Ruy Ribeiro

Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics

Rua Marques de Sao Vicente, 225/206F

Rio de Janeiro, RJ 22453

Brazil

Itaú Asset Management

São Paulo

Brazil

SCHOLARLY PAPERS

6

DOWNLOADS
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SSRN RANKINGS

Top 25,352

in Total Papers Downloads

1,808

CITATIONS

5

Scholarly Papers (6)

1.

Tradable Aggregate Risk Factors and the Cross-Section of Stock Returns

Number of pages: 41 Posted: 29 Apr 2013 Last Revised: 15 Dec 2016
Nikolay Doskov, Tapio Pekkala and Ruy Ribeiro
Norges Bank Investment Management (NBIM), Pacific Investment Management Company (PIMCO) and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 1,095 (18,617)
Citation 4

Abstract:

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Asset Pricing; Factor model; Value premium; Size premium

2.

Term Structure(s) of the Equity Risk Premium

Number of pages: 91 Posted: 19 Mar 2018 Last Revised: 09 Jan 2019
Leandro Gomes and Ruy Ribeiro
Yale SOM and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 248 (122,074)

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Equity Risk Premium, Term Structure, Dividend Swaps, Variance Swaps, Liquidity

3.

Gambling, Risk Appetite and Asset Pricing

Number of pages: 59 Posted: 30 Nov 2017 Last Revised: 17 Apr 2018
Government of the Federative Republic of Brazil - Central Bank of Brazil, XP investimentos, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Central Bank of Chile - Economic Research
Downloads 165 (178,097)

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Asset Pricing, Cross-Section, Predictability, Factors, CAPM, Conditional Model, Gambling, Casino

4.

Sentiment, Electoral Uncertainty and Stock Returns

Number of pages: 52 Posted: 11 Mar 2017 Last Revised: 19 Aug 2017
Government of the Federative Republic of Brazil - Central Bank of Brazil, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Central Bank of Chile - Economic Research
Downloads 123 (225,847)

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sentiment; stock returns; electoral uncertainty; event study; soccer

5.

Forecasting Large Realized Covariance Matrices: The Benefits of Factor Models and Shrinkage

Number of pages: 50 Posted: 11 May 2018
Diego Brito, Marcelo C. Medeiros and Ruy Ribeiro
Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics, Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 111 (243,429)
Citation 2

Abstract:

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realized covariance, factor models, shrinkage, Lasso, forecasting, portfolio allocation, big data

6.

Pre-FOMC Announcement Relief

Number of pages: 61 Posted: 14 Dec 2018
Vitor Martello and Ruy Ribeiro
Parcitas Investmentos and Pontifical Catholic University of Rio de Janeiro (PUC-Rio) - Department of Economics
Downloads 66 (335,395)

Abstract:

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Asset Prices; Monetary Policy; FOMC; Pre-Announcement Drift; Risk Premium; Uncertainty