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You searched for subject:( pt ARBITRAGEM). Showing records 1 – 3 of 3 total matches.

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Pontifical Catholic University of Rio de Janeiro

1. FLAVIA CRISTINA S DA C MIRAGAYA. [en] THE EFFECT OF ABNORMAL RETURNS ON INVESTORS SEARCH FOR INFORMATION.

Degree: 2018, Pontifical Catholic University of Rio de Janeiro

[pt] Neste trabalho, estudo o comportamento dos arbitradores ao se depararem com variações nos níveis de preços das ações, mais especificamente, analisando a forma como eles buscam informações sobre esses ativos. Para isso, testo e confirmo a hipótese de que os retornos anormais das ações levam os investidores a buscarem ativamente mais informações sobre essas empresas, usando dados de volume de buscas no Google. Adicionalmente, analiso de forma separada o impacto de retornos anormais negativos e de retornos anormais positivos sobre o volume de buscas do Google, chegando à conclusão de que os retornos negativos têm um efeito maior sobre o volume de buscas que os efeitos positivos.

[en] I study the behavior of arbitrageurs when they are faced with changes in stock price levels, more specifically analyzing the way they seek information about these assets. I test and confirm the hypothesis that abnormal stock returns prompt investors to seek actively information about these companies by using Google search volume data. Furthermore, I study the separate effects of negative abnormal returns and positive abnormal returns on Google search volumes, and conclude that negative returns cause a greater impact on the search volumes than positive returns.

Advisors/Committee Members: PABLO HECTOR SEUANEZ SALGADO.

Subjects/Keywords: [pt] ARBITRAGEM; [en] ARBITRATION; [pt] HIPOTESE DOS MERCADOS EFICIENTES; [en] EFFICIENT MARKETS HYPOTHESIS; [pt] LIMITACOES A ARBITRAGEM; [en] LIMITS TO ARBITRAGE; [pt] GOOGLE TRENDS; [en] GOOGLE TRENDS

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

MIRAGAYA, F. C. S. D. C. (2018). [en] THE EFFECT OF ABNORMAL RETURNS ON INVESTORS SEARCH FOR INFORMATION. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33906

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

MIRAGAYA, FLAVIA CRISTINA S DA C. “[en] THE EFFECT OF ABNORMAL RETURNS ON INVESTORS SEARCH FOR INFORMATION.” 2018. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed August 21, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33906.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

MIRAGAYA, FLAVIA CRISTINA S DA C. “[en] THE EFFECT OF ABNORMAL RETURNS ON INVESTORS SEARCH FOR INFORMATION.” 2018. Web. 21 Aug 2019.

Vancouver:

MIRAGAYA FCSDC. [en] THE EFFECT OF ABNORMAL RETURNS ON INVESTORS SEARCH FOR INFORMATION. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. [cited 2019 Aug 21]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33906.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

MIRAGAYA FCSDC. [en] THE EFFECT OF ABNORMAL RETURNS ON INVESTORS SEARCH FOR INFORMATION. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2018. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=33906

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Pontifical Catholic University of Rio de Janeiro

2. CAROLINA SANTOS BRANDAO. [en] PERFORMANCE OF APT AND CAPM IN THE BRAZILIAN STOCK MARKET.

Degree: 2014, Pontifical Catholic University of Rio de Janeiro

[pt] A intenção do presente estudo é avaliar o desempenho do mercado acionário brasileiro, no período pós-estabilização econômica, através da utilização dos modelos financeiros APT e CAPM a fim de verificar qual deles é melhor capaz de retratar o desempenho das ações. O modelo CAPM foi comparado a dois modelos APT distintos: o Modelo de Três Fatores de Fama e French, e o Modelo APT Unificado ao CAPM proposto por John Wei, onde foram utilizados fatores macroeconômicos além do fator de mercado. Em todos os modelos o prêmio de risco se mostrou relevante. O Modelo de Três Fatores apresentou melhor capacidade explicativa em relação ao CAPM. Todavia, este modelo apresentou uma anomalia do mercado brasileiro, tendo as empresas de pequeno porte apresentado retornos menores que as empresas grandes. A utilização deste modelo implicaria na crença que esta anomalia irá perdurar no futuro. No modelo APT Unificado ao CAPM não foi possível rejeitar a hipótese da inexistêcia de prêmio de risco de todos fatores simultaneamente. Além disso, o ganho de poder explicativo do modelo quando comparado ao CAPM foi insignificante.

