Universidade Federal do Rio Grande do Norte Natal, 11 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: PPGA0078
Nome: FINANÇAS COMPORTAMENTAIS
Carga Horária Teórica: 60 h.
Carga Horária Prática: 0 h.
Carga Horária Total: 60 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
Quantidade de Avaliações: 1
Ementa/Descrição: Eficiência, Racionalidade de Agentes e Expectativas Racionais e Adaptativas. Teorias de propagação de preços e retornos. Teoria da Escolha. Vieses Heurísticos. Mudança de sentido: Overreaction. Tendência: Underreaction. Ilusão Monetária.
Referências: Akhtar, Shumi, Robert Faff, Barry Oliver, e Avanidhar Subrahmanyam. 2012. “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 (12): 3289–3301. https://doi.org/10.1016/j.jbankfin.2012.07.019. Antoniou, Constantinos, John A. Doukas, e Avanidhar Subrahmanyam. 2013. “Cognitive Dissonance, Sentiment, and Momentum”. Journal of Financial and Quantitative Analysis 48 (01): 245–75. https://doi.org/10.1017/S0022109012000592. Barberis, Nicholas, Andrei Shleifer, e Robert Vishny. 1998. “A model of investor sentiment”. Journal of Financial Economics 49 (3): 307–43. https://doi.org/10.1016/S0304-405X(98)00027-0. Brennan, Michael J., Tarun Chordia, Avanidhar Subrahmanyam, e Qing Tong. 2012. “Sell-order liquidity and the cross-section of expected stock returns”. Journal of Financial Economics 105 (3): 523–41. https://doi.org/10.1016/j.jfineco.2012.04.006. Campbell, John Y. 2017. Financial Decisions and Markets: A Course in Asset Pricing. Princeton University Press. Carvalhal da Silva, Andre, e Avanidhar Subrahmanyam. 2007. “Dual-class premium, corporate governance, and the mandatory bid rule: Evidence from the Brazilian stock market”. Journal of Corporate Finance 13 (1): 1–24. https://doi.org/10.1016/j.jcorpfin.2006.12.003. Chordia, Tarun, Jianfeng Hu, Avanidhar Subrahmanyam, e Qing Tong. 2014. “Shocks to Order Flow Volatility and Stock Returns”. SSRN Scholarly Paper ID 2517219. Rochester, NY: Social Science Research Network. https://papers.ssrn.com/abstract=2517219. ———. 2017. “Order Flow Volatility and Equity Costs of Capital”. SSRN Scholarly Paper ID 2428041. Rochester, NY: Social Science Research Network. https://papers.ssrn.com/abstract=2428041. Chordia, Tarun, Richard Roll, e Avanidhar Subrahmanyam. 2011. “Recent trends in trading activity and market quality”. Journal of Financial Economics 101 (2): 243–63. https://doi.org/10.1016/j.jfineco.2011.03.008. Chordia, Tarun, e Avanidhar Subrahmanyam. 2004. “Order imbalance and individual stock returns: Theory and evidence”. Journal of Financial Economics 72 (3): 485–518. https://doi.org/10.1016/S0304-405X(03)00175-2. Chordia, Tarun, Avanidhar Subrahmanyam, e Qing Tong. 2014. “Have capital market anomalies attenuated in the recent era of high liquidity and trading activity?” Journal of Accounting and Economics 58 (1): 41–58. https://doi.org/10.1016/j.jacceco.2014.06.001. Cvitanić, Jakša, e Hao Xing. 2018. “Asset pricing under optimal contracts”. Journal of Economic Theory 173 (janeiro): 142–80. https://doi.org/10.1016/j.jet.2017.10.005. Daniel, Kent, David Hirshleifer, e Avanidhar Subrahmanyam. 1998. “Investor Psychology and Security Market Under- and Overreactions”. The Journal of Finance 53 (6): 1839–85. https://doi.org/10.1111/0022-1082.00077. Danthine, Jean-Pierre, e John B. Donaldson. 2005. Intermediate Financial Theory, Second Edition. 2 edition. Amsterdam; Boston, Mass.: Academic Press. Dormady, Noah C. 2014. “Carbon auctions, energy markets & market power: An experimental analysis”. Energy Economics 44 (julho): 468–82. https://doi.org/10.1016/j.eneco.2014.03.013. Elton, Edwin J., Martin J. Gruber, Stephen J. Brown, e William N. Goetzmann. 2009. Modern Portfolio Theory and Investment Analysis. 8 edition. Hoboken, NJ: Wiley. Grinblatt, Mark, e Matti Keloharju. 