[en] THE INTERTEMPORAL RELATION BETWEEN THE VALUE AT RISK AND THE EXPECTED RETURNS IN THE BRAZILIAN MARKET

[en] THE INTERTEMPORAL RELATION BETWEEN THE VALUE AT RISK AND THE EXPECTED RETURNS IN THE BRAZILIAN MARKET

[pt] Diversos estudos têm procurado uma variável de risco que empiricamente tenha uma relação positiva e significativa com os retornos condicionais de mercado. Na maior parte dos casos a escolha recai sobre novas abordagens envolvendo a variância condicional dos retornos. Neste trabalho substituímos...

Full description

Bibliographic Details
Main Author:	CLEBER FERNANDES TABOZA
Other Authors:	ANTONIO CARLOS FIGUEIREDO PINTO
Language:	pt
Published:	MAXWELL 2013
Subjects:	[pt] VALUE AT RISK [pt] RETORNOS ESPERADOS [pt] ICAPM [pt] RISCO RETORNO
Online Access:	https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=22404@1 https://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=22404@2 http://doi.org/10.17771/PUCRio.acad.22404

Similar Items

[en] THE RELATIONSHIP BETWEEN IDIOSYNCRATIC RISK AND STOCK RETURNS IN THE BRAZILIAN STOCK MARKET
by: FERNANDA PRIMO DE MENDONCA
Published: (2011)

[en] IMPLEMENTATION OF THE OMEGA MEASURE TO THE PERFORMANCE OF INVESTMENT FUNDS IN THE BRAZILIAN MARKET
by: LUIZ EMIDIO DE MELO JUNIOR
Published: (2012)

[en] EMPIRICAL ANALYSIS ON THE RELATIONSHIP BETWEEN EVA (ECONOMIC VALUE ADDED) AND STOCKS RETURNS IN THE BRAZILIAN STOCK MARKET
by: MARCELO AUGUSTO SALGADO FERREIRA
Published: (2007)

[en] RETURN, RISK E LIQUIDITY RELATIONSHIP IN FUNDS OF FUNDS PORTFOLIO CONSTRUCTION
by: EDUARDO RIBEIRO ALVES B VIANNA
Published: (2008)

[en] SENTIMENT INDEX IN THE BRAZILIAN MARKET AND STOCK RETURNS IN SUBSEQUENT PERIODS: AN EMPIRICAL STUDY
by: FILIPE BORSATO DA SILVA
Published: (2011)

[en] THE SIZE EFFECT ON FIRMS RETURNS IN THE BRAZILIAN MARKET AND HOW THE CONTROL FOR OTHER FACTORS MAY INFLUENCE RESULTS
by: VINICIUS FADINI B DE M FERREIRA
Published: (2018)

Return and Liquidity Relationships on Market and Accounting Levels in Brazil
by: Fernanda Finotti Cordeiro Perobelli, et al.
Published: (2016-08-01)

[en] ANALYSIS AND VALUATION OF EQUITY PREMIUM PUZZLE IN THE BRAZILIAN STOCK MARKETS UNDER DIFFERENT ECONOMIC CONTEXTS
by: ROBSON CABRAL DOS SANTOS
Published: (2006)

[en] PROBABILITY AND EXPECTED VALUE - A DISCUSSION OF HIGH SCHOOL PROBLEMS
by: HAROLDO COSTA SILVA FILHO
Published: (2016)

[pt] AVALIAÇÃO DE MODELOS DE PRECIFICAÇÃO DE ATIVOS NO MERCADO ACIONÁRIO BRASILEIRO AÇÕES DO BANCO DO BRASIL S.A (BBAS3)
by: ROBSON LUIZ MACEDO
Published: (2019)

[en] DISTRIBUTIONS OF RETURNS, VOLATILITIES AND CORRELATIONS IN THE BRAZILIAN STOCK MARKET
by: MARCO AURELIO SIMAO FREIRE
Published: (2005)

[en] MEASUREMENT SYSTEMS IN TRAINING RETURN ON INVESTMENT IN THE BRAZILIAN ORGANIZATIONS
by: CRISTINA GOMES PALMEIRA
Published: (2004)

[en] ABNORMAL RETURNS IN BRAZILIAN MARKET OF MERGERS AND ACQUISITIONS: EVIDENCES FROM DIFF-IN-DIFF METHODOLOGY
by: CARLOS AUGUSTO DE MACEDO SILVA FILHO
Published: (2017)

[en] ESSAYS ON THE RELATIONSHIP BETWEEN INVESTMENT IN INNOVATION AND PERFORMANCE AND RISK IN BRAZIL
by: RAPHAEL BRAGA DA SILVA
Published: (2016)

[en] STUDY REGARDING THE RELATIONSHIP BETWEEN IMPLIED VOLATILITY INDEX IVOL-BR AND FUTURE RETURNS OF BRAZILIAN STOCK MARKET AND ECONOMIC SECTORS
by: PALOMA VANNI CAINELLI
Published: (2019)

[en] AN ANALYSIS OF BOOK-TO-MARKET, BANKRUPTCY RISK AND RETURN FACTORS IN THE STOCK BRAZILIAN MARKET
by: PRISCILLA VANESSA GUERRERO PAZOS
Published: (2016)

