Jose L. B. Fernandes

Universidade de Brasília

Professor

Campus Universitário Darcy Ribeiro

Brasília, Distrito Federal 70910-900

Brazil

SCHOLARLY PAPERS

28

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7,441

SSRN CITATIONS
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SSRN RANKINGS

Top 38,892

in Total Papers Citations

2

CROSSREF CITATIONS

16

Scholarly Papers (28)

1.

Behavioral Finance: A Study of Affect Heuristic and Anchoring in Decision Making of Individual Investors

Number of pages: 6 Posted: 26 Nov 2013
Universidade Católica de Brasília, Universidade de Brasília, Catholic University of Brazil (UCB) and Catholic University of Brazil (UCB)
Downloads 1,184 (19,413)
Citation 3

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Behavioral finance, Affect, Anchoring

2.

Behavior Finance and Estimation Risk in Stochastic Portfolio Optimization

Number of pages: 55 Posted: 18 Jan 2007 Last Revised: 05 May 2008
Jose L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and FGV/EPPG
Downloads 928 (27,789)
Citation 1

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Behavior, Portfolio Optimization, Resampling

3.

Behavioral Finance: The Aversion to Uncertainty Bias in Individual Financial Decisions

Number of pages: 8 Posted: 04 Feb 2015
Universidade de Brasília, Catholic University of Brazil (UCB), Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 482 (66,284)

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Uncertainty Bias, Gender Effect, Behavior Finance

4.

The Benefits of International Portfolio Diversification

Number of pages: 9 Posted: 14 May 2010
Jose Renato Haas Ornelas and Jose L. B. Fernandes
Banco Central do Brasil and Universidade de Brasília
Downloads 474 (67,677)

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Diversification, Numeraire, Resampling, Risk Aversion

5.

Delegated Portfolio Management and Risk Taking Behavior

Number of pages: 51 Posted: 18 May 2006 Last Revised: 04 Jan 2008
Jose L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and FGV/EPPG
Downloads 433 (75,505)
Citation 1

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Agency Model, Delegated Portfolio Management, Loss Aversion

6.

Minimising Operational Risk in Portfolio Allocation Decisions

Number of pages: 19 Posted: 11 Jan 2007 Last Revised: 20 Jan 2009
Jose L. B. Fernandes and Jose Renato Haas Ornelas
Universidade de Brasília and Banco Central do Brasil
Downloads 405 (81,688)
Citation 1

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Model risk; Estimation risk, Portfolio Optimisation

7.
Downloads 381 ( 87,706)
Citation 3

Momentum and Reversal Puzzle in Emerging Markets

Number of pages: 19 Posted: 04 Mar 2005 Last Revised: 24 Mar 2008
Jose Renato Haas Ornelas and Jose L. B. Fernandes
Banco Central do Brasil and Universidade de Brasília
Downloads 381 (86,985)
Citation 3

Abstract:

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Emerging Markets, Reversal, Momentum

Momentum and Reversal Puzzle in Emerging Markets

Icfai Journal of Behavioral Finance, Forthcoming
Posted: 13 Jun 2008
Jose Renato Haas Ornelas and Jose L. B. Fernandes
Banco Central do Brasil and Universidade de Brasília

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Emerging Markets, Reversal, Momentum

8.

Yes, the Choice of Performance Measure Does Matter for Ranking of US Mutual Funds

Number of pages: 17 Posted: 13 May 2009 Last Revised: 18 Dec 2009
Banco Central do Brasil, Federal University of Bahia - UFBA and Universidade de Brasília
Downloads 350 (96,662)
Citation 4

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Performance Measure, Rank Correlation, Sharpe Ratio

9.

How Do Prior Outcomes Affect Risk Taking Behavior? A Cross-Country Experimental Analysis

Number of pages: 34 Posted: 31 May 2006 Last Revised: 05 May 2008
Jose L. B. Fernandes, Juan Ignacio Peña and Benjamin M. Tabak
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and FGV/EPPG
Downloads 327 (104,379)
Citation 1

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House Money, Myopic Loss Aversion, Behavioral Biases

10.

Hidden Risks in Mean-Variance Optimization: An Intergrated-Risk Asset Allocation Proposal

INTEREST RATE MODELS, ASSET ALLOCATION AND QUANTITATIVE TECHNIQUES FOR CENTRAL BANKS AND SOVEREIGN WEALTH FUNDS, Arjan Bastiaan Berkelaar, Joachim Coche and Ken Nyholm, eds.
Number of pages: 23 Posted: 26 Nov 2008 Last Revised: 02 Oct 2010
Jose L. B. Fernandes and Jose Renato Haas Ornelas
Universidade de Brasília and Banco Central do Brasil
Downloads 314 (109,113)

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Integrated Risk Measure, Skewness, Credit Risk

11.

A Dynamic Behavioral Approach to Strategic Asset Allocation: Living with Uncertainty and Diverse Objectives

Number of pages: 31 Posted: 26 Oct 2009 Last Revised: 31 Oct 2009
Paulo M. F. Cacella and Jose L. B. Fernandes
Government of the Federative Republic of Brazil - Central Bank of Brazil and Universidade de Brasília
Downloads 307 (111,766)

Abstract:

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Dynamic Portfolio Optimization, Multi-Objective Optimization, Behavioral Finance

12.

Enterprise Risk Management (ERM): A Study of ERM Implementation Levels in Brazilian Companies

Number of pages: 5 Posted: 11 Nov 2012
Jose L. B. Fernandes, Paulo Araújo and Ernani Fernandes
Universidade de Brasília, Catholic University of Brazil (UCB) and Secretaria de Orçamento Federal
Downloads 234 (147,805)

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ERM, corporate governance, risk management

13.

