No abstract

JEL Code: G14; G24: G32.This paper examines the underwriters' treatment of information throughout the IPO pricing process based on a sample of Brazilian companies that went public between 2004 and 2011. There is evidence that the offer price partially incorporates the information contained into the Bovespa index during the book-building period, reacting symmetrically to upward and downward movements. The first-day return, as a result, is predictable on the basis of this information. Positive private information disclosed during the book-building period is also partially incorporated into the offer price. Issues priced above the midpoint of the initial price range are associated with higher initial returns. Este artigo examina o tratamento da informação pelo coordenador líder

This paper formulates and estimates a comparative advantage model of migration in which individuals maximize the value of log earnings, net of moving costs, by choosing between a pair of locations. Using a subsample of males from the 2003 wave of the PNAD, a comprehensive Brazilian national household survey, I construct six measures to assess the impact of migration on earnings. The results do not support the common notion that migrants constitute a positive selected subsample of the population, i.e., that they have unobservable traits which make them more productive than non-migrants at the destination, after controlling for observable characteristics.

This paper applies the Markov switching regression model of stock returns with volatility feedback of Turner et al. (1989), suitably extended to incorporate endogenous regime shifts, as in Kim et al. (2008), to examine the intertemporal relationship between risk premium and volatility in the Brazilian stock market over the period 1995-2011. The results suggest that there is a positive relationship between risk premium and expected volatility once the volatility feedback effect is taken into account. By contrast, unanticipated increases in volatility have a negative impact on risk premium. This negative impact increases by 50% when I account for endogeneity of regime shifts.

No abstract