Seminários Acadêmicos

Pesquisa Acadêmica
Insper Instituto de Ensino e Pesquisa

Nossa área de Pesquisa Acadêmica oferece uma programação regular de seminários abertos a professores e alunos. Docentes de diversas instituições do Brasil e do exterior apresentam trabalhos de pesquisa de ponta, que são discutidos com nossos professores. Alguns destes seminários também são utilizados com a finalidade de avaliar candidatos ao quadro de professores em tempo integral.


Maio

  • 02/05/17 (terça-feira) – 12h

Palestrante: Eduardo Zilberman– PUC-Rio
Local: Paulo Renato de Souza – 2º Andar

Tema: Transitions in Central Bank Leadership

Resumo: We assemble a novel dataset on transitions in central bank leadership in several countries, and study how monetary policy is conducted around those events. We find that policy is tight both at the last meetings of departing governors and first meetings of incoming leaders. This finding cannot be explained by endogenous transitions, fiscal policy, the effects of the zero lower bound, electoral cycles, nor uncertainty. Moreover, results are stronger when the central bank has less independence, is less transparent, the country’s regulatory quality is lower, or the governor has more power. We offer an explanation for these results based on a simple signalling story. The incoming governor has incentives to tighten monetary policy to signal that she is a Hawk, and thus face more favorable inflation expectations going forward. In turn, the departing governor tightens policy in order to make it easier for an incoming Hawk to signal its type and separate from a Dove.

  • 02/05/17 (terça-feira) – 18h

Palestrante: Ricard Gil – Johns Hopkins Carey Business School
Local: Paulo Renato de Souza – 2º Andar

Tema: The Value of Relational Adaptation in Outsourcing: Evidence from the 2008 shock to the US Airline Industry

Resumo: In this paper, we theoretically analyze, and empirically test for, the importance of relational adaptation in outsourcing relationships using the airline industry as case study. In the airline industry, adaptation of flight schedules is necessary in the presence of bad weather conditions. When major carriers outsource to independent regionals, conflicts over these adaptation decisions typically arise. Moreover, the urgency of needed adjustments requires that adaptation be informal and hence enforced relationally. Our model shows that for relational adaptation to be self-enforcing, the long-term value of the relationship between a major and a regional airline must be at least as large as the regional airline’s cost of adapting flight schedules across joint routes. Thus, when facing a negative economic shock, the major is more likely to preserve routes outsourced to regional airlines that have higher adaptation costs, and hence higher relationship value. We analyze the evolution of U.S. airline networks around the 2008 financial crisis, and we find that consistent with our predictions, routes outsourced to regional networks with worse average weather, and hence higher adaptation costs, were more likely to survive the shock.

  • 16/05/17 (terça-feira) – 12h

Palestrante: David Wiliam Berger– Northwestern University
Local: Paulo Renato de Souza – 2º Andar
Tema: Shocks vs Responsiveness: What Drives Time-Varying Dispersion

  • 16/05/17 (terça-feira) – 18h

Palestrante: Michael Barnett – Rutgers Business School – Newark & New Brunswick
Local: Paulo Renato de Souza – 2º Andar

Tema: Blending fealty and fiat: How industry associations further the shared interests of rival firms

Resumo: When organized through industry associations, firms can gain significant influence over their institutional environments. But how do industry associations organize members’ efforts to achieve institutional influence? We draw from rich primary data uncovered through a five-year case study to describe how an industry association navigates the difficult process of maintaining cooperative relationships amongst rivalrous firms while pursuing its broader mission of achieving favorable influence on the institutional environment in which the industry and its member firms operate. We find that this industry association pursued three interrelated sets of activities, relating to practice, policy, and representation, and that the pursuit of each required the industry association to manage a complex mix of competitive and collaborative tensions. Such a delicate balance on multiple fronts proves difficult to consistently sustain, which  helps  explains why, despite the benefits that cooperation can bring, there is such variation in the breadth and intensity of activities that industry associations pursue. We conclude by discussing the implications of these findings for research on industry associations, institutional change, and business strategy more broadly.

  • 19/05/17 (sexta-feira) – 12h

Palestrante: Diana Moreira– Harvard University
Local: 308 – 3º Andar
Tema: Recognizing Performance: How Awards Affect Winners’ and Peers’ Performance in Brazil

Resumo: Does the recognition of someone’s accomplishment spill over to others? Awards that confer public recognition for outstanding performance can impact ex-post behavior by changing beliefs, norms or interests. I investigate whether the public recognition of students’ accomplishments impacts their own and their peers’ subsequent academic performance. I exploit Brazil’s Math Olympiad “Honorable Mention” award which recognizes the top 4% of participants in a national competition involving 18 million students annually. I take advantage of the fact that no information is disclosed on the performance of those who do not win an award to recover the informational impact of someone’s recognition. Specifically, I use a regression discontinuity design comparing classrooms with narrow winners and losers of the award. I find that the award improves the future educational outcomes of both the winner and her classmates. The spillovers on classmates are economically meaningful – one-fifth of the magnitude of the effects on the winner themselves – and have long-run consequences: the enrollment in selective colleges of classmates of a narrow award winner increases by 10%. Proximity to the winner, both physical and in terms of ability, appears to be a key mediating channel: spillovers are largest for classmates in the top quartile of the test score distribution, and depend upon the presence of the winner in the classroom. The results show that ex-post motivation and effort can be enhanced by recognizing the success of a high-performing student.

  • 23/05/17 (terça-feira) – 12h

Palestrante: Paulo Arvate– EAESP-FGV
Local: Paulo Renato de Souza – 2º Andar
Tema: Future welfare gains: the engagement of adolescent girls in politics

Resumo: This paper investigates the causal effect of empowered women on the political engagement of adolescent girls (role model). Unlike existing literature, our measure of engagement in politics is not generated from a survey (a measure of the perception of the aspirations of adolescents) but from the non-compulsory registration of adolescents in the 16-17 age-band for voting. Our results suggest that when a woman is elected as mayor through a quasi-experiment (an RD estimate) this increases the number of adolescent girls who register to vote by 1.0-1.6 p.p. We do not obtain the same effect for younger adolescent girls (between 12-13; 10-11 years old). This effect is immediate (i.e., in the next election, two years later). It is mainly obtained where a high concentration of women is elected to the municipal legislative council (councilors). Our results do not extend to include nearby municipalities where two men are in competition for first and second places (an inhospitable environment for women in politics). Our results were obtained for elections that took place between 2000 and 2012 (four elections for mayors and three mid-term elections for governor, president, senator and state and federal deputies) with data from Brazilian municipalities.

