[{"jcr:title":"Insper Finance and Macro Unit","pageTitle":"Insper Finance and Macro Unit","cq:tags_0":"area-de-conhecimento:economia","cq:tags_1":"area-de-conhecimento:economia/macroeconomia","cq:tags_2":"tipos-de-conteudo:acontece-no-insper/pesquisa","cq:tags_3":"area-de-conhecimento:economia/mercado-financeiro","navTitle":"Finance and Macroeconomics"},{"richText":"Espaço dedicado ao armazenamento e à divulgação de projetos de pesquisa em finanças e macroeconomia desenvolvidos por professores e estudantes do Insper","madeBy":"Por","tag":"tipos-de-conteudo:acontece-no-insper/pesquisa","buttonUrl":"mailto:cefim@insper.edu.br","title":"Núcleo de Finanças e Macroeconomia","variant":"image","buttonText":"contato: cefim@insper.edu.br"},{"jcr:title":"foto de fundo - turquesa - vermelho"},{"themeName":"foto de fundo - turquesa - amarelo"},{"jcr:title":"Grid Container Section","layout":"responsiveGrid"},{"titleItem":"Sobre"},{"text":"This page serves as a centralized hub for storing and accessing research projects in the fields of finance and macroeconomics developed by our professors and students.   We invite interested researchers, policymakers, and stakeholders to explore our repository and engage with our work. Whether you are seeking information, conducting research, or looking to collaborate, we welcome your participation and feedback.     Research   What You’ll Find Here: Research Projects: Explore a collection of research papers and projects authored by our faculty members, researchers, and collaborators. Publications: Access published papers, working papers, conference presentations, and other scholarly outputs. Data and Resources: Discover datasets, methodologies, and tools used in our research endeavors. Collaborative Initiatives: Learn about ongoing and past collaborative initiatives with academic institutions, industry partners, and policymakers.   Background   There has been an explosion of interest in systematic strategies. Varying in complexity, quantitative ideas are now mainstream and part of any large institutional portfolio.   Top investment firms in the world have moved away from the “secret-sauce” mindset and now co-author research with academics, dedicate resources to education, create new technologies, construct publicly available data sets, and run labs in markets, data science, and technology. They are even bringing open source technology to investing itself. The Brazilian asset management industry is late in this process with very few teams fully dedicated to a systematic approach to investing.   Brazilian portfolios are becoming more international, multi-dimensional and complex. Systematization is a transparent and efficient way of institutional investors to deal with complexity and lack familiarity with certain markets. Our professionals need to be trained in the sciences and technologies of this new approach. We need to start building a more symbiotic relationship with academia.   The FinanceHub is an attempt to create a community of investment professionals and academics in Brazil capable of doing just that, fostering the research and technology that will help the Brazilian asset management industry cope with its new challenges."},{"titleItem":"Projetos"},{"subtitle":"Currency risk factors and portfolios from the FX literature on the following works","title":"Global FX Factors","variant":"image","buttonText":"Factors, methodology, data & results","buttonLinkUrl":"https://cefim-insper.github.io/projects/fx_factors.html"},{"subtitle":"Term Premium for Brazilian interest rate term structure by applying Adrien, Crump and Moench methodology.","title":"Decomposition of Brazilian Term Structure","variant":"image","buttonText":"Introduction, methodology & empirical results","buttonLinkUrl":"https://cefim-insper.github.io/projects/BZ_term_structure_output.html"},{"subtitle":"The impact of firm characteristics on stock returns in the Brazilian financial market","title":"Firm Characteristics and Stock Returns