[en] This study analyses the Brazilian stock market after the stabilization of the local economy using the APT and CAPM models to evaluate which of them better reflect stock performance. The CAPM was compared to two different APT models: Fama and French Three Factor Model, and An Asset Pricing Theory Unifying the CAPM and APT as proposed by John Wei based on macroeconomic factors and the market premium. For all models the market premium was a relevant variable. The Fama and French Three Factor Model was superior in explaining stock returns than the CAPM, although the size factor for the Brazilian market had an anomaly behavior: large companies outperformed small companies. The use of this model implies that this anomaly will continue in the future which is against the risk-return theory. For model Unifying the CAPM and APT it was not possible to reject the hypothesis that all variables are statically different than zero simultaneously. The increase in explaining power of the model was marginal compared to the CAPM.

Advisors/Committee Members: CARLOS PATRICIO SAMANEZ.

Subjects/Keywords: [pt] CAPM; [en] CAPM; [pt] APT; [pt] MODELO DE ARBITRAGEM; [pt] MODELO DE TRES FATORES DE FAMA E FRENCH; [pt] FAMA E FRENCH; [pt] APT UNIFICADO AO CAPM; [pt] WEI

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

BRANDAO, C. S. (2014). [en] PERFORMANCE OF APT AND CAPM IN THE BRAZILIAN STOCK MARKET. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=23347

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

BRANDAO, CAROLINA SANTOS. “[en] PERFORMANCE OF APT AND CAPM IN THE BRAZILIAN STOCK MARKET.” 2014. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed August 21, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=23347.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

BRANDAO, CAROLINA SANTOS. “[en] PERFORMANCE OF APT AND CAPM IN THE BRAZILIAN STOCK MARKET.” 2014. Web. 21 Aug 2019.

Vancouver:

BRANDAO CS. [en] PERFORMANCE OF APT AND CAPM IN THE BRAZILIAN STOCK MARKET. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2014. [cited 2019 Aug 21]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=23347.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

BRANDAO CS. [en] PERFORMANCE OF APT AND CAPM IN THE BRAZILIAN STOCK MARKET. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2014. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=23347

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Pontifical Catholic University of Rio de Janeiro

3. HUGO DE SOUZA OLIVEIRA. [en] DISCRETE TIME FINITE MARKET MODEL.

Degree: 2017, Pontifical Catholic University of Rio de Janeiro

[pt] O trabalho tem como objetivo ser uma introdução ao estudo de mercados financeiros tratados em tempo discreto com horizonte finito, bem como a dinâmica dos ativos financeiros principais. Descrevemos os tipos de ativos negociados em nosso mercado, dando enfoque aos contratos. Elaboraremos a hipótese central do modelo, a ausência de arbitragem e assim mostraremos como poderemos encontrar um preço correto ou então apresentaremos um intervalo de preços para os contratos. Posteriormente, mostraremos resultados gerais relativos à correta precificação de contratos, usando para isso os instrumentos de processos estocásticos e martingais. Apresentaremos alguns exemplos a título de ilustração.

[en] The dissertation aims to be an introduction to the study of financial markets in discrete time with finite horizon, as well as the dynamics of the main financial assets. We describe the types of assets traded in the market, focusing on contracts. We will elaborate the central hypothesis of the model, the absence of arbitrage and thus show how we can find a correct price or, at least, a range of prices of the contracts. Subsequently, we will show general results regarding how to find correct prices for contracts, using the machinery of stochastic processes and martingales.As an illustration, we present some examples.

Advisors/Committee Members: BOYAN SLAVCHEV SIRAKOV.

Subjects/Keywords: [pt] COBERTURA; [en] ENVIRONMENTS; [pt] PROCESSOS ESTOCASTICOS; [en] STOCHASTIC PROCESSES; [pt] MARTINGAIS; [en] MARTINGALES; [pt] ARBITRAGEM; [en] ARBITRATION; [pt] PRECIFICACAO DE CONTRATOS; [en] PRECISION OF CONTRACTS

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6th Edition):

OLIVEIRA, H. D. S. (2017). [en] DISCRETE TIME FINITE MARKET MODEL. (Thesis). Pontifical Catholic University of Rio de Janeiro. Retrieved from http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=32298

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

OLIVEIRA, HUGO DE SOUZA. “[en] DISCRETE TIME FINITE MARKET MODEL.” 2017. Thesis, Pontifical Catholic University of Rio de Janeiro. Accessed August 21, 2019. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=32298.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

OLIVEIRA, HUGO DE SOUZA. “[en] DISCRETE TIME FINITE MARKET MODEL.” 2017. Web. 21 Aug 2019.

Vancouver:

OLIVEIRA HDS. [en] DISCRETE TIME FINITE MARKET MODEL. [Internet] [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2017. [cited 2019 Aug 21]. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=32298.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

OLIVEIRA HDS. [en] DISCRETE TIME FINITE MARKET MODEL. [Thesis]. Pontifical Catholic University of Rio de Janeiro; 2017. Available from: http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=32298

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.