Overconfidence in Individual and Group Investment Decisions

Number of pages: 5 Posted: 04 Jun 2012
Universidade de Brasília, Universidade Católica de Brasília, Catholic University of Brazil (UCB) and Catholic University of Brazil (UCB)
Downloads 220 (156,704)
Citation 1

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Behavioral finance, Overconfidence, Herding behavior

14.
Downloads 208 (165,185)

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Sustainability, Jensen’s Alpha, CAPM, Developed and Emerging Markets

15.

The Determinants of Overconfidence: An Experimental Approach

Number of pages: 5 Posted: 23 Sep 2010
Catholic University of Brazil (UCB), FGV/EPPG, Universidade de Brasília, Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 191 (178,839)
Citation 1

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Behavioral Finance, Cognitive Biases, Overconfidence

16.

Professional Portfolio Managers - a Setting for Momentum Strategies

Number of pages: 19 Posted: 07 Feb 2007 Last Revised: 30 Jul 2008
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration, FGV/EPPG and Banco Central do Brasil
Downloads 171 (197,114)
Citation 1

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Momentum, Agency Theory, Prospect Theory

17.

Illusion of Control: Does Gender Matter?

Number of pages: 6 Posted: 23 Sep 2010
Catholic University of Brazil (UCB), FGV/EPPG, Universidade de Brasília, Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 162 (206,420)
Citation 1

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Behavioral Finance, Illusion of Control, Irrationality

18.

Organizational Climate: A Comparative Study Among Public and Private Entities

Number of pages: 9 Posted: 18 Oct 2015
Universidade de Brasília, Catholic University of Brazil (UCB), Centro de Educação Superior de Brasília and Universidade Católica de Brasília
Downloads 128 (249,720)

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Organizational climate, Leadership, Public organizations

19.

A Behavioral Study on the Perception of Market and Credit Risk by the Investor

Number of pages: 6 Posted: 03 Jun 2012
Universidade de Brasília, Universidade Católica de Brasília, Catholic University of Brazil (UCB) and affiliation not provided to SSRN
Downloads 102 (293,788)

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Behavioral finance, credit risk, market risk, risk preference

20.

Investment Horizon and Efficient Frontier

Number of pages: 5 Posted: 25 Dec 2015
Jose L. B. Fernandes, Jose Cavalcante and Alberto S. Matsumoto
Universidade de Brasília, Catholic University of Brazil (UCB) and Universidade Católica de Brasília
Downloads 87 (327,586)

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Investment horizon, Efficient frontier, Investment decision

21.

Rating Agencies Add Value in Credit Risk Assessment?

Number of pages: 4 Posted: 21 Sep 2011
Catholic University of Brazil (UCB), Universidade Católica de Brasília, Universidade de Brasília, FGV/EPPG and Catholic University of Brazil (UCB)
Downloads 81 (339,657)

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Crediting Rating, Default, Credit Risk

22.

Behavioral Finance: Perception of Profits or Losses and Investment Decisions

Number of pages: 6 Posted: 21 Jul 2017
Jose L. B. Fernandes, Hugo Santoro and Aline Oliveira
Universidade de Brasília, Catholic University of Brasilia and Universidade de Brasília (UnB)
Downloads 72 (363,292)

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23.

Psychological Profile and Financial Decision Rationality

Number of pages: 5 Posted: 04 Jan 2018
Jose L. B. Fernandes and Maria Fabiane dos Santos Soares
Universidade de Brasília and Universidade de Brasília (UnB)
Downloads 61 (396,258)
Citation 1

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Big five, Behavior finance, Psychological profile

24.

Central Banks Exposure to Market Risk and the 2008 Crisis

Number of pages: 10 Posted: 03 Feb 2015
Universidade de Brasília, Catholic University of Brazil (UCB), Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 54 (419,941)

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Market risk, central banks, volatility.

25.

Financial Knowledge and Irrationality in the Individual Investment Decisions

Number of pages: 5 Posted: 08 Aug 2018
Jose L. B. Fernandes and Rayssa Rosa
Universidade de Brasília and Universidade de Brasilia
Downloads 40 (474,989)

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Behavioral Finance, Financial Knowledge, Financial Literacy

26.

Presentation Format and Individual Financial Decisions

Number of pages: 5 Posted: 18 Dec 2015
Jose L. B. Fernandes, Pedro Minagawa and Alberto S. Matsumoto
Universidade de Brasília, Catholic University of Brazil (UCB) and Universidade Católica de Brasília
Downloads 29 (528,363)

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27.

Information or Noise, A Study on the Accuracy of Analysts’ Forecasts in Brazil

Number of pages: 11 Posted: 18 Feb 2015
Universidade de Brasília, Catholic University of Brazil (UCB), Universidade Católica de Brasília and Catholic University of Brazil (UCB)
Downloads 16 (610,110)

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Forecasting, Economic indicators, Financial analysts.

Risk Premium: Insights Over the Threshold

Universidad Carlos III De Madrid Working Paper No. 06-28
Posted: 18 May 2006
Jose L. B. Fernandes, Juan Ignacio Peña and Augusto Hasman
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration

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Expected Shortfall, Tail Risk, Pareto Distribution, Value at Risk

Risk Premium: Insights over the Threshold

Applied Financial Economics, Forthcoming, Universidad Carlos III De Madrid Working Paper No. 06-28
Posted: 12 Jan 2007
Jose L. B. Fernandes, Juan Ignacio Peña and Augusto Hasman
Universidade de Brasília, Universidad Carlos III de Madrid - Department of Business Administration and Universidad Carlos III de Madrid - Department of Business Administration

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Expected Shortfall, Tail Risk, Pareto Distribution, Value at Risk