Benjamin M. Tabak

FGV/EPPG

Professor

SGAN Av. L2 Norte - Quadra 602 - Módulos A, B e C

Brasília, Rio de Janeiro 70830-051

Brazil

SCHOLARLY PAPERS

18

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2,996

SSRN RANKINGS

Top 33,051

in Total Papers Citations

6

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Scholarly Papers (18)

1.

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 921 (23,845)

Abstract:

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Behavior, Portfolio Optimization, Resampling

2.

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 430 (65,443)

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Agency Model, Delegated Portfolio Management, Loss Aversion

3.

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 321 (91,916)

Abstract:

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House Money, Myopic Loss Aversion, Behavioral Biases

4.

A Macro Stress Test Model of Credit Risk for the Brazilian Banking Sector

Number of pages: 36 Posted: 30 Nov 2010
Francisco Vazquez, Benjamin M. Tabak and Marcos Rietti Souto
International Monetary Fund, FGV/EPPG and affiliation not provided to SSRN
Downloads 292 (101,887)

Abstract:

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banking system, stress tests, financial crisis, credit risk

5.

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 170 (172,700)

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Momentum, Agency Theory, Prospect Theory

6.

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 169 (173,565)

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Behavioral Finance, Cognitive Biases, Overconfidence

7.

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 150 (191,995)

Abstract:

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Behavioral Finance, Illusion of Control, Irrationality

8.

Testing for Market Discipline in the Brazilian Banking Industry

Number of pages: 31 Posted: 21 Jun 2007
Marcia Paim Romera and Benjamin M. Tabak
Ministry of Finance, Brazil and FGV/EPPG
Downloads 121 (227,514)

Abstract:

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market discipline,banking system, BASEL accord

9.

Linking Financial and Macroeconomic Factors to Stress-Test Credit Risk Indicators for Brazilian Banks

21st Australasian Finance and Banking Conference 2008 Paper
Posted: 25 Aug 2008
Marcos Rietti Souto, Benjamin M. Tabak and Francisco Vazquez
affiliation not provided to SSRN, FGV/EPPG and International Monetary Fund
Downloads 114 (237,755)

Abstract:

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structural models, credit risk indicators, stress tests, macrofinancial links

10.

Asymmetric Effects of Monetary Policy in the U.S. and Brazil

Number of pages: 27 Posted: 09 Dec 2013
Ioannis Pragidis, Periklis Gogas and Benjamin M. Tabak
Democritus University of Thrace, Democritus University of Thrace - Department of Economics and FGV/EPPG
Downloads 109 (245,456)

Abstract:

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Taylor rule, monetary policy, nonlinear effects, LSTAR

11.

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 78 (304,113)

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Crediting Rating, Default, Credit Risk

12.

The Effects of the Brazilian Adrs Program on Domestic Market Efficiency

Banco de Espana Research Paper No. WP-43
Number of pages: 35 Posted: 28 Aug 2006
Benjamin M. Tabak and Eduardo J. A. Lima
FGV/EPPG and Government of the Federative Republic of Brazil - Central Bank of Brazil
Downloads 78 (304,113)

Abstract:

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Random walk, variance-ratio test, emerging markets, weak-form efficiency, American Depositary Receipts

13.

Monetary Expansion and the Banking Lending Channel

Number of pages: 11 Posted: 13 Oct 2016
FGV/EPPG, Catholic University of Brasilia, London Business School, Catholic University of Brazil (UCB) and Catholic University of Brazil (UCB)
Downloads 25 (483,986)

Abstract:

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Bank lending channel; Monatary policy; BRICS

14.

An Evaluation of the Non-Neutrality of Money

PLOS ONE, DOI:10.1371, March 2, 2016
Number of pages: 20 Posted: 30 Apr 2016
Catholic University of Brasilia, FGV/EPPG, Institute of Applied Economic Research (IPEA) - Directory of Macroeconomic Policy & Studies (DIMAC) and Institute for Applied Economic Research (IPEA)
Downloads 14 (546,529)

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Relative prices, Monetary policy, Hayek, Von Mises, non-neutrality of money

15.

Estimating the Fractional Order of Integration of Yields in the Brazilian Fixed Income Market

Economic Notes, Vol. 36, Issue 3, pp. 231-246, November 2007
Number of pages: 16 Posted: 03 Mar 2008
Benjamin M. Tabak
FGV/EPPG
Downloads 4 (608,057)
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16.

Long-Range Dependence in Exchange Rates: The Case of the European Monetary System

International Journal of Theoretical and Applied Finance, Vol. 11, Issue 2, pp. 199-223, 2008
Posted: 30 Nov 2009
Sergio Souza, Benjamin M. Tabak and Daniel O. Cajueiro
Government of the Federative Republic of Brazil - Central Bank of Brazil, FGV/EPPG and Universidade de Brasília (UnB)

Abstract:

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Long memory, exchange rates, R/S analysis, financial crisis

17.

Testing for Predictability in Equity Returns for European Transition Markets

Economic Systems, Vol. 30, No. 1, pp. 56-78, March 2006
Posted: 11 Apr 2006
Benjamin M. Tabak and Daniel O. Cajueiro
FGV/EPPG and Universidade de Brasília (UnB)

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European transition economies, Hurst exponents, Long memory, Predictability, Variance ratio, Multifractality

18.

Testing for the Informational Content of Monetary Policy Decisions

Pesquisa E Planejamento Economico, Vol. 34, No. 2, August 2004
Posted: 16 Aug 2005
Benjamin M. Tabak and Alícia Tabata
FGV/EPPG and Government of the Federative Republic of Brazil - Central Bank of Brazil

Abstract:

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informational content, event studies, monetary policy, anticipated and nonanticipated shocks, Brazil, COPOM