Universidade Federal do Rio Grande do Norte Natal, 12 de Maio de 2024

Resumo do Componente Curricular

Dados Gerais do Componente Curricular
Tipo do Componente Curricular: DISCIPLINA
Unidade Responsável: PROGRAMA DE PÓS-GRADUAÇÃO EM ADMINISTRAÇÃO - PPGA (16.21)
Código: PGA4038
Nome: APREÇAMENTO DE ATIVOS
Carga Horária Teórica: 30 h.
Carga Horária Prática: 0 h.
Carga Horária Total: 30 h.
Pré-Requisitos:
Co-Requisitos:
Equivalências:
Excluir da Avaliação Institucional: Não
Matriculável On-Line: Sim
Horário Flexível da Turma: Não
Horário Flexível do Docente: Sim
Obrigatoriedade de Nota Final: Sim
Pode Criar Turma Sem Solicitação: Não
Necessita de Orientador: Não
Exige Horário: Sim
Permite CH Compartilhada: Não
Permite Múltiplas Aprovações: Sim
Quantidade Máxima de Matrículas: 1
Quantidade de Avaliações: 1
Ementa/Descrição: Econometria do apreçamento de ativos, estimação GMM, Bayesian Learning, viés comportamental no apreçamento de ativos
Referências: Akhtar, Shumi, Robert Faff, Barry Oliver, and Avanidhar Subrahmanyam. “Stock Salience and the Asymmetric Market Effect of Consumer Sentiment News.” Journal of Banking & Finance, Systemic risk, Basel III, global financial stability and regulation, 36, no. 12 (Dezembro 2012): 3289–3301. doi:10.1016/j.jbankfin.2012.07.019. Antoniou, Constantinos, John A. Doukas, and Avanidhar Subrahmanyam. “Cognitive Dissonance, Sentiment, and Momentum.” Journal of Financial and Quantitative Analysis 48, no. 01 (2013): 245–75. doi:10.1017/S0022109012000592. Barberis, Nicholas, Andrei Shleifer, and Robert Vishny. “A Model of Investor Sentiment.” Journal of Financial Economics 49, no. 3 (September 1, 1998): 307–43. doi:10.1016/S0304-405X(98)00027-0. Brennan, Michael J., Tarun Chordia, Avanidhar Subrahmanyam, and Qing Tong. “Sell-Order Liquidity and the Cross-Section of Expected Stock Returns.” Journal of Financial Economics 105, no. 3 (Setembro 2012): 523–41. doi:10.1016/j.jfineco.2012.04.006. Carvalhal da Silva, Andre, and Avanidhar Subrahmanyam. “Dual-Class Premium, Corporate Governance, and the Mandatory Bid Rule: Evidence from the Brazilian Stock Market.” Journal of Corporate Finance 13, no. 1 (March 2007): 1–24. doi:10.1016/j.jcorpfin.2006.12.003. Chordia, Tarun, Richard Roll, and Avanidhar Subrahmanyam. “Recent Trends in Trading Activity and Market Quality.” Journal of Financial Economics 101, no. 2 (Agosto 2011): 243–63. doi:10.1016/j.jfineco.2011.03.008. Chordia, Tarun, and Avanidhar Subrahmanyam. “Order Imbalance and Individual Stock Returns: Theory and Evidence.” Journal of Financial Economics 72, no. 3 (June 2004): 485–518. doi:10.1016/S0304-405X(03)00175-2. Chordia, Tarun, Avanidhar Subrahmanyam, and Qing Tong. “Have Capital Market Anomalies Attenuated in the Recent Era of High Liquidity and Trading Activity?” Journal of Accounting and Economics 58, no. 1 (Agosto 2014): 41–58. doi:10.1016/j.jacceco.2014.06.001. Daniel, Kent, David Hirshleifer, and Avanidhar Subrahmanyam. “Investor Psychology and Security Market Under- and Overreactions.” The Journal of Finance 53, no. 6 (Dezembro 1998): 1839–85. doi:10.1111/0022-1082.00077. Danthine, Jean-Pierre, and John B. Donaldson. Intermediate Financial Theory, Second Edition. 2 edition. Amsterdam; Boston, Mass.: Academic Press, 2005. Dormady, Noah C. “Carbon Auctions, Energy Markets & Market Power: An Experimental Analysis.” Energy Economics 44 (July 2014): 468–82. doi:10.1016/j.eneco.2014.03.013. Elton, Edwin J., Martin J. Gruber, Stephen J. Brown, and William N. Goetzmann. Modern Portfolio Theory and Investment Analysis. 