  • 30/05/17 (terça-feira) – 12h

Palestrante: Ruy Ribeiro– PUC-Rio
Local: Paulo Renato de Souza – 2º Andar

Tema: Term Structure(s) of Equity Risk Premium

Resumo: Using dividend and variance swap data simultaneously, we provide a series of novelfacts on the two term structures of equity risk premia: holding period returns and maturity. These two dimensions are distinct and jointly important for a better understanting of risk premia and its time variation. We also uncover new information on the level and variation of the term structure of the (physical) expectation of dividend growth. Moreover, we find that liquidity is priced in the cross-section of variance and dividend swaps and affect many conclusions in related literature. Among many facts, we show that: risk premium in increasing and concave on maturity; short-maturity and short-horizon risk premium is lower than market risk premium; risk premium is also increasing and concave on investment horizon, but increases much faster than maturity; independently of maturity, most of the risk premium is associated with short-horizon risk premium; dividends are highly predictable once we account for time variation interm structure of holding period returns; and liquidity is relevant for short-term holding period returns and to explain the high returns of dividend contracts. Using both dimensions jointly highlights additional challenges to asset pricing models, but, unlike previous literature, we show that all these facts are consistent, for instance, with a long-run risk model with disaster risks.

  • 30/05/17 (terça-feira) – 18h

Palestrante: Wagner Nakamura– Jones Graduate School of Business, Rice University
Local: 409 – 4º Andar

Tema: Identifying Sales Performance Gaps with Internal Benchmarking

Resumo: This research investigates how retailers may gain from identifying the sales growth potential for in-store salespeople in every product category. We propose a novel approach that enables retailers to develop an equitable evaluation of their salesforce, accounting for both observable and unobservable factors affecting sales. Our approach extends stochastic frontier regression to the multivariate case, leading to a factor-analytic frontier formulation that leverages on the correlation pattern of sales across product categories and salespeople over time. We use a unique dataset from a franchise chain with 481 salespeople operating in 35 stores selling 11 related product categories, to identify the gap between observed category profits and an estimated profit frontier for each salesperson and category. With this novel model, we are able to benchmark each salesperson against all others across product categories, while accounting for observable and unobservable factors affecting sales performance. Such benchmarking approach is of practical value to retailers, because it allows them to equitably identify the top- performing salespeople, who should embrace the role of growth advisor, as well as under-performing salespeople, who become learners in learning programs. Matching growth advisors and learners is critical to nurture a positive learning environment within the salesforce because it aligns top performers with tested and proven expertise on sales of a given product category with peers who struggle with the category in the same product- market.

Junho

  • 06/06/17 (terça-feira) – 12h

Palestrante: Renan Pieri – Insper
Local: Paulo Renato de Souza – 2º Andar

Tema: Drops, Blocks and Grades: Can WAS infrastructure contribute to improving and protect educational performance?

Resumo: This paper investigates how access to water and sanitation infrastructure is associated with educational performance in Brazil. Using a school fixed-effects approach, the analysis explores the relation between the endowment in sewage and water infrastructure in Brazilian public schools and academic performance, under normal conditions as well as in the event of a climatic shock (floods or drought). Results show that sewage infrastructure has a positive impact on learning (11% of one standard deviation of IDEB). This impact increases in municipalities with positive shocks of rainfall and shocks of temperature. Public water infrastructure is not important per se. But it has a positive impact on municipalities with negative shocks of rainfall.

  • 06/06/17 (terça-feira) – 12h

Palestrante: José Tavares – Universidade Nova de Lisboa
Local: Paulo Renato de Souza – 2º Andar

  • 13/06/17 (terça-feira) – 12h

Palestrante: Carlos Carvalho – UT Austin – McCombs School of Business
Local: Paulo Renato de Souza – 2º Andar

Tema: On the Long Run Volatility of Stocks

Resumo: In this paper we investigate whether or not the conventional wisdom that the volatility per period of stocks is lower over longer horizons. Taking the perspective of an investor, we evaluate the predictive variance of k-period returns for different models and prior specifications. We adopt the state space modeling framework of Pástor and Stambaugh [2012] as we feel it is the best alternative for capturing all important expected returns dynamics and accounting for the associated uncertainties. Part of the development includes an extension of the modeling frame-work to incorporate time-varying volatilities and covariances in a constrained prior information set up. We conclude, that in the U.S. market, there are plausible prior specifications such thatstocks are indeed less volatile in the long run. Our results are supported by model assessment exercises that provide evidence to our assumptions. To understand the generality of the results, we extend our analysis to a number of international equity indices.

  • 20/06/17 (terça-feira) – 12h

Palestrante: Fernando Ferreira – University of Pennsylvania, Wharton
Local: Paulo Renato de Souza – 2º Andar

  • 27/06/17 (terça-feira) – 12h

Palestrante: Osvaldo Anacleto – University of Edinburgh
Local: Paulo Renato de Souza – 2º Andar

Tema: Dynamic Chain Graph Models for Time Series Network Data

Resumo: This paper introduces a new class of Bayesian dynamic models for inference and forecasting in high-dimensional time series observed on networks. The new model, called the dynamic chain graph model, is suitable for multivariate time series which exhibit symmetries within subsets of series and a causal drive mechanism between these subsets. The model can accommodate high-dimensional, non-linear and non-normal time series and enables local and parallel computation by decomposing the multivariate problem into separate, simpler sub-problems of lower dimensions. The advantages of the new model are illustrated by forecasting traffic network flows and also modelling gene expression data from transcriptional networks.

Agosto

  • 08/08/17 (terça-feira) – 12h

Palestrante: José Tavares – Universidade Nova de Lisboa
Local:
 Paulo Renato de Souza – 2º Andar

Tema: Dynamic Chain Graph Models for Time Series Network Data

Setembro

  • 12/09/17 (terça-feira) – 12h

Palestrante: José Tavares – Universidade Nova de Lisboa
Local: Paulo Renato de Souza – 2º Andar

Tema: Jobs for the boys! Meritocracy, public sector pay and human capital accumulation

Resumo: We set a model with search and matching frictions to understand the effects of no meritocratic hiring and wages in the public sector on unemployment and education decisions. If the public sector hiring is non-meritocratic, a smaller education premium in the public sector reduces incentives for education. More meritocratic hiring increases unemployment, particularly when the public sector wages are high relative to the private sector.

  • 06/03/17 (segunda-feira) – 12h

Palestrante: Pedro Franco – Musashi University
Local: Paulo Renato de Souza – 2º Andar
Tema: Securitization, Non-Recourse Loans and House Prices

Resumo: I study the effects of securitization and recourse (limited liability) laws on housing markets. Securitization allows originators to pass on the risk of loans they originate. As a consequence, originators stop screening due to the absence of credible signalling to securitizers. This allows `investor’ borrowers to start receiving loans and, when these loans are non-recourse, there is a put option that pushes up house prices during a demand boom. I thus predict that the interaction between securitization and non-recourse status should lead to higher house prices. I use heterogeneity in recourse laws in US states to test this.

