Fernando Chague

assistant professor of economics

São Paulo School of Economics - FGV

curriculum vitae: english, portuguese (lattes)

email: fernando.chague | at | fgv.br

research interests: asset pricing, empirical finance, short-selling, individual investors, behavioral biases, emerging markets

research

working papers


"Day trading for a Living?" with Rodrigo De-Losso and Bruno Giovannetti. (Valor, Valor online, Folha de São Paulo, O Popular, Gazeta do Povo, Radio CBN)


"Attention and biases: Evidence from tax-inattentive investors" with Justin Birru, Rodrigo De-Losso and Bruno Giovannetti. (Best Paper Award, Brazilian Econometric Society Meeting, 2018)


"Individuals neglect the informational role of prices: Evidence from the stock market" with Rodrigo De-Losso and Bruno Giovannetti.



published papers


"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).


"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, Issue 3, 2017. Pages 646–670. (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.


"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.


Brazilian journals


"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.


"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.



useful information about the Brazilian stock market


day trading in Brazil

"É possível viver de day-trading ?"


check out the nefin webpage for data on Brazilian stock market such as

portfolios

risk factors

short-interest

implied volatility

education

Ph.D. economics, University of North Carolina, USA, 2012

M.S. economics, São Paulo School of Economics - FGV, Brazil, 2007

B.A. economics, University of São Paulo, Brazil, 2003

teaching

2019

asset pricing (syllabus, notes)

financial econometrics (syllabus, notes)


2013-2018

asset pricing (PhD program; 2014, 2015, 2016, 2017, 2018)

financial econometrics (undergraduate and master; 2015, 2016, 2018)

introduction to finance (undergraduate; 2018)

introduction to stochastic calculus (undergraduate; 2018)

investments (master; 2018)

corporate finance (undergraduate; 2017)

econometrics (undergraduate; 2016)

macroeconomics (undergraduate; 2013, 2014, 2015)