CV Lattes
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Fundação Getúlio Vargas (FGV). Escola de Economia de São Paulo (EESP) (Institutional affiliation from the last research proposal) Birthplace: Argentina
Has a bachelor's degree in economics from the Universidade of São Paulo (2003), a master's degree in economics from Fundação Getulio Vargas - SP (2007), and a PhD in Economics with, a major in financial econometrics, from University of North Carolina at Chapel Hill (2012). His research interests include asset pricing and empirical finance. (Source: Lattes Curriculum)
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This research investigates the day-0 returns of retail investors in the Brazilian stock market, focusing on the immediate impact of trades executed on the day of the transaction. Despite the significant rise in retail investor participation, these investors often experience substantial losses on the day of the trade, which significantly affect their overall portfolio performance. Utilizin…
The proposal is comprised by a main project and a secondary project. The main project relates conditional betas and NVIX. Conditional asset pricing models have been proposed as a solution to cross-sectional asset pricing puzzles. Indeed, there is evidence suggesting that the market beta of high book-to-market stocks increases during economic recessions precisely when the price of market r…
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