As predicted, non-recourse status roughly doubles the size of the positive relationship between securitization and house prices and can explain 75% of the difference in prices between recourse and non-recourse states. To address potential endogeneity concerns, we propose a new instrument for securitization, the distance of a housing market to the headquarters of ‘originate and securitize’ institutions, and find further empirical support for our prediction.

  • 14/03/17 (terça-feira) – 12h

Palestrante: Eurilton Araujo– FUCAPE Business School
Local: Sala Paulo Renato de Souza – 2º Andar
Tema: Monetary policy credibility and the comovement between stock returns and inflation

Resumo: Empirical evidence suggests that the magnitude of the negative comovement between real stock returns and inflation declined during the Great Moderation in the U.S. To understand the role of monetary policy credibility in this change, I study optimal monetary policy under loose commitment in a macroeconomic model in which stock price movements have direct implications for business cycles. In line with the data, a calibration of the model featuring a significant degree of credibility can replicate the weakening of the negative relationship between real stock returns and inflation in the Great Moderation era.

  • 21/03/17 (terça-feira) – 12h

Palestrante: Cezar Santos – EPGE-FGV
Local: Sala Paulo Renato de Souza – 2º Andar
Tema: Family Planning and Development: Aggregate Effects of Contraceptive Use

Resumo: What is the role of family planning interventions on fertility, savings, human capital investment, and development? To examine this, endogenous unwanted fertility is embedded in an otherwise standard quantity-quality overlapping generations model of fertility and growth. The model features costly fertility control and families can (partially) insure against a fertility risk by using costly modern contraceptives. In the event of unexpected pregnancies, households can also opt to abort some pregnancies, at a cost. Given the number of children born, parents decide how much education to provide and how much to save out of their income. We fit the model to Kenyan data, implement several family planning policies and decompose their aggregate effects. Our results suggest that given a small budget (up to 0.5 percent of GDP), legalizing and subsidizing the price of abortion is a more cost-effective policy for improving long-run living standards and reducing inequality than policies that either subsidize the price of modern contraceptives or subsidize basic education.

  • 21/03/17 (terça-feira) – 18h

Palestrante: Timo Goeschl – Heidelberg Univesrity – Germany
Local: 903 – 9º Andar
Tema: Leveling up? An inter-neighborhood experiment on parochialism and the efficiency of multi-level public goods provision

Resumo: Many public goods (such as environmental protection) can be provided at different spatial levels. Evidence from social identity theory and in-group favoritism raises the possibility that where higher-level provision is more efficient, subjects’ narrow concern for local outcomes (parochialism) could harm efficiency. Building on the experimental paradigm of multi-level public good games and the ‘neighborhood attachment’ concept, we conduct an artefactual field experiment with 600 participants in a setting conducive to parochial behavior. In an inter-neighborhood intra-region design, subjects allocate an endowment between a personal account, a local, and a regional public good account. The between-subjects design varies across two dimensions: One informs subjects that the smaller local group consists of members from their own neighborhood (‘neighbors’). The other varies the relative productivity at the two public goods provision levels. We find evidence for parochialism, but contrary to our hypothesis, parochialism does not interfere with efficiency: The average subject responds to a change in relative productivities at the local and regional level in the same way, whether aware of their neighbors’ presence in the small group or not. The results even hold for subjects with above-median neighborhood attachment and subjects primed on neighborhood attachment.

  • 28/03/17 (terça-feira) – 12h

Palestrante: Michael Weber – University of Chicago
Local: Paulo Renato de Souza – 2º Andar
Tema: Monetary Policy through Production Networks: Evidence from the Stock Market

Resumo: Monetary policy shocks have a large impact on aggregate stock market returns in narrow event windows around press releases by the Federal Open Market Committee. We use spatial autoregressions to decompose the overall effect of monetary policy shocks into a direct (demand) effect and an indirect (network) effect. We attribute 50%–85% of the overall effect to indirect effects. The decomposition is robust to different sample periods, event windows, and types of announcements. Direct effects are larger for industries selling most of the industry output to end-consumers compared to other industries. We find similar evidence of large indirect effects using ex-post realized cash-flow fundamentals. A simple model with intermediate inputs guides our empirical methodology. Our findings indicate production networks might be an important propagation mechanism of monetary policy to the real economy.

  • 04/04/17 (terça-feira) – 12h

Palestrante: João Victor Issler– EPGE-FGV
Local: Paulo Renato de Souza – 2º Andar

Tema: Survey Design and Forecast Accuracy

Resumo: Surveys of professional forecasts are a key input in governamental and private sector decisions. This is the first paper to study how the design and survey features affect accuracy. We analyze a new dataset the Central Bank of Brazils Focus Survey -which is uniquely suited for our goals: Agents can update any day, so we can analyze what drives their updating. Importantly, the bank runs a monthly contest that ranks forecasters based on their accuracy the day before a key piece of information is released. We find clear evidence that the contest, rather than information, is the prevailing motive for updates and accuracy improvement in the data. Our theoretical model takes into account the dynamic structure of the forecasting problem, where accuracy improves both due to agents effort in collecting information and due to the resolution of uncertainty during the forecasting period. Agents use a common forecasting model but face different cost-bene.t ratios of effort. Only those with low enough ratios find it worthwhile to log on the system and to update. We structurally estimate the model to uncover the deep parameters characterizing the cost-bene.t distribution across agents and how this changes on contest vs. normal days. The model fits the data well and the estimates allow us to perform counterfactual exercises on alternative survey designs.

  • 11/04/17 (terça-feira) – 12h

Palestrante: Aureo de Paula– University College London
Local: Paulo Renato de Souza – 2º Andar
Tema: Identifying and Estimating Social Connections from Outcome Data

Resumo: Knowledge of the relevant linkages between individuals is usually necessary for the estimation of social interaction models. We obtain results that allow for the estimation of parameters of interest in a model with endogenous, exogenous and correlated effects without information on the relevant linkages. Our identification analysis relies on usual assumptions on the nature of interactions found in, e.g., Bramoullé et al. [2009]. To obtain identification we further impose conditions on the density of links and repeated observation of outcomes for a given group of individuals. We provide an estimation strategy which we investigate via simulations and an empirical illustration.

