Research

Published Papers (International Journals)


Attention and biases: Evidence from tax-inattentive investors  (with Justin Birru, Fernando Daniel Chague, and Bruno Cara Giovannetti). Management Science, online, p.p. 1-19, 2023.


Private Means Better? A Water and Sanitation Quasi-Experimental Design (with Arthur Dassan, Joelson Sampaio and Vinícius Brunassi Silva), Emerging Markets Finance and Trade, online, vol. 59, p.p. 1-19, 2023.


US Risk Premia under Emerging Markets Constraints (with Elias Cavalcante Filho, Fernando Daniel Chague, and Bruno Giovannetti). Journal of Empirical Finance, vol. 67, p,p. 217-230, 2022.

Price Transparency in OTC Equity Lending Markets: Evidence from a Loan Fee Benchmark  (with Fabio Cereda, Fernando Daniel Chague, and Bruno Cara Giovannetti , and Alan De Genaro). Journal of Financial Economics, vol. 143, n.o 1, p.p.  569-592, 2022.

Unskilled Fund Managers: Replicating Active Fund Performance With Few ETFs (with Elias Cavalcante Filho and Fernando Moraes). International Review of Financial Analysis, vol. 78, 2021.

We study the effects of a price transparency shock in the Brazilian OTC equity lending market. Previously, a publicly available stock-specific loan fee benchmark was the average fee of the past 15 trading days. On March 1st, 2011, this interval was reduced to 3 days, significantly improving short-sellers' ability to predict current loan fees. We find that loan fees fell, lending volume increased, total lending revenue remained stable, high-cost lenders lost market share, and price efficiency increased after the benchmark change. Only a few countries benefit from loan fee benchmarks and our results may be relevant to regulators.

Generating Stochastic Processes Through Convolutional Neural Networks, (with Fernando Fernandes Neto, Alemayehu Solomon Admasu and Pedro Delano Cavalcanti)  Journal of Control, Automation and Electrical Systems, vol. 31, n.o 2, p. 294-303, 2020.

The Short-selling Skill of Institutions and Individuals (with Fernando Daniel Chague and Bruno Cara Giovannetti). Journal of Banking and Finance, vol. 101, p. 77-91, 2019. - Internet appendix.

We show that some short-sellers - institutions and individuals - can beat the market. Robust out-of-sample evidence. We study how they trade by exploring a deal-level dataset.

Well-connected Short-sellers Pay Lower Loan Fees: a Market-wide Analysis (with Fernando Daniel Chague, Bruno Cara Giovannetti, and Alan De Genaro) Journal of Financial Economics, vol. 123, issue 3, p. 646-670, 2017 - Awarded Haralambos Simeonidis 2018 Prize.

We show that short-sellers who are not well-connected in the lending market have to pay higher loan fees.

Short-sellers: Informed but Restricted (with Fernando Daniel Chague, Bruno Cara Giovannetti, and Alan De Genaro) Journal of International Money and Finance, vol. 47, p. 56-70, 2014.

Informed short-sellers are often restricted by insufficient and/or expensive loan supply.

The Effect of Land Title on Child Labor Supply: Empirical Evidence from Brazil (with Maurício José Serpa de Barros Moura), Research in Labor Economics, v. 40, p. 195-222, 2014.

 Confidence in Justice and Experience with Court: Evidence from Brazil (with Joelson Oliveira Sampaio e Luciana Gross Cunha), Journal of Law and Criminal Justice, v. 2, p. 15-30, 2014.

Market value analysis of entrepreneurs microcredit and personal loans (with Maurício José Serpa de Barros Moura, Sergio Nunes Muritiba, Patricia Morilha Muritiba ),  Journal of Business Management and Economics, v. 5, p. 120-130, 2014.

Land title program in Brazil: Are there any changes to happiness? (with Maurício José Serpa de Barros Moura), The Journal of Socio-economics, v. 45, p. 196-203, 2013.  

Short-run, long-run and cross elasticities of gasoline demand in Brazil (with Denisard C. O. Alves), Energy Economics, v. 25, n.o 2, p. 191-199, 2003.

Published Papers (Brazilian Journals)

Short Selling, the supply side: are lenders price makers? (with Daniel de Sales Casula). Brazilian Review of Finance, vol. 21, n.o 2, p. 1-26, 2023.

Vieses comportamentais em projeções macroeconômicas. (com Heny Nasser). Estudos Econômicos, vol. 51, n.o 2, p. 285-310, 2021.

