Banca de QUALIFICAÇÃO: PAULO ROBERTO FONTELES GUIMARÃES

Uma banca de QUALIFICAÇÃO de DOUTORADO foi cadastrada pelo programa.
DISCENTE : PAULO ROBERTO FONTELES GUIMARÃES
DATA : 14/03/2025
HORA: 14:30
LOCAL: PPGA
TÍTULO:

Essays on Empirical Asset Pricing in Emerging Markets

PALAVRAS-CHAVES:

 factor zoo asset pricing anomalias previsão de retornos mercados emergentes revisão sistemática

PÁGINAS: 27
RESUMO:

Purpose: Asset pricing literature is facing a credibility crisis, given debates associated with publication biases, data mining, replicablity, crowding and lack of theoretic foundations. This study proposes that Emerging Markets (EM), with their specific socioeconomic characteristics and lesser financial integration with Developed Markets (DM), might provide useful arguments to the debate and improve our understanding of asset pricing. Beyond out-of-sample evidence for DM findings, EM research can unveil regional-specific factors overlooked by mainstream literature and investigating reasons behind differences can reveal epistemological elements for proposing and testing theories, and clarifying causal mechanisms.

Design/Methodology/Approach: The present work conducts an EM-focused systematic review, by applying the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) protocol, a transparent and replicable procedure, to gather a representative collection of papers and using bibliometric methods to analyze bibliographic data.

Findings: Besides summarizing and contextualizing scientific production, revealing most important themes and actors, we confirm a clear bias towards DM and identify low scientific collaboration among EM. Additionally, we assess to which extent current studies fulfills EM research potential.

Originality/value: There is a home bias in literature, with most studies focusing on DM. This systematic review is exclusive to EM literature and suggests how EM research can improve literature credibility.

MEMBROS DA BANCA:
Interno - 2288460 - CARLOS ROSANO PENA
Externo à Instituição - ELI HADAD JUNIOR - UPM
Externo à Instituição - FLÁVIO LUIZ DE MORAES BARBOZA - UFU
Presidente - 1997721 - HERBERT KIMURA
Externo à Instituição - LEONARDO FERNANDO CRUZ BASSO - UPM