  • 11/04/17 (terça-feira) – 18h

Palestrante: Thomas Brashear – Isenberg School of Management
Local: Paulo Renato de Souza – 2º Andar

Tema: Control, Justice Perception, and Salesperson’s Commitment

Resumo: Current literatures on controls have highlighted the importance of having a system in organizations to prevent possible economic damages caused by salespeople’s opportunistic behavior. However, whether or not salespeople perceive the system fair has not investigated thoroughly. Earlier researchers have identified different types of control coordination (formal: outcome and process controls, informal: professional control) and its effectiveness. Using a sample of 203 b2B salespeople the study tests different types of controls can predict salespeople’s fairness perception towards the management. The results demonstrate that professional control affects both distributive and procedural justice perception that influences salespeople’s trust level and when trust is built between the company and salespeople, it will influence behavioral or affective commitment

  • 18/04/17 (terça-feira) – 12h

Palestrante: Luciano Irineu de Castro– Iowa
Local: Paulo Renato de Souza – 2º Andar

Tema: Dynamic Quantile Models of Rational Behavior

Resumo: This paper develops a dynamic model of rational behavior under uncertainty, in which the agent maximizes the stream of the future quantile utilities, for _ 2 (0, 1). That is, the agent has a quantile utility preference instead of the standard expected utility. Quantile preferences have useful advantages, such as robustness and ability to capture heterogeneity. Although quantiles do not have some of the useful properties of expectations, such as linearity and the law of iterated expectations, we show that the quantile preferences are dynamically consistent. We also show that the corresponding dynamic problem yields a value function, via a fixed-point argument, and establish its concavity and differentiability. The principle of optimality also holds for this dynamic model. Additionally, we derive the corresponding Euler equation. Empirically, we show that one can employ existing generalized method of moments for estimating and testing the economic model directly from the stochastic Euler equation. Thus, the parameters of the model can be estimated using known econometric techniques and interpreted as structural objects. In addition, the methods provide microeconomic foundations for quantile regression estimation. To illustrate the developments, we construct an asset-pricing model and estimate the risk-aversion parameters across the quantiles. The results provide strong evidence of heterogeneity in the coefficients of risk aversion and discount factor.

02/05/17 (terça-feira) – 12h – Palestrante: Eduardo Zilberman– PUC-Rio
Local: Paulo Renato de Souza – 2º Andar

Tema: Transitions in Central Bank Leadership

Resumo: We assemble a novel dataset on transitions in central bank leadership in several countries, and study how monetary policy is conducted around those events. We find that policy is tight both at the last meetings of departing governors and first meetings of incoming leaders. This finding cannot be explained by endogenous transitions, fiscal policy, the effects of the zero lower bound, electoral cycles, nor uncertainty. Moreover, results are stronger when the central bank has less independence, is less transparent, the country’s regulatory quality is lower, or the governor has more power. We offer an explanation for these results based on a simple signalling story. The incoming governor has incentives to tighten monetary policy to signal that she is a Hawk, and thus face more favorable inflation expectations going forward. In turn, the departing governor tightens policy in order to make it easier for an incoming Hawk to signal its type and separate from a Dove.

02/05/17 (terça-feira) – 18h – Palestrante: Ricard Gil – Johns Hopkins Carey Business School
Local: Paulo Renato de Souza – 2º Andar

Tema: The Value of Relational Adaptation in Outsourcing: Evidence from the 2008 shock to the US Airline Industry

Resumo: In this paper, we theoretically analyze, and empirically test for, the importance of relational adaptation in outsourcing relationships using the airline industry as case study. In the airline industry, adaptation of flight schedules is necessary in the presence of bad weather conditions. When major carriers outsource to independent regionals, conflicts over these adaptation decisions typically arise. Moreover, the urgency of needed adjustments requires that adaptation be informal and hence enforced relationally. Our model shows that for relational adaptation to be self-enforcing, the long-term value of the relationship between a major and a regional airline must be at least as large as the regional airline’s cost of adapting flight schedules across joint routes. Thus, when facing a negative economic shock, the major is more likely to preserve routes outsourced to regional airlines that have higher adaptation costs, and hence higher relationship value. We analyze the evolution of U.S. airline networks around the 2008 financial crisis, and we find that consistent with our predictions, routes outsourced to regional networks with worse average weather, and hence higher adaptation costs, were more likely to survive the shock.

02/05/17 (terça-feira) – 12h – Palestrante: Eduardo Zilberman– PUC-Rio
Local: Paulo Renato de Souza – 2º Andar

Tema: Transitions in Central Bank Leadership

Resumo: We assemble a novel dataset on transitions in central bank leadership in several countries, and study how monetary policy is conducted around those events. We find that policy is tight both at the last meetings of departing governors and first meetings of incoming leaders. This finding cannot be explained by endogenous transitions, fiscal policy, the effects of the zero lower bound, electoral cycles, nor uncertainty. Moreover, results are stronger when the central bank has less independence, is less transparent, the country’s regulatory quality is lower, or the governor has more power. We offer an explanation for these results based on a simple signalling story. The incoming governor has incentives to tighten monetary policy to signal that she is a Hawk, and thus face more favorable inflation expectations going forward. In turn, the departing governor tightens policy in order to make it easier for an incoming Hawk to signal its type and separate from a Dove.

02/05/17 (terça-feira) – 18h – Palestrante: Ricard Gil – Johns Hopkins Carey Business School
Local: Paulo Renato de Souza – 2º Andar

Tema: The Value of Relational Adaptation in Outsourcing: Evidence from the 2008 shock to the US Airline Industry

Resumo: In this paper, we theoretically analyze, and empirically test for, the importance of relational adaptation in outsourcing relationships using the airline industry as case study. In the airline industry, adaptation of flight schedules is necessary in the presence of bad weather conditions. When major carriers outsource to independent regionals, conflicts over these adaptation decisions typically arise. Moreover, the urgency of needed adjustments requires that adaptation be informal and hence enforced relationally. Our model shows that for relational adaptation to be self-enforcing, the long-term value of the relationship between a major and a regional airline must be at least as large as the regional airline’s cost of adapting flight schedules across joint routes. Thus, when facing a negative economic shock, the major is more likely to preserve routes outsourced to regional airlines that have higher adaptation costs, and hence higher relationship value. We analyze the evolution of U.S. airline networks around the 2008 financial crisis, and we find that consistent with our predictions, routes outsourced to regional networks with worse average weather, and hence higher adaptation costs, were more likely to survive the shock.

  • 04/05/17 (terça-feira) – 12h

Palestrante: Fernanda de Leon –University pf Kent

Local: 407 – 4º Andar

Tema: Lost in the Storm: The Academic Collaborations that Went Missing in Hurricane Isaac

Resumo: By exploiting the cancellation of the 2012 American Political Science Association Annual Meeting, we investigate the role of conferences in facilitating academic collaboration. We assembled datasets comprising 17,468 academics and 86 million pairs of conference participants. In difference-in-differences analysis, we find the conference cancellation led to a decrease in individuals’ likelihood of co-authoring an article with another attendant by 18 percent. Moreover, collaborations formed among attendants of (occurring) conferences are associated with more successful co-publications: an effect which is sharpest for teams that are new or non-collocated. These findings are novel and demonstrate the importance of conferences in scientific production.