2000. “The investment behavior and performance of various investor types: a study of Finland’s unique data set”. Journal of Financial Economics 55 (1): 43–67. https://doi.org/10.1016/S0304-405X(99)00044-6. Hirshleifer, David, Avanidhar Subrahmanyam, e Sheridan Titman. 2006. “Feedback and the success of irrational investors”. Journal of Financial Economics 81 (2): 311–38. https://doi.org/10.1016/j.jfineco.2005.05.006. Holden, Craig W., e Avanidhar Subrahmanyam. 1992. “Long-Lived Private Information and Imperfect Competition”. The Journal of Finance 47 (1): 247. https://doi.org/10.2307/2329097. Hull, John C. 2005. Options, Futures and Other Derivatives. 6th edition. Upper Saddle River, NJ: Prentice Hall. Kahneman, Daniel. 2002. “Prize Lecture by Daniel Kahneman - Media Player at Nobelprize.org”. 2002. http://www.nobelprize.org/mediaplayer/index.php?id=531. Kahneman, Daniel, e Amos Tversky. 1979. “Prospect Theory: An Analysis of Decision under Risk”. Econometrica 47 (2): 263. https://doi.org/10.2307/1914185. ———. 2000. Choices, Values, and Frames. 1 edition. New York; Cambridge, UK: Cambridge University Press. Manera, Matteo, Marcella Nicolini, e Ilaria Vignati. 2014. “Modelling futures price volatility in energy markets: Is there a role for financial speculation?” Energy Economics. https://doi.org/10.1016/j.eneco.2014.07.001. Nawrocki, David, e Fred Viole. 2014. “Behavioral finance in financial market theory, utility theory, portfolio theory and the necessary statistics: A review”. Journal of Behavioral and Experimental Finance 2 (junho): 10–17. https://doi.org/10.1016/j.jbef.2014.02.005. Paige Fields, L., Donald R. Fraser, e Avanidhar Subrahmanyam. 2012. “Board quality and the cost of debt capital: The case of bank loans”. Journal of Banking & Finance 36 (5): 1536–47. https://doi.org/10.1016/j.jbankfin.2011.12.016. Pflug, Georg C., e Nikola Broussev. 2009. “Electricity swing options: Behavioral models and pricing”. European Journal of Operational Research 197 (3): 1041–50. https://doi.org/10.1016/j.ejor.2007.12.047. Rego, Erik Eduardo, e Virginia Parente. 2013. “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: 511–20. https://doi.org/10.1016/j.enpol.2012.12.042. Roll, Richard, Eduardo Schwartz, e Avanidhar Subrahmanyam. 2009. “Options trading activity and firm valuation”. Journal of Financial Economics 94 (3): 345–60. https://doi.org/10.1016/j.jfineco.2009.02.002. ———. 2014. “Trading activity in the equity market and its contingent claims: An empirical investigation”. Journal of Empirical Finance 28: 13–35. https://doi.org/10.1016/j.jempfin.2014.05.007. Roll, Richard, e Avanidhar Subrahmanyam. 2010. “Liquidity skewness”. Journal of Banking & Finance 34 (10): 2562–71. https://doi.org/10.1016/j.jbankfin.2010.04.012. Sklavos, Konstantinos, Lammertjan Dam, e Bert Scholtens. 2013. “The liquidity of energy stocks”. Energy Economics 38 (julho): 168–75. https://doi.org/10.1016/j.eneco.2013.02.015. Subrahmanyam, A. 1991. “A Theory of Trading in Stock Index Futures”. Review of Financial Studies 4 (1): 17–51. https://doi.org/10.1093/rfs/4.1.17. Subrahmanyam, Avanidhar. 2009. “Optimal financial education”. Review of Financial Economics 18 (1): 1–9. https://doi.org/10.1016/j.rfe.2008.10.003. ———. 2013. “Algorithmic trading, the Flash Crash, and coordinated circuit breakers”. Borsa Istanbul Review 13 (3): 4–9. https://doi.org/10.1016/j.bir.2013.10.003. Talpsepp, Tõnn, Martin Vlcek, e Mei Wang. 2014. “Speculating in gains, waiting in losses: A closer look at the disposition effect”. Journal of Behavioral and Experimental Finance 2 (junho): 31–43. https://doi.org/10.1016/j.jbef.2014.04.001. Tversky, Amos, e Daniel Kahneman. 1992. “Advances in Prospect Theory: Cumulative Representation of Uncertainty”. Journal of Risk and Uncertainty 5 (4): 297–323. https://doi.org/10.1007/BF00122574.

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