research

working papers:

• "The overpricing of popular high-risk stocks" with Bruno Giovannetti and Bernardo Guimarães.

• "Attention and Biases: Evidence from Tax-inattentive Investors" with Justin Birru, Rodrigo De-Losso and Bruno Giovannetti.

  • • R&R at Management Science

    • best paper award, Brazilian Econometric Society Meeting, 2018

    • presented at: 2020 WFA Meeting, SFS Cavalcade North America 2020

• "Day trading for a Living?" with Rodrigo De-Losso and Bruno Giovannetti

  • • a short note on day trading

    • media coverage: Bloomberg, CNN Brasil, Financial Times, Forbes, Business Insider, Burton Malkiel blog, Valor, Exame, Fantástico

published papers:

• "The effects of price transparency in OTC lending markets: Evidence from a loan fee benchmark" with Fábio Cereda, Rodrigo De-Losso, Alan Genaro, Bruno Giovannetti. Journal of Financial Economics, forthcoming.

• "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

• "Retorno esperado dos COEs" with Otávio Bitu, Bruno Giovannetti, Tomaz Hamdan. Brazilian Review of Finance, Vol 19(2), June 2021. Pages 1-26.

  • • about the (low) expect returns of retail structured products (in portuguese)

    • 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. (another short note on day-trading)

• "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.

• "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.

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

PhD program:

• asset pricing (syllabus, notes)

Past courses:

• asset pricing (PhD program; 2014-2020)

• financial econometrics (undergraduate and master; 2015-2020)

• introduction to finance (undergraduate; 2018-2019)

• introduction to stochastic calculus (undergraduate; 2018-2020)

• investments (master; 2018)

• corporate finance (undergraduate; 2017)

• econometrics (undergraduate; 2016)

• macroeconomics (undergraduate; 2013-2015)

useful information about the Brazilian stock market

check out the nefin webpage for data on Brazilian stock market:

• portfolios

• risk factors

• short-interest

• implied volatility