20/09/2020 - 15:26

Here is a thread with a short description each of the articles published in this issue:

 

Day-trading stocks for a living? (lead article)

Chague and Giovanetti study the performance of all 98,378 individuals who started to day-trade stocks in Brazil between 2013 and 2016. They show that a very small portion of investors -  only 127 individuals - presented an average daily gross profit higher than R$ 100 for more than 300 days.

 

Hedging the Brazilian stock index in the era of low interest rates: What has changed?

Aiube and Faquieri analyze the ability of different asset classes to hedge the Brazilian stock index in periods of high and low interest rates. The authors find that from the perspective of a local investor, the exchange rate (R$/US$) and gold are the assets least correlated with equities. From the standpoint of a foreign investor, commodity index and fixed-income assets are the most useful. 

 

Relationships between price-earnings ratios and returns of Treasury bonds

Amorin and Camargos develops a method to construct P/E ratios for the Brazilian stock market. The authors find a significant long-term relationships between both P/E1 and P/E10 ratios and the relevant interest rates, suggesting that the Fed Model is in line with the behavior of the Brazilian financial market.

 

Portfolio management under multiple regimes: Out-of-sample performance

Lewin and Campani propose a dynamic allocation strategy for an investor based on unobservable economic regimes. The out-of-sample performance of the proposed strategy exceeds those of the benchmark strategies in 6 out of 10 years, with a weekly average return significantly higher than any benchmark at the usual confidence levels.

 

Forecast value-at-risk for the cryptocurrency market using Markov-switching EGARCH models

Marschner and Ceretta study volatility behavior of six highly representative cryptocurrencies using EGARCH and Markov-switching EGARCH models. The authors also obtain value-at-risk (VaR estimates). In their in-sample analysis, the regime change model confirms the existence of two states. In their out-of-sample analysis, the value-at-risk predictions of the regime change model clearly exceed the single-regime model by the extreme quantile of 1%.