8 edition. Hoboken, NJ: Wiley, 2009. Hirshleifer, David, Avanidhar Subrahmanyam, and Sheridan Titman. “Feedback and the Success of Irrational Investors.” Journal of Financial Economics 81, no. 2 (Agosto 2006): 311–38. doi:10.1016/j.jfineco.2005.05.006. Holden, Craig W., and Avanidhar Subrahmanyam. “Long-Lived Private Information and Imperfect Competition.” The Journal of Finance 47, no. 1 (March 1992): 247. doi:10.2307/2329097. Hull, John C. Options, Futures and Other Derivatives. 6th edition. Upper Saddle River, NJ: Prentice Hall, 2005. Kahneman, Daniel. “Prize Lecture by Daniel Kahneman - Media Player at Nobelprize.org,” 2002. http://www.nobelprize.org/mediaplayer/index.php?id=531. Kahneman, Daniel, and Amos Tversky. Choices, Values, and Frames. 1 edition. New York; Cambridge, UK: Cambridge University Press, 2000. ———. “Prospect Theory: An Analysis of Decision under Risk.” Econometrica 47, no. 2 (March 1979): 263. doi:10.2307/1914185. Manera, Matteo, Marcella Nicolini, and Ilaria Vignati. “Modelling Futures Price Volatility in Energy Markets: Is There a Role for Financial Speculation?” Energy Economics, 2014. doi:10.1016/j.eneco.2014.07.001. Nawrocki, David, and Fred Viole. “Behavioral Finance in Financial Market Theory, Utility Theory, Portfolio Theory and the Necessary Statistics: A Review.” Journal of Behavioral and Experimental Finance 2 (June 2014): 10–17. doi:10.1016/j.jbef.2014.02.005. Paige Fields, L., Donald R. Fraser, and Avanidhar Subrahmanyam. “Board Quality and the Cost of Debt Capital: The Case of Bank Loans.” Journal of Banking & Finance 36, no. 5 (Maio 2012): 1536–47. doi:10.1016/j.jbankfin.2011.12.016. Pflug, Georg C., and Nikola Broussev. “Electricity Swing Options: Behavioral Models and Pricing.” European Journal of Operational Research 197, no. 3 (Setembro 2009): 1041–50. doi:10.1016/j.ejor.2007.12.047. Rego, Erik Eduardo, and Virginia Parente. “Brazilian Experience in Electricity Auctions: Comparing Outcomes from New and Old Energy Auctions as Well as the Application of the Hybrid Anglo-Dutch Design.” Energy Policy, Special section: Long Run Transitions to Sustainable Economic Structures in the European Union and Beyond, 55 (Abril 2013): 511–20. doi:10.1016/j.enpol.2012.12.042. Roll, Richard, Eduardo Schwartz, and Avanidhar Subrahmanyam. “Options Trading Activity and Firm Valuation.” Journal of Financial Economics 94, no. 3 (Dezembro 2009): 345–60. doi:10.1016/j.jfineco.2009.02.002. ———. “Trading Activity in the Equity Market and Its Contingent Claims: An Empirical Investigation.” Journal of Empirical Finance 28 (Setembro 2014): 13–35. doi:10.1016/j.jempfin.2014.05.007. Roll, Richard, and Avanidhar Subrahmanyam. “Liquidity Skewness.” Journal of Banking & Finance 34, no. 10 (Outubro 2010): 2562–71. doi:10.1016/j.jbankfin.2010.04.012. Sklavos, Konstantinos, Lammertjan Dam, and Bert Scholtens. “The Liquidity of Energy Stocks.” Energy Economics 38 (July 2013): 168–75. doi:10.1016/j.eneco.2013.02.015. Subrahmanyam, A. “A Theory of Trading in Stock Index Futures.” Review of Financial Studies 4, no. 1 (January 1, 1991): 17–51. doi:10.1093/rfs/4.1.17. Subrahmanyam, Avanidhar. “Algorithmic Trading, the Flash Crash, and Coordinated Circuit Breakers.” Borsa Istanbul Review 13, no. 3 (Setembro 2013): 4–9. doi:10.1016/j.bir.2013.10.003. ———. “Optimal Financial Education.” Review of Financial Economics 18, no. 1 (January 2009): 1–9. doi:10.1016/j.rfe.2008.10.003. Talpsepp, Tõnn, Martin Vlcek, and Mei Wang. “Speculating in Gains, Waiting in Losses: A Closer Look at the Disposition Effect.” Journal of Behavioral and Experimental Finance 2 (June 2014): 31–43. doi:10.1016/j.jbef.2014.04.001. Tversky, Amos, and Daniel Kahneman. “Advances in Prospect Theory: Cumulative Representation of Uncertainty.” Journal of Risk and Uncertainty 5, no. 4 (October 1, 1992): 297–323. doi:10.1007/BF00122574.

SIGAA | Superintendência de Tecnologia da Informação - (84) 3342 2210 | Copyright © 2006-2024 - UFRN - sigaa07-producao.info.ufrn.br.sigaa07-producao v4.12.21