Details about Fernando Chague

Access statistics for papers by Fernando Chague.

Last updated 2024-12-28. Update your information in the RePEc Author Service.

Short-id: pch1517

Working Papers

2023

1. Information Leakage from Short Sellers
   NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)

2021

2. The Contrarian Put
   Discussion Papers, Centre for Macroeconomics (CFM)

2020

3. Attention and biases: evidence from tax-inattentive investors
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
   Also in Working Papers, Department of Economics, University of São Paulo (FEA-USP) (2019)
   Working Paper Series, Ohio State University, Charles A. Dice Center for Research in Financial Economics (2019)
   See also Journal Article Attention and Biases: Evidence from Tax-Inattentive Investors, Management Science, INFORMS (2024) (2024)
4. Day trading for a living?
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (1)
5. Price Transparency in OTC Equity Lending Markets: Evidence from a Loan Fee Benchmark
   Working Papers, Department of Economics, University of São Paulo (FEA-USP)
   See also Journal Article Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark, Journal of Financial Economics, Elsevier (2022) (2022)
6. The effects of price transparency in OTC equity lending markets: Evidence from a loan fee benchmark
   Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

2019

7. Day trading for a living? Fernando
   Working Papers, Department of Economics, University of São Paulo (FEA-USP)
8. US Risk Premia under Emerging Markets Constraints
   Working Papers, Department of Economics, University of São Paulo (FEA-USP) View citations (2)
   See also Journal Article US risk premia under emerging markets constraints, Journal of Empirical Finance, Elsevier (2022) (2022)

2018

9. Individual Investors Look at Price Tags*
   Working Papers, Department of Economics, University of São Paulo (FEA-USP)
10. Individuals neglect the informational role of prices: evidence from the stock market
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil) View citations (3)
11. The short-selling skill of institutions and individuals: a market-wide and out-of-sample analysis
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)

2017

12. A dynamic Nelson-Siegel model with forward-looking indicators for the yield curve in the US
    Textos para discussão, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil)
    Also in Working Papers, Department of Economics, University of São Paulo (FEA-USP) (2016)
13. The Price Tag Illusion
    Working Papers, Department of Economics, University of São Paulo (FEA-USP)
14. Uncovering Skilled Short-sellers
    Working Papers, Department of Economics, University of São Paulo (FEA-USP)

2016

15. Forecasting the Brazilian Yield Curve Using Forward-Looking Variables
    Working Papers, Queen Mary University of London, School of Economics and Finance
    See also Journal Article Forecasting the Brazilian yield curve using forward-looking variables, International Journal of Forecasting, Elsevier (2017) View citations (7) (2017)
16. Risk premia estimation in Brazil: wait until 2041
    Working Papers, Department of Economics, University of São Paulo (FEA-USP)
17. Short Selling and Inside Information
    Working Papers, Department of Economics, University of São Paulo (FEA-USP) View citations (2)

2015

18. Variance Premium and Implied Volatility in a Low-Liquidity Option Market
    Working Papers, Department of Economics, University of São Paulo (FEA-USP) View citations (1)
    See also Journal Article Variance Premium and Implied Volatility in a Low-Liquidity Option Market, Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) (2017) View citations (3) (2017)
19. Why Do Different Short-sellers Pay Different Loan Fees? A Market-wide Analysis
    Working Papers, Department of Economics, University of São Paulo (FEA-USP)

2013

20. Central Bank Communication Affects Long-Term Interest Rates
    Working Papers, Department of Economics, University of São Paulo (FEA-USP) View citations (3)
21. Conditional Betas and Investor Uncertainty
    Working Papers, Department of Economics, University of São Paulo (FEA-USP)
22. Short-Sellers: Informed but Restricted
    Working Papers, Department of Economics, University of São Paulo (FEA-USP) View citations (2)
    See also Journal Article Short-sellers: Informed but restricted, Journal of International Money and Finance, Elsevier (2014) View citations (13) (2014)

Journal Articles

2024

1. Attention and Biases: Evidence from Tax-Inattentive Investors
   Management Science, 2024, 70, (10), 7101-7119
   See also Working Paper Attention and biases: evidence from tax-inattentive investors, Textos para discussão (2020) (2020)

2022

2. Price transparency in OTC equity lending markets: Evidence from a loan fee benchmark
   Journal of Financial Economics, 2022, 143, (1), 569-592
   See also Working Paper Price Transparency in OTC Equity Lending Markets: Evidence from a Loan Fee Benchmark, Working Papers, Department of Economics (2020) (2020)
3. US risk premia under emerging markets constraints
   Journal of Empirical Finance, 2022, 67, (C), 217-230
   See also Working Paper US Risk Premia under Emerging Markets Constraints, Working Papers, Department of Economics (2019) View citations (2) (2019)

2019

4. The short-selling skill of institutions and individuals
   Journal of Banking & Finance, 2019, 101, (C), 77-91 View citations (12)

2017

5. Forecasting the Brazilian yield curve using forward-looking variables
   International Journal of Forecasting, 2017, 33, (1), 121-131 View citations (7)
   See also Working Paper Forecasting the Brazilian Yield Curve Using Forward-Looking Variables, Working Papers (2016) (2016)
6. Variance Premium and Implied Volatility in a Low-Liquidity Option Market
   Revista Brasileira de Economia - RBE, 2017, 71, (1) View citations (3)
   See also Working Paper Variance Premium and Implied Volatility in a Low-Liquidity Option Market, Working Papers, Department of Economics (2015) View citations (1) (2015)
7. Well-connected short-sellers pay lower loan fees: A market-wide analysis
   Journal of Financial Economics, 2017, 123, (3), 646-670 View citations (14)

2015

8. Central Bank Communication Affects the Term-Structure of Interest Rates
   Revista Brasileira de Economia - RBE, 2015, 69, (2) View citations (5)

2014

9. Short-sellers: Informed but restricted
   Journal of International Money and Finance, 2014, 47, (C), 56-70 View citations (13)
   See also Working Paper Short-Sellers: Informed but Restricted, Working Papers, Department of Economics (2013) View citations (2) (2013)