[en] HIGH-FREQUENCY DYNAMICS OF THE BRAZILIAN STOCK MARKET
by: ANDERSON ALEXANDER GOMES CORTINES
Published: (2005)

[en] CAPITAL STRUCTURE CHOICE AND IDIOSYNCRATIC RISK
Published: (2020)

[en] THE COMBINATION OF VALUE AND MOMENTUM INVESTMENT STRATEGIES IN THE BRAZILIAN STOCK MARKET
by: MATHEUS BARBOSA DOS SANTOS DA SILVA GUIMARAES
Published: (2015)

[en] ANALYSIS AND VALUATION OF THE EQUITY RISK PREMIUM IN THE BRAZILIAN AND US STOCK MARKETS
by: LUCIANO SNEL CORREA
Published: (2003)

[fr] L ÉTERNEL RETOUR RETOUR DANS LA PERSPECTIVE DE L ANGE DE L HISTORIE: IMAGES DIALECTIQUES ET ALIÉNATION.
by: GUSTAVO CHATAIGNIER GADELHA DA COSTA
Published: (2005)

[fr] LA FONCTION DU RÉEL EN PSYCHANALYSE
by: CLARICE PADILLA GATTO
Published: (2017)

[pt] ENSAIOS SOBRE MODELOS DE FATORES PARA APREÇAMENTO DE ATIVOS: EVIDÊNCIAS SOBRE VOLATILIDADE IDIOSSINCRÁTICA, MERCADOS EMERGENTES E POLÍTICA MONETÁRIA
Published: (2021)

[en] VERY SHORT RUN MEAN REVERSION IN THE BRAZILIAN STOCK MARKET: A SURVEY IN BEHAVIORAL FINANCE
by: JOHANNES KABDERIAN DREYER
Published: (2008)

[en] PERFORMANCE AND VALUE CREATION: MERGERS AND ACQUISITIONS
by: BERNARDO RANGEL DA COSTA PAIVA
Published: (2015)

[en] PRIVATE EQUITY AND VENTURE CAPITAL: PERPETUITY OF ABNORMAL PERFORMANCE IN THE LONG TERM IN A RECESSION PERIOD IN BRAZIL
by: FELIPE MOREIRA DA SILVA
Published: (2016)

Prêmios realizados e esperados no Brasil
by: França, Michael Tulio Ramos de
Published: (2015)

[en] EMPIRICAL TESTS OF DOG OF DOW STRATEGY IN LATIN AMERICAN STOCK MARKETS
by: ANA LUIZA DE CASTRO MEIRELES
Published: (2012)

Prêmios realizados e esperados no Brasil
by: Michael Tulio Ramos de França
Published: (2015)

[en] BRAZILIAN STOCK RETURN SERIES: VOLATILITY AND VALUE AT RISK
by: PAULO HENRIQUE SOTO COSTA
Published: (2001)

[en] HASSAN AL BANNA, AN ISLAMIC REAWAKENING: INDIVIDUAL RESPONSIBILITY, SOCIAL ACTION AND POLITICAL REVINDICATION
by: RAGDA AHMAD SALAH AL ASSAR
Published: (2016)

[en] VALUATING ELECTRICITY SWAP CONTRACTS IN BRAZIL WITH UTILITY THEORY
by: ATILLA DJAN ERKAN
Published: (2013)

[en] EXTREME VALUE THEORY: A CONDITIONAL APPROACH FOR VALUE AT RISK ESTIMATION IN THE BRAZILIAN STOCK MARKET
by: FLAVIA COUTINHO MARTINS
Published: (2009)

[en] CONSISTENCE OF PERFORMANCE IN STOCK FUNDS IN BRAZIL
by: LUIS FILIPE ROSSI
Published: (2004)

[en] RISK ANALYSIS OF A PASSIVE MANAGEMENT STOCK FUND IN A MARKET SUBJECT TO FINANCIAL INSTABILITIES
by: ERNESTO KAZUHIRO NOMI
Published: (2004)

Effects of Idiosyncratic Volatility in Asset Pricing
by: André Luís Leite, et al.
Published: (2016-04-01)

[pt] PRÊMIO DE VALOR E EXPECTATIVAS DE CRESCIMENTO
Published: (2020)

[en] SPORTS SPONSORSHIP IMPACT ON THE CONSUMER: A MODEL TO EVALUATE ITS EFFECTIVENESS
by: CAIO DE ALMEIDA GRYNBERG
Published: (2007)

[en] MOVING AVERAGE REVERSION IN THE BRAZILIAN STOCK MARKET: A TECHNICAL ANALYSIS APPROACH UNDER THE OPTICS OF BEHAVIORAL FINANCE
by: THIAGO JOSE STRECK DEL GRANDE
Published: (2016)

[en] RETURN TO ME AND I WILL RETURN TO YOU: AN EXEGETICAL STUDY IN JL 2:12-18
by: JANE MARIA FURGHESTTI LIMA
Published: (2013)

Cannot write session to /tmp/vufind_sessions/sess_km00letj4tie0hr815pr7fjoqd