in Brazil","variant":"image","buttonText":"Returns, statistics, descriptions and data download","buttonLinkUrl":"https://cefim-insper.github.io/projects/GHZ_output.html"},{"subtitle":"Presents a methodology to detect MP Shocks in Brazil using daily frequency data","title":"Monetary Policy Shocks in Brazil","variant":"image","buttonText":"Policy shocks, macroeconomic data & responses, downloads","buttonLinkUrl":"https://cefim-insper.github.io/projects/DI_Surprise_MPshock.html"},{"titleItem":"Equipe"},{"variantCarousel":"cards","title":"Coordenação","buttonText":"Ver bio","noPhotoText":"Sem foto","variantGroup":"docentes"},{"text":"  Equipe: Guilherme Piantino Gustavo Torigoe Josué Costa Matheus Patrocínio Mohammed Kaebi Pietro Consonni   Colaboradores: Guilherme Paiva Guilherme Souza Igor Martins Tomás Nóbrega"},{"titleItem":"FinanceHub"},{"text":"The FinanceHub is a community of investment professionals, academics and students in Brazil capable of fostering the research and technology that will help the Brazilian asset management industry cope with its new challenges. Academics from Insper and investment professionals from BWGI were the initial members of this community, but the group now includes participants from many asset managers, banks, pension funds and consulting companies.   Seminars   Participation in the seminars is by invitation only. [Please contact us](mailto:cefim@insper.edu.br) if you would like to attend, but space is limited and we may not be able to welcome you immediately. Each session will have at least two presentations of no more than 45 minutes, including discussion and Q&A. We also welcome original research, but the Seminar coordinator will evaluate whether your research fits the objectives of this Seminar.   Presenter is expected to present the main features of the paper, promote a brief discussion with suggestions for changes or future research and should be able to address questions by all participants. Participants should come prepared for discussion. All are expected to read at least the introduction of all papers. Participants should focus the discussion on the themes related to the paper presentations. The role of the Seminar coordinator is to guide the discussion during the presentations, select topics together with participants and plan sessions. At the end of the session, we welcome general discussions."},{"title":"2024 Meetings","children":"Equities (December 2) - Caio Natividade - Factor Investing - Anna Catarina Tavella - Tail Risk and Asset Prices in the Short Term (Almeida et al., SSRN, 2023)   Equities Valuation (November 4) - Pedro Vogt - Dissecting Disagreement in Valuations: Inputs and Outcomes (Décaire et al., Calvacade, 2024) - Felipe Cesar Diogenes and Guilherme Giannasi - Valuation Fundamentals (Décaire & Graham, SSRN, 2024)   Fixed Income (October 7) - João Victor Loose - The "hairy" Premium (Corte et al., SSRN, 2024) - Gustavo Amarante - Shrinking the Term Structure (Filipovic et al., SSRN, 2024)   Macroeconomics (September 2) - Matheus Patrocío - The Macroeconomic Effects of Oil Supplye News: Evidence of OPEC Announcements (Känzig, American Economic Review, 2021) - Christiano Lo Bianco - Monetary Policy and Financial Stability (Gomes & Sarkisyan, SSRN, 2024)   Behavior Finance (August 5) - Matheus Carrijo - Retail Habitat (Laarits and Sammon, SSRN, 2023) - Gustavo Torigoe - Who Owns What? A Factor Model for Direct Stockholding (Balasubramaniam et al., Journal of Finance, 2023)   Demand Shocks / Derivatives (July 1) - Mauricio Ferraresi - Correlated Demand Shocks and Asset Pricing (Kim, SSRN, 2024) - Enrique Quintslr - Exploring the Variance Risk Premium Across Assets (Heston & Todorov, SSRN 2023)   Machine Learning (June 3) - Derek Poustka - (Almost) 200 Years of News-Based Economic Sentiment (van Binsbergen, Bryzgalova, Mukhopadhay, Sharma, NBER, 2024) - Patrick Maia - Bond Return Predictability: Macro Factors and Machine Learning Methods (Jiang, Liu, Liu, Zhu, European