  • 09/05/17 (terça-feira) – 12h

Palestrante: Cecilia Machado –EPGE-FGV Northwestern University – Economics

Local: Paulo Renato de Souza – 2º Andar

Tema: Centralized Admission and the Student College Match

Resumo: Decentralized assignments in the education market have been increasingly replaced by centralized ones. However, empirical evidence on these transitions is scarce. This paper examines the adoption of centralized admissions in the Brazilian higher education market. Using rich administrative data, we exploit time variation in the adoption of a clearinghouse across institutions to investigate the impacts on student sorting, migration, and enrollment. We find that institutions under the centralized assignment are able to attract students with substantially higher test scores and that geographical mobility of admitted students increases. While there are no sizable effects on final enrollment rates, the higher turnover rate of seats indicates the search is intensified. Overall, our findings indicate positive impacts of centralization on the college market.

  • 25/04/17 (terça-feira) – 12h

Palestrante: Graciela Sanroman– Undelar-Montevideo
Local: Paulo Renato de Souza – 2º Andar
Tema: The Joint Distribution of Income and Wealth in Uruguay

Resumo: This paper analyses the joint distribution of income and wealth in Uruguay, and compares it to those of Chile, Spain and the U.S. using data from Surveys of Household Finances and Wealth. First, we separately analyse each variable of interest and find that wealth is much more concentrated and notably more asymmetric than income. Afterwards, we analyse the joint distribution of income and wealth by using empirical copulas. We find that, similarly to other countries, in Uruguay high income households are among the wealthiest, while low income households are mostly in the bottom of wealth distribution. Finally, we estimate mean and quantile regressions for wealth and income in Uruguay and find that education and inheritances are the major sources of heterogeneity.

  • 29/11/16 (terça-feira) – 12h

Palestrante: Klenio Barbosa – FGV-SP
Local: Sala Paulo Renato de Souza – 2º Andar

Bank Competition and the Limits of Creditor’s Protection Reforms

This paper empirically investigates how the lack of competition in the credit market can hamper the effects of an increase in creditor protection on the interest rate and the spread of loans in the Brazilian credit market. Banking oligopoly pricing theory suggests that the effects of an increase in creditor protections may be limited or absent on interest rates in credit markets which lack competition. Brazil is a perfect testing ground to study the effect of an increase in the creditor protection because in early 2005 a new bankruptcy law was approved by the Brazilian Congress. That new legislation improved corporate creditor protection and the bankruptcy system’s efficiency. Using monthly data provided by the Central Bank of Brazil, which contains information on bank interest rates for corporate and consumer loans, volume of credit,  market power indicators, and other important covariates, we find that the lack of competition hampers 27.5% of the potential reducing effect of the law in the interest rate of new corporate credit operations. If we consider the average market power over all credit lines (treated and control group), then the liming effect represents 295 basis points, or 40.1%. Our results show that an institutional reform in that increases creditors protection has a positive effect on credit condition for firms, but the competition structure of the market matters.

  • 06/12/16 (terça-feira) – 12h

Palestrante: Adalto Barbaceia Gonçalves – Insper
Local:Sala Paulo Renato de Souza – 2º Andar

Trade Credit and Product Market Power during a Financial Crisis

This paper investigates whether product market power affects trade credit decisions. We exploit the 2007-08 credit crisis in the U.S. as an exogenous source of variation in external financing conditions, which in turn affect firms’ ability to exert product market power towards suppliers. We find that firms with high market power increase their payables by more than six days relatively to firms with low market power during the crisis, which is consistent with previous evidence that high market power firms take advantage of early payment discounts. Our inferences are robust to the inclusion of several controls, including financial constraints.

22/11/16 (terça-feira) – 12h – Palestrante: Gabriel Cepaluni
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Compulsory Voting Can Increase Political Inequality: Evidence from Brazil

One of the most robust findings on political institutions is that compulsory voting (CV) reduces the participation gap between poorer and wealthier voters. We present evidence that in Brazil, the largest country to use such a rule, CV increases inequality in turnout. We use individual-level data on 140 million Brazilian citizens and two age-based discontinuities to estimate the heterogeneous effects of CV by educational achievement, a strong proxy for socioeconomic status. Evidence from both thresholds shows that the causal effect of CV on turnout among the more educated is at least twice the size of the effect among those with less education. To explain this result, which is the opposite of what is predicted by the existing literature, we argue that nonmonetary penalties for abstention primarily affect middle- and upper-class voters and thus increase their turnout disproportionately. Survey evidence from a national sample provides evidence for the mechanism. Our results show that studies of CV should consider nonmonetary sanctions, as their effects can reverse standard predictions.

22/11/16 (terça-feira) – 18h – Palestrante: Stephan Henneberg – Queen Mary, University of London
Local: Sala 410 – 4º Andar

Tema: Driver Configurations for Successful Service Infusion

Manufacturers across many industries use service infusion (also known as ‘servitization’) to address changing customer demands and improve their competitive position. However, understanding the drivers of successful service infusion is complex. Using business model and configuration theories, this study conceptualizes and analyzes the interplay of different driver domains for suppliers, customers, and their business relationships. In particular, we analyze how the service offering, service pricing, service capabilities, and the service infusion process interact in affecting service infusion success and failure. 137 interviews relating to 25 cases of service infusion business relationships are analyzed via configuration analysis, in particular fuzzy set qualitative comparative analysis (fsQCA). Results show that different equifinal configurations exist, i.e. different ways to succeed with service infusion. We also find that ‘more is not always better’, for example service infusion success can be achieved without fully developed service capabilities. In addition, successful configurations are often very similar to those leading to failure. A dyadic analysis demonstrates that customer service capabilities are overall more important than those of suppliers as part of configurations. For managers our study shows the importance of relational audits as a starting point for deciding on how to infuse services in a business relationship.

08/11/16 (terça-feira) – 12h – Palestrante: Ivan Canay – Northwestern University
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Inference under Covariate-Adaptive Randomization

This paper studies inference for the average treatment effect in randomized controlled trials with covariate-adaptive randomization. Here, by covariate-adaptive randomization, we mean randomization schemes that first stratify according to baseline covariates and then assign treatment status so as to achieve “balance” within each stratum. Such schemes include, for example, Efron’s biased-coin design and stratified block randomization. When testing the null hypothesis that the average treatment effect equals a pre-specified value in such settings, we first show that the usual two-sample t-test is conservative in the sense that it has limiting rejection probability under the null hypothesis no greater than and typically strictly less than the nominal level. In a simulation study, we find that the rejection probability may in fact be dramatically less than the nominal level. We show further that these same conclusions remain true for a na¨ıve permutation test, but that a modified version of the permutation test yields a test that is non-conservative in the sense that its limiting rejection probability under the null hypothesis equals the nominal level for a wide variety of randomization schemes that achieve what we refer to as “strong balance.” The modified version of the permutation test has the additional advantage that it has rejection probability exactly equal to the nominal level for some distributions satisfying the null hypothesis and some randomization schemes. Finally, we show that the usual t-test (on the coefficient on treatment assignment) in a linear regression of outcomes on treatment assignment and indicators for each of the strata yields a non-conservative test as well under very weak assumptions on the randomization scheme, including randomization schemes that do not achieve “strong balance.” In a simulation study, we find that the non-conservative tests have substantially greater power than the usual two-sample t-test.

