Data Projects & Publications

Firm Characteristics and Stock Returns in Brazil

We investigate the impact of firm characteristics on stock returns in the Brazilian financial market, considering a long list of characteristics found be relevant in the U.S. market. Employing Fama-MacBeth regressions, alongside machine learning techniques, we examine over 24 firm-level characteristics. Our findings highlight the stronger influence of price-related metrics, such as momentum, liquidity, size and volatility, over accounting variables.

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Global FX Factors

We compute currency risk factors and portfolios from the FX literature based on the following works: Lustig, Roussanov and Verdelhan (2011), Menkhoff, Sarno, Schmeling and Schrimpf (2012) and Menkhoff, Sarno, Schmeling and Schrimpf (2017).

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Decomposition of Brazilian Term Structure

We compute Term Premium for Brazilian interest rate term structure by applying Adrien, Crump and Moench (2013) methodology.

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