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


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


risk factors


implied volatility


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



asset pricing (syllabus, notes)

financial econometrics (syllabus, notes)


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)