19/10/16 (quarta-feira) – 12h – Palestrante: Giuliana Isabella – Insper
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Those Were the Days: Coming of Age Music, Effectiveness of Video Ads, and the Brain that Makes it

Worth millions of dollars spent annually on royalty payments to the music industry, the musical selection featuring in video ads is often a marketing strategy carried out under the premise that, no matter which songs are played, it always works. However, marketing has devoted relatively little attention to the effects of music on behavioral measures of ad effectiveness. This study assesses the impact of music, in particular pop songs, on the effectiveness of video ads across different age segments and test whether this impact depends on a match between the musical selection and the time period of consumers’ coming of age, i.e. adolescence to mid-20s; and explores the underlying neurological mechanisms that help explain why that may be the case. Empirically, we conduct a large-scale cohort-based experimental study that allows us to analyze the actual viewing behavior of thousands of participants and a functional magnetic resonance imaging study to investigate the mechanism behind the behaviors. We conclude by discussing our findings and their implications.

18/10/16 (terça-feira) – 12h –Palestrante: Carlos Eugenio da Costa – EPGE
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Taxation of Couples: a Mirrleesian Approach for Non-Unitary Households

Optimal tax theory in the Mirrlees’ tradition implicitly relies on the assumption that all agents are single or that couples may be treated as individual.
We consider instead an economy where agents may either be single or married, in which case choices result from Nash bargaining between spouses. In such environment, any mechanism must play the dual role of: i) defining households’ objective functions through its impact on threat points, and; ii) inducing the desired allocations as optimal choices for households given these objectives.We find that the taxation principle which asserts that there is no loss in relying on tax schedules is not valid here: there are constrained efficient allocations which cannot be implemented via taxes.More sophisticated mechanisms expand the set of implementable allocations by: i) aligning the households’ and planner’s objectives; ii) manipulating taxable income elasticities, and; iii) freeing the design of singles’ taxation from its consequences on couples’ objectives.

11/10/16 (terça-feira) – 12h –Palestrante: Ricardo Ceneviva– UERJ
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Land Inequality and Rural Unrest: Theory and Evidence from Brazil

What is the relationship between landholding inequality and rural unrest? And why does land reform that ostensibly addresses rural grievances sometimes exacerbate unrest? We advance the understanding of these longstanding questions by shifting the emphasis from how landholding inequality fuels rural grievances to how it captures the collective action capacity of landowners. Using municipal-level data from Brazil’s large land reform program from 1988 – 2013, we demonstrate that the relationship between landholding inequality and unrest is conditional. Isolated threats to landed elites in the form of land invasions are difficult to repel, generating a positive relationship between landholding inequality and one- off land invasions. By contrast, sustained, broader local threats triggered by nearby land reforms catalyze landowner organization to repel land invasions, leading to the reverse rela- tionship. The findings provide a novel answer for why a straightforward link between land inequality and rural unrest is elusive, and may generalize to a broad range of similar cases.

13/09/16 (terça-feira) – 12h –Palestrante: Paula Pereda –USP
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: The Value of Brazilian Climate: New Evidence from a Spatial Equilibrium Model with Two Sectors

In Brazil, winter temperatures are expected to increase up to 8.7 degrees Fahrenheit in certain regions of the country. As changes in the climate unfold, quantifying the effects of these changes on welfare is crucial in order to inform policy. In this paper, we set up a spatial equilibrium model to estimate the willingness to pay for climate amenities in Brazil. To account for the role of climate on agriculture wages, we adapt the framework and model two local productive sectors – agriculture and non-agriculture. Our estimates indicate that, even in milder climate settings like Brazil, individuals are willing to pay large amounts to increase temperatures during colder seasons and decrease temperatures during warmer seasons, although the willingness to pay for climate amenities is much higher among non-agriculture workers. Counterfactual simulations from different climate scenarios reveal an increase in equilibrium migration rates and sizable negative effects of climate change on welfare for non-agriculture workers. The simulations also indicate that climate change effects on welfare for agriculture workers were positive, which can be attributed to sharp predicted increases in temperature during the winter season that have offset the disutility from increased summer temperatures.

20/09/16 (terça-feira) – 12h – Palestrante: Mauricio Cortez Reis – IPEA
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Fields of study and the earnings gap by in Brazil

Workers with tertiary education in Brazil earn three times more than those with a lower level of schooling. Thus, the attainment of a bachelor’s or graduate degree by a black worker usually provides important benefits at the individual level. However, an educational improvement of this type does not assure equal labor market outcomes compared to white workers with the same level of education. The labor earnings differential by race in Brazil is high even among individuals who completed at least a bachelor’s degree. This paper investigates this labor earnings gap, emphasizing the unequal distribution of whites and blacks across fields of study. Evidence indicates that disparities in the distributions of racial groups across fields of study help explain 18% of the total median earnings differential in 2000 and 33% in 2010, accounting for most of the gap between white and black workers due to characteristic effects in this latter period.

27/09/16 (terça-feira) – 12h – Palestrante: Claudio Ferraz – PUC Rio
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Do government audits reduce corruption? Estimating the impact of exposing corrupt politicians

Political corruption is considered a major impediment to economic development, and yet it remains pervasive throughout the world. This paper examines the extent to which government audits of public resources can reduce corruption by enhancing political and judiciary accountability. We do so in the context of Brazil’s anti- corruption program, which randomly audits municipalities for their use of federal funds. We find that being audited in the past reduces future corruption by 8 percent, while also increasing the likelihood of experiencing a subsequent legal action by 20 percent. We interpret these reduced-form findings through a political agency model, which we structurally estimate. Based on our estimated model, the reduction in corruption comes mostly from the audits increasing the perceived threat of the non-electoral costs of engaging in corruption.

04/10/16 (terça-feira) – 12h – Palestrante: Felipe Iachan – EPGE
Local:
Sala Paulo Renato de Souza – 2º Andar

Tema: The Choice Channel of Financial Innovation

Financial innovations in recent decades have vastly expanded portfolio choice. We theoretically investigate how greater choice a§ects investorsísavings and asset returns, when investors speculate on their heterogeneous beliefs. Under mild assumptions, we establish a choice channel by which greater portfolio choice induces investors to save more. The e§ect on asset returns depends on the type of Önancial innovation. Portfolio customization (access to risky assets other than the market portfolio) reduces the risk-free rate and leaves the risk premia unchanged. We also analyze participation (access to the market portfolio) and securitization (ability to issue risk-free debt to purchase risky assets).