Which Factor Matter to Investors? Evidence from Brazilian Mutual Funds. (with Elias Cavalcante Filho e José Carlos de Souza Santos). Revista Brasileira de Gestão de Negócios, vol. 23, n.o 1, p. 63-80, 2021.

Securities Lending and Short Selling (with Fernando Daniel Chague, Bruno Cara Giovannetti e Alan De Genaro). Revista Brasileira de Gestão de Negócios, v. 22, Special Issue, p. 501-517, 2020.

Does Concern about Local Crime Affect People’s Trust in the Police? (with Joelson O. Sampaio, Renan G. Pieri and Luciana G. Cunha ), Estudos Econômicos, v. 49, n.o 4, p. 661-686, 2019.

Grupos vulneráveis no Brasil (com Luciana G. Cunha, Luciana O. Ramos e Joelson O. Sampaio), Revista de Estudos Empíricos em Direito, v. 2, p. 91-109, 2015.

 Central Bank Communication Affects the Term-Structure of Interest Rates (with Fernando Chague, Bruno C. Giovannetti and Paulo Manoel), Revista Brasileira de Economia,  vol. 69, n.o 2 , p. 147-162, 2015

An algorithm automatically reads the Copom Minutes and correctly quantifies how optimistic they are.

Sistema de Amortização por Múltiplos Contratos: a Falácia do Sistema Francês (com Bruno C. Giovannetti e Armênio Rangel), Economic Analysis of Law Review, vol. 4, issue 1, p. 160-180, 2013.

Uma discussão sobre como separar juros e amortização em empréstimos. A forma usual é questionável. Potencial efeito tributário.

An analysis of factors affecting the ethical conduct of microcredit officers (with Maurício José Serpa de Barros Moura, Patrícia M. Muritiba and Helena W. P. Rocha) BBR Brazilian Business Review, v. 8, p. 1-26, 2011.

Some notes on how land title affects child labor (with Maurício José S. B. Moura), Economia, v. 11, p. 357-385, 2010.

Controlando o pânico (com Rubens H. Morita e Ricardo A. Pires), Economia Aplicada, v. 12, p. 29-54, 2008.

 SWARCH e volatilidade implícita no câmbio REAL/USD (com Rafael Machado Santana), Revista Brasileira de Finanças, v. 6, p. 235-265, 2008.

Fundamentos teóricos e empíricos de apreçamento de ativos (com Richard Saito), Revista de Administração de Empresas, v. 47, p. 1-5, 2007.  

Dynamic hedging with stochastic differential utility, Brazilian Review of Econometrics, Rio de Janeiro, v. 26, n.o 2, p. 257-289, 2006.

Books:

Permanent Working Papers:

Individuals Neglect the Informational Role of Prices: Evidence from the Stock Market (with Fernando Daniel Chague and Bruno Cara Giovannetti).

We show that a stock price fall, in itself, induces individual investors to buy the stock. Our identification strategy uses two distinct events which generate fictitious price falls. The first is the mechanical stock price adjustment on ex-dividend dates. The second explores the so-called left-digit effect, the well-documented empirical fact that individuals disproportionally focus on left digits. Buying after price falls with no further analysis is harmful to investors since price falls tend to be followed by further price falls.

Deep Haar Scattering Networks in Unidimensional Pattern Recognition Problems (with Fernando Fernandes Neto, Pedro Delano Cavalcanti and Alemayehu Solomon Admas).

Saving Markowitz: A Risk Parity approach based on the Cauchy Interlacing Theorem (with Fernando Fernandes, Rogério Oliveira, Ângelo Soto, Pedro Cavalcanti and Gabriel Campos).

Day trading for a living? (with Fernando Daniel Chague and Bruno Giovannetti).

We show that it is virtually impossible for individuals to day trade for a living, contrary to what course providers claim. We observe all individuals who began to day trade between 2013 and 2015 in the Brazilian equity futures market, the third in terms of volume in the world. We find that 97% of all individuals who persisted for more than 300 days lost money. Only 1.1% earned more than the Brazilian minimum wage and only 0.5% earned more than the initial salary of a bank teller — all with great risk.

Testing the Effects of Short-Selling Restrictions on Asset Prices  (com Fernando Chague, Bruno Cara Giovannetti e Alan De Genaro),

EFMA 2013 (Reading - UK): Best Paper Award (runner-up)

We observe the supply side of the stock lending market and find that short-selling restrictions generate stock overpricing.

Machine learning applied to accounting variables yields the risk-return metrics of private company portfolios (with Elias Cavalcante Filho and Flávio Abdenur).