti. Journal of Financial Economics, Volume 123, March, 2017. Pages 646–670.
Because equity lending is OTC and opaque, short-sellers face unclear borrowing costs. We find well-connected traders secure lower loan fees, implying search frictions matter.
Haralambos Simeonidis Award, ANPEC, 2018
"Forecasting the Brazilian yield curve using forward-looking variables" with Fausto Araújo and Marcelo Fernandes. International Journal of Forecasting, Volume 33, Issue 1, 2017. Pages 121–131.
We estimate an augmented VAR that combines Brazil’s yield-curve Nelson–Siegel factors with principal components from a broad macro-financial panel. Forward-looking variables—market expectations for inflation and GDP—materially improve short-horizon yield-curve forecasts.
"Short-sellers: informed but restricted" with Rodrigo De-Losso, Alan De Genaro, and Bruno Giovannetti. Journal of International Money and Finance, Volume 47, October 2014, Pages 56–70.
In one specification, we show that short sellers’ trades forecast lower prices, while constraints under dispersed opinions lead to overpricing. Thus, short-sellers are informed yet periodically constrained.
Published papers in Brazilian journals:
"The COVID-19 and day-trade pandemics in Brazil" with Bruno Giovannetti. Brazilian Review of Finance, Vol 23(1), 2025.
968,512 individuals lost R$ 9.9 billion during the pandemic in day-trading operations on the Brazilian stock exchange’s futures market.
"ETFs dominados" with Leonardo Luna. Brazilian Review of Finance, Vol 22(2), June 2024. Pages 15-41.
Not all Brazilian Exchange Traded Funds are good...
Best paper award - Brazilian Review of Finance prize SBFin 2024
"O Retorno esperado dos COEs" with Otávio Bitu, Bruno Giovannetti, Tomaz Hamdan. Brazilian Review of Finance, Vol 19(2), June 2021. Pages 1-26.
Structured products designed for Brazilian retail investors have negative expected excess returns.
media coverage: CNN Brasil, Isto É Dinheiro, Voce S/A, Valor Invest
"Day-trading stocks for a living?" with Bruno Giovannetti. Brazilian Review of Finance, Vol 18(3), 2020. Pages 1-4.
We provide an update on the odds of day trading stocks for a living using reliable data.
"Attention-grabbing stocks and the behavior of individual investors in Brazil" with Bruno Giovannetti and Anthony Silva. Brazilian Review of Finance, Vol 18(1), 2020. Pages 1-22.
We show that retail investors trade stocks that released "information-void" news.
Best paper award - Brazilian Review of Finance prize 2020
"Variance premium and implied volatility in a low-liquidity option market" with Eduardo Astorino, Bruno Giovannetti, and Marcos Eugênio da Silva. Revista Brasileira de Economia, 71(1), 2017. Pages 3–28.
We propose the first VIX measure for the Brazilian stock market. You can download the "IVOL-BR" time-series here: https://nefin.com.br/data/volatility_index.html
"Central bank communication affects the term-structure of interest rates" with Rodrigo De-Losso, Bruno Giovannetti and Paulo Manoel. Revista Brasileira de Economia, 69(2), 2015. Pages 147–162.
We implement a text-reading algorithm that reads COPOM meetings minutes and produces an "optimist factor" that predicts changes in the term structure of interest rates.
Trader ou Investidor?
Aprenda a investir na bolsa sem cair nas armadilhas dos vieses comportamentais
media coverage: Folha de São Paulo, Valor Econômico, Jornal da Noite, Brazil Journal, FGV Podcast, VC S/A, Zero Hora, Folha de São Paulo.
Livro semifinalista Premio Jabuti, 2024.
PhD, University of North Carolina at Chapel Hill, 2012
MA, São Paulo School of Economics FGV, Brazil, 2007
BA, University of São Paulo, Brazil, 2003
asset pricing (FGV, PhD program; 2014-present; syllabus, notes)
financial econometrics (FGV, master; 2017-present; syllabus)
computational methods in finance (FGV, undergraduate; 2018-present)
behavioral finance (FGV, undergraduate; 2019-2022)
introduction to finance (FGV, undergraduate; 2018-2019)
introduction to stochastic calculus (FGV, undergraduate; 2018-2020)
investments (FGV, master; 2018)
corporate finance (USP, undergraduate; 2017)
econometrics (USP, undergraduate; 2016)
macroeconomics (USP, undergraduate; 2013-2015)