05/10/16 (quarta-feira) – 12h – Palestrante: Abhishek Nayak – IE Business School
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Strategic Media Selection during Economic Fluctuations: Choice between Asynchronous and Simultaneous Media Usage

Recessions lead to decreased disposable income and the resulting consumer spending cuts require marketers to strategically allocate their limited advertising budgets. Although research has shown that proactive and targeted campaigns by firms are more effective than decreased marketing efforts during economic downturns, changes in the influence of individual media on consumer purchases are largely unexplored. Today’s consumers are exposed to ‘simultaneous media’, effects of which could be different from ‘asynchronous media’. Using survey data from the US in the clothing category during the 2008 economic recession, we estimate the impacts of advertising media on purchase intentions. We analyze the changes in media influences across three critical periods – pre-recession, during recession and post-recession, to understand the evolution in behavioral patterns. We find that ‘simultaneous’ media usage during economic downturns has positive influence on purchases, while during stable periods, ‘asynchronous’ media usage is effective. We also find that all media synergies are not positive, as the effects of some media lose prominence while others become obsolete thus providing evidence of complementarity and substitutability across advertising mediums. Insights from this research can help marketers to allocate their budgets efficiently during recessions and identify relevant media synergies for consumer targeting.

10/10/16 (segunda-feira) – 12h – Palestrante: Renato Barcelos – HEC Montréal
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: How a Brand’s Tone of Voice on Social Media Influences Consumer Responses

Social media platforms enable firms to communicate directly and often publicly with individual consumers. In this research, four online studies investigate how the tone of voice used by firms (human vs. corporate) influences consumer responses (purchase intentions) on social media. Findings suggest that a human tone of voice is not always the firm’s best option. Factors such as consumer goals, situational involvement, and the valence of page posts interact with the firm’s tone of voice, and in some conditions a human tone of voice worsens consumer responses. Based on these findings, a set of guidelines for managers is proposed.

11/10/16 (terça-feira) – 12h – Palestrante: Ricardo Ceneviva– UERJ
Local: Sala Paulo Renato de Souza – 2º Andar

13/10/16 (quinta-feira) – 12h – Palestrante: Giuliana Isabella – Insper
Local: Sala Paulo Renato de Souza – 2º Andar

18/10/16 (terça-feira) – 12h – Palestrante: Carlos Eugenio da Costa – EPGE
Local: Sala Paulo Renato de Souza – 2º Andar
18/10/16 (terça-feira) – 18h – Palestrante: Brayden King – Northwestern University
Local: Sala 410 – 4º Andar

25/10/16 (terça-feira) – 12h – Palestrante: Lorenzo Bastianello – IMPA/Paris School of Economics
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Target-based solutions for Nash bargaining

We revisit the Nash model for two-person bargaining. A mediator knows agents’ ordinal preferences over feasible proposals, but has incomplete information about their acceptance thresholds. We provide a behavioral characterization under which the mediator recommends a proposal that maximises the probability that bargainers strike an agreement. Some major solutions are recovered as special cases; in particular, we offer a straightforward interpretation for the product operator underlying the Nash solution.

01/11/16 (terça-feira) – 12h – Palestrante: Rafael Izbicki – UF São Carlos
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Converting High-dimensional Regression to High-dimensional Conditional Density-Estimation

There is a growing demand for nonparametric conditional density estimators (CDEs) in fields such as astronomy and economics. In cosmology, for example, one can dramatically improve estimates of the parameters that dictate the evolution of the Universe by working with full conditional densities instead of regression (i.e., conditional mean) estimates. More generally, standard regression falls short in any prediction problem where the distribution of the response is more complex with multi-modality, asymmetry or heteroscedastic noise. Nevertheless, much of the work on high-dimensional inference concerns regression and classification only. Here we propose FlexCode, a fully nonparametric approach to conditional density estimation that reformulates CDE as a non-parametric orthogonal series problem where the expansion coefficients are estimated by regression. By taking such an approach, one can efficiently estimate conditional densities in high dimensions by drawing upon the success in high-dimensional regression. Depending on the choice of regression procedure, our method can adapt to a variety of challenging high-dimensional settings with, for example, a large number of irrelevant components or nonlinear manifold structure in the data. We study the theoretical and empirical performance of our proposed method, and we compare our approach with traditional conditional density estimators on simulated as well real-world data. This is joint work with Ann B. Lee (Carnegie Mellon University).

08/11/16 (terça-feira) – 12h – Palestrante:Ivan Canay – Northwestern University
Local: Sala Paulo Renato de Souza – 2º Andar

08/11/16 (terça-feira) – 18h – Palestrante: Octavio Martinez – INCAE Business School
Local: Sala 410 – 4º Andar

21/11/16 (terça-feira) – 12h – Palestrante: Paul Ferreira – Insper
Local: Sala Paulo Renato de Souza – 2º Andar

22/11/16 (terça-feira) – 12h – Palestrante: Gabriel Cepaluni – UNESP
Local: Sala Paulo Renato de Souza – 2º Andar

Tema: Compulsory Voting Can Increase Political Inequality: Evidence from Brazil

One of the most robust findings on political institutions is that compulsory voting (CV) reduces the participation gap between poorer and wealthier voters. We present evidence that in Brazil, the largest country to use such a rule, CV increases inequality in turnout. We use individual-level data on 140 million Brazilian citizens and two age-based discontinuities to estimate the heterogeneous effects of CV by educational achievement, a strong proxy for socioeconomic status. Evidence from both thresholds shows that the causal effect of CV on turnout among the more educated is at least twice the size of the effect among those with less education. To explain this result, which is the opposite of what is predicted by the existing literature, we argue that nonmonetary penalties for abstention primarily affect middle- and upper-class voters and thus increase their turnout disproportionately. Survey evidence from a national sample provides evidence for the mechanism. Our results show that studies of CV should consider nonmonetary sanctions, as their effects can reverse standard predictions.

16/08/16 (terça-feira) – 12h – Palestrante: Naercio Menezes – Insper
Local:
Sala Paulo Renato de Souza – 2º Andar

Tema: Minimum Wages, Early Child Development and Human Capital Outcomes: Longitudinal Evidence from Brazil

This paper examines the effect of the average real value of the minimum wage in the first months of life on early child development and long-run human capital outcomes for a cohort born in Pelotas (Brazil) in a period of hyperinflation. It uses the variation coming from the day of birth within a month to identify the effects of the minimum wage on human capital. It shows that the average daily minimum wage during the first year of life has a large effect on weight, height and socioemotional skills when the children reach 11 year-olds and also on schooling and high school graduation when they are 18, but only for the children of low educated mothers.