Financial Management, 2024)   Corporate Bonds (May 6) - Fernando Tassinari Moraes - The Corporate Bond Factor Zoo (Dickerson, Julliard, Mueller, SSRN, 2023) - Werley Cordeiro - Duration-Based Valuation of Corporate Bonds (van Binsbergen, Nozawa, Schwert, SSRN, 2023)   Monetary Policy and Asset Prices (April 15) - Marcelo Sena - Monetary Policy and the Term Structure of Equity Risk Premia - Guilherme Piantino - Movement in Yields, not the Equity Premium; Bernanke-Kuttner Redux (Nagel, Xu, 2024)"},{"title":"2023 Meetings","children":"Factors / Monetary Policy (December 5) - Marcello Paixao - R&D, Expected Profitability, and Expected Returns - Fernando Barbosa - Caught by Surprise: How Markets Respond to Macroeconomic News (Baltussen & Soebhag)   Oprion Factors (November 28) - Enrique Quintslr - A Factor Model for Option Returns (Buchner & Kelly, 2022) - Rosália Kjaer - Beliefs and Portfolios: Causal Evidence (Beutel & Weber, 2023)   Financial Technology (November 21) - Rafael Rocha - From Man vs. Machine to Man + Machine: the Art and AI of Stock Analyses (Cao et al., 2021) - Tomás Nóbrega - Corporate Bond Factors: Replication Failures and a New Framework (Dick-Nielsen et al., 2023)   Political Finane / International Finance (November 7) - Eduardo Oliveira Marinho - What Drives Variation in Investor Portfolios? Estimating the Role of Beliefs and Risk Preferences (Egan et al., 2021) - Nathan Jardim Teixeira - Does the Market Understand Time Variation in the Equity Risk Premium? (Gandhi et al., 2023)   Political Finance / International Finance (October 31) - Guilherme Souza - Presidential Economic Approval Rating and the Cross-section of Stock Returns (Chen et al., 2023) - Pâmela Borges - A Preferred-habitat Model of Term Premia, Exchange Rates, and Monetary Policy Spillovers (Gourinchas et al., 2021)   Expectations and Beliefs (October 17) - Pedro Vogt - The Inference-Forecast Gap in Belief Updating (Fan et al.) - Osvaldo Assunção - Common Asset Impact on Default Contagion (Assunção, 2023)   International Finance / Cross-section (October 10) - Josué Costa - Pricing Currency Risks (Chernov et al., 2022) - Felipe Boralli - A Stock Return Decomposition Using Observables (Knox & Vissing-Jorgensen, 2022)   Fintech / Demand Based Asset Pricing (September 12) - Rafael Azevedo - Does Finance Benefit Society? A Language Embedding Approach (Jha et al., 2020) - Mauricio Ferraresi - On the Estimation of Demand-Based Asset Pricing Models (van der Beck, 2022)   Macrofinance / Monetary Policy (August 29) - Benjamin Mandel - A Monetary Policy Asset Pricing Model (Caballero & Simskek, 2023) - Rodrigo Fernandez - Policymakers' Uncertainty (Cieslak et al., 2021)   International Finance / Investment Strategies (August 15) - Mohammed Mehdi Kaebi - Forest Through the Trees: Building Cross-Section of Stock Returns (Bryzgalova et al., 2021) - Pâmela Borges - International Yield Curves and Currency Puzzles (Chernov & Creal, 2023)   Volatility / Factor Investing (July 25) - Igor Martins - What Events Matter for Volatility - Hugo Stellet - Ensuring Sparsity in a High-dimensional Environment with Correlated Regressors   Momentum / Household Finance (July 18) - Guilherme Paiva - Risk Momentum: a New Class of Price Patterns (Li et al., 2023) - Pedro Borges - Asset Demand of U.S. Households (Gabaix et al., 2023)   Macrofinance (July 4) - Caio Natividade - Global Macro and Intraday Execution - Factor / Individual Assets (June 20) - Caio Natividade - Private Equity Replication - Fernando Tassinari Moraes - Time Series Variation in the Factor Zoo (Bessembinder et al., 2023)   Macrofinance / Monetary Policy (June 6) - Gustavo Soares - The Term Structure of Currency Carry Trade Risk Premia (Lustig et al., 2019) - Gustavo Amarante - Portfolio Tilts Using Views on Macroeconomic Regimes (Elkamhi et al., 2023)"},{"title":"2022 Meetings","children":"Machine Learning (November 21) - Gustavo Amarante - Machine Learning and the Implementable Efficient Frontier (Jensen et al., 2022)   Factors (November 8) - Marcelo Medeiros - Bridging Factor and Sparse Models (Fan et al., 2022)   FOMC Announcement (October 25) - Tomasso Baglioni - The FOMC Announcement Reversal - Tomasso Baglioni - Market Liquidity and the Post-FOMC Announcement Return   Attention (October 4) - Giordano Bressan - Attention-induced Trading and Returns: Evidence from Robinhood Users (Barber et al., 2021)   Retail Trading (Semptember 19) - Fabio Lopez - Retail Trading in Options and the Rise of the Big Three Wholesalers (Bryzgalova et al., 2022) - Fabio Lopez - Retail Investors' Contrarian Behavior Around News, Attention, and the Momentum Effect (Luo et al., 2022)   Factor Momentum and Correlated Factors (Semptember 5) - Tomás Nobrega - Factor Momentum and the Momentum Factor (Ehsani & Linnainmaa, 2022) - Hugo Stellet - The Cross Section of Asset Returns with Correlated Factors (Sun, 2022)   Portfolio Optimization and Short Term Reversals (August 22) - Gustavo Amarante - Dynamic Portfolio Optimization with Inverse Covariance Clustering (Wang & Aste, 2022) - Conrado Garcia - Short Term Reversals and the Negative Impact of Factor Momentum   Network Diversification / Cryptocurrencies (June 22) - Helder Palaro - Network Diversification for a Robust Portfolio Allocation (Jaeger & Marinelli, 2022) - Rafael Alves - Common Risk Factors in Cryptocurrencies (Liu et al., 2022)   Monetary Policy Surprises (June 6) - Victor Bluhu - A Reassessment of Monetary Policy Surprises and High-Frequency Identification (Bauer & Swanson, 2022)   Options (May 23) - Caio Natividade - Going Naked: Investing with Delta Unhedged Options   Currency Momentum (April 25) - Tommaso Baglioni - Dissecting Currency Momentum (Zhang, 2022)   Behavior Bias (April 4) - Guilherme Souza - Smoking Hot Portfolios? Trading Behavior, Investment Biases, and Self-control Failure (Uhr et al, 2021)"},{"titleItem":"O que fazemos"},{"id":"technology","text":"Technology   We built a [GitHub Repository](https://github.com/Finance-Hub/FinanceHub) with codes to support research in finance. Some code helps easily access raw and treated data stored in our servers. Some code implements models used on the analysis of that data.   The objective of this branch is to build tools for research which will reduce the cost of data acquisition as well as model set up.   Education   We have lectures on  [Python programming](https://github.com/Finance-Hub/FinanceHubMaterials/tree/master/Python%20Lectures)  for finance and financial theory. All of the material is available in our repository in the format of slides and jupyter notebooks, so that everyone can learn python and help build up the community and push the project forward.   Research   We actively discuss and promote research in finance. Among our activities, we organize regular academic seminars on a wide range of finance topics.   We also encourage our participants to circulate interesting academic and practitioner research to all members and circulate information on finance seminars at Insper and other institutions."},{"buttonUrl":"https://cefim-insper.github.io/publications/","title":"Publicações","buttonText":"+ GitHub Publications"},{"linkUrl":"https://cefim-insper.github.io/projects/fx_factors.html","linkIcon":"icon-insper-fi-rs-document","linkText":"Global FX Factors"},{"linkUrl":"https://cefim-insper.github.io/projects/BZ_term_structure_output.html","linkIcon":"icon-insper-fi-rs-document","linkText":"Decomposition of Brazilian Term Structure"},{"linkUrl":"https://cefim-insper.github.io/projects/GHZ_output.html","linkIcon":"icon-insper-fi-rs-document","linkText":"Firm Characteristics and Stock Returns in Brazil"},{"linkUrl":"https://cefim-insper.github.io/projects/DI_Surprise_MPshock.html","linkIcon":"icon-insper-fi-rs-document","linkText":"Monetary Policy Shocks in Brazil"},{"jcr:title":"transparente / vermelho / turquesa"},{"buttonBackgroundColor":"rgb(229,5,5)","themeName":"transparente / botao vermelho / tag amarelo"}]