Essays on Asset Pricing Factor Models: Evidences on Idiosyncratic Volatility, Emerging Markets and Monetary Policy

Abstract

To my advisor, Professor Marcelo Cabús Klotzle, for his support and guidance during this long path, and my technical advisor from Brazilian Central Bank, Cláudio Henrique da Silva Barbedo for his friendship and indefectible help in all times.To the Brazilian Central Bank, its Post-Graduate Program (PPG), the staff of the UNIBACEN / DIOPE / CPROG and the friends from the COPES / PASBC, through which this work became possible.To all members of the Examining Committee for their invaluable comments and suggestions.To my wife whose love and dedication gave me the needed confidence to realize this project. To my son, unconditional love.To the teachers, in particular Prof Antonio Carlos Figueiredo Pinto, and staff of IAG, highlighting Teresa Campos, for the excellent courses and invaluable support. Without them this work would not have been possible.To my parents, Fabio Antonio Leite and Dilma de Azevedo Leite, for all guidance, support and moral values that made me who I am. To my father-in-law and mother-in-law for their support and invaluable help in difficult times. To my brothers and sisters, by birth or by choose, brother-in-law, sister-in-law, nephews and nieces for all the encouragement and for the pleasant and invigorating hours of joy during our birthdays, holidays, and weekends.To Pontifical Catholic University of Rio de Janeiro for the aid granted.To the Secretaries Lilian and Sandra for the friendship and competence.To all my friends and colleagues in Brazilian Central Bank, in particular to Rosana Marques Oliveira Roman, who, gently, helped me getting part of the database needed to carry on the job, more than once, to