23/08/16 (terça-feira) – 12h – Palestrante: Marcos Nakaguma – USP
Local:
Sala Paulo Renato de Souza – 2º Andar

Tema: Public versus Secret Voting in Committtees

This paper studies a committee decision-making problem. Committee members are heterogeneous in their competence, they are biased towards one of the alternatives and career oriented, and they can choose whether to vote or abstain. The interaction between career concern and bias affects the voting behavior of members depending on transparency of individual votes. We show that transparency attenuates the pre-existing biases of competent members and exacerbates the biases of incompetent members. Public voting leads to better decisions when the magnitude of the bias is large, while secret voting performs better otherwise. We provide experimental evidence supporting our theoretical conclusions.

23/08/16 (terça-feira) – 18h – Palestrante: Ishani Aggarwal – FGV Rio
Local: Sala 410 – 4º Andar

Tema: Cognitive Diversity, Collective Intelligence and Learning in Teams

Team learning, or the rate at which teams improve as a function of experience, is the foundation of organizational learning. We study how cognitive style diversity in teams—or diversity in team members encode, organize and process information—indirectly influences team learning. We identify team collective intelligence, or the ability of teams to perform at consistently high levels across a wide array of domains, as a cognitive mechanism that influences this relationship. Using tenets of the law of requisite variety, we predict and find that cognitive style diversity has a curvilinear—inverted U-shaped—relationship with collective intelligence. Collective intelligence is further positively related to the rate at which teams improve in their implicit coordination, a process essential for team effectiveness. This research advances our understanding of the compositional factors and emergent states that explain why some teams demonstrate high levels of team learning in dynamic situations while others do not.

30/08/16 (terça-feira) – 12h – Palestrante: Nelson Camanho – CATÓLICA LISBON BUSINESS & ECONOMICS
Local:
Sala Paulo Renato de Souza – 2º Andar

Tema: The Mortgage Illusion

We propose and test a new heuristic on the decision to buy or rent a house: the mortgage illusion, in which potential home buyers are influenced by the comparison between the monthly rental payment and the monthly mortgage installment, for fixed rate mortgages. We find experimental evidence that home buyers are more likely to buy when the monthly rental payment is higher than the monthly mortgage installment. Our experimental designs and results are robust to ownership bias and home buyers’ budget constraints. Financial literacy and numeracy do not help to overcome the mortgage illusion.

06/09/16 (terça-feira) – 12h – Palestrante: Vladimir Ponczek – FGV-SP
Local:
Sala Paulo Renato de Souza – 2º Andar

28/06/16 (terça-feira) – 12h – Palestrante: Flávio Bambirra Gonçalves – UFMG
Local: Sala Paulo Renato De Souza – 2º Andar
07/06/16 (terça-feira) – 12h – Palestrante: Geert Ridder – University of Southern California
Local: Sala Paulo Renato De Souza – 2º Andar

07/06/16 (terça-feira) – 18h – Palestrante: Vinicius A. Brei – UFRGS
Local: Sala 308 – 3º Andar

31/05/16 (terça-feira) – 12h – Palestrante: Flavio A. Ziegelmann – UFRGS
Local: Sala Paulo Renato De Souza – 2º Andar

24/05/16 (terça-feira) – 12h – Palestrante: Gustavo Gonzaga – PUC Rio
Local: Sala Paulo Renato De Souza – 2º Andar

14/06/16 (terça-feira) – 12h – Palestrante: Fabio Miessi – USP
Local: Sala Paulo Renato De Souza – 2º Andar

17/05/16 (terça-feira) – 12h – Palestrante: José Heleno Faro – Insper

Local: Sala Paulo Renato De Souza – 2º Andar

10/05/16 (terça-feira) – 12h – Palestrante: Lucas Jóver Maestri – Epge – FGV

Local: Sala Paulo Renato De Souza – 2º Andar

03/05/16 (terça-feira) – 12h – Palestrante: Nathalie Sanches – USP

Local: Sala Paulo Renato De Souza – 2º Andar

03/05/16 (terça-feira) – 18h – Palestrante: Arnaldo Mauerberg Junior – Insper e FGV

Local: Sala Victor Civita – 3º Andar

19/04/16 (terça-feira) – 12h – Palestrante: Ricardo Pereira – USP

Local: Sala Paulo Renato De Souza – 2º Andar

12/04/16 (terça-feira) – 12h – Palestrante: Claudio Lucinda – USP Ribeirão Preto

Local: Sala Paulo Renato De Souza – 2º Andar

05/04/16 (terça-feira) – 12h – Palestrante: Tiago Berriel – PUC Rio

Local: Sala Souza Dantas – 2º Andar

29/03/16 (segunda-feira) – 12h – Palestrante: Leonardo Rezende – PUC Rio

Local: Sala 410 – 4º Andar

26/02/16 (sexta-feira) – 12h – Palestrante: Iuri Gavronski – Unisinos

Local: Sala Paulo Renato De Souza – 2º Andar

25/02/16 (Quinta-Feira) – 12h – Palestrante: René Garcia – Edhec Business School

Local: Sala 206 – 2º Andar

22/03/16 (segunda-feira) – 12h – Palestrante: Cecilia Machado – Epge – FGV

Local: Sala Paulo Renato De Souza – 2º Andar

01/03/16 (terça-feira) – 12h – Palestrante: Bruno Ferman – EESP-FGV

Local: Sala Paulo Renato De Souza – 2º Andar

18/02/16 (quinta-feira) – 18h – Palestrante: Gerald McDermott – University of South Carolina & Universidad Austral, Argentina

Local: 203 – 2º andar

16/02/16 (terça-feira) – 12h – Palestrante: Marcelo Sant’Anna – Yale University

Local: Paulo Renato De Souza – 2º Andar

12/01/2016 (terça-feira) – 18h – Palestrante: Caio Almeida – EPGE – FGV

Nonparametric Tail Risk and Stock Returns: Predictability and Risk Premia.

Abstract: This paper proposes a novel way to estimate tail risk incorporating risk-neutral information without making use of options data. Adopting a nonparametric approach,
we derive a risk neutral measure that correctly prices a chosen panel of stocks returns. We make use of this measure to derive a tail risk factor as the price of a synthetic out-of-the money put option. Using 25 Fama-French size and book to market portfolios to estimate tail risk, we find that our factor has significant
predictive power when forecasting aggregate U.S. macroeconomic activity indexes and yield spreads. Impulse response functions also reveal that shocks in Tail Risk impact negatively employment and industrial production in the short-run. In addition, portfolios of individual stocks sorted by Tail Risk exposure reveal that when adopting “high minus low” strategies, our factor presents a negative statistically significant excess return.


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