Obstructive sleep apnea (OSA), a risk factor for coronary artery disease, remains under diagnosed... more Obstructive sleep apnea (OSA), a risk factor for coronary artery disease, remains under diagnosed. We investigated if OSA identified by the Berlin Questionnaire (BQ) is associated with the risk of coronary artery disease. Cases were patients referred for elective coronariography. The cases were classified with significant coronary lesions (stenosis > 50% in an epicardial coronary) or without significant coronary lesions. Controls were selected from a population-based sample. Positive BQ results were identified in 135 (41.2%) of 328 cases, in contrast with 151 (34.4%) of 439 control subjects (p = 0.03). In a multinomial logistic analysis, the risk for OSA identified by the BQ was independently associated with coronary artery disease in cases with lesions of at least 50% (OR = 1.53; 95%CI: 1.02-2.30; p = 0.04). The risk from OSA identified by the BQ was higher in younger subjects (40-59 years) (OR = 1.76; 95%CI: 1.05-2.97; p = 0.03) and in women (OR = 3.56; 95%CI: 1.64-7.72; p = 0....
This paper evaluates the economic gains associated with following a volatility timing strategy ba... more This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate model of realized volatility. To study this issue, we build a high frequency database with the most actively traded Brazilian stocks. Comparing with traditional volatility methods, we find that, when estimation risk is controlled, economic gains associated with realized measures perform well and increase proportionally to the target return. When expected returns are bootstrapped, however, performance fees are not significant, which is an indication that economic gains of realized volatility are offset by estimation risk.
The estimation of the impact of macroeconomic announcements on the Brazilian futures markets is u... more The estimation of the impact of macroeconomic announcements on the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 to January 2011, we find that external macroeconomic announcements dominate price changes in the Foreign Exchange and Ibovespa markets, while the impact of the domestic ones is mainly restricted to interest rate contracts. We additionally propose an investment strategy based on the conditional price reaction of each market that achieved a success rate of 70% in an outof-sample study. Finally, we document the impact on volume and bid-ask spreads.
Price discovery no mercado de câmbio brasileiro: o preço é formado no mercado à vista ou futuro?
Este estudo tem como objetivo analisar a descoberta de precos no mercado cambial brasileiro e ind... more Este estudo tem como objetivo analisar a descoberta de precos no mercado cambial brasileiro e indicar qual dos mercados (a vista ou futuro) se ajusta mais rapidamente a chegada de novas informacoes. Utilizando-se dados em alta frequencia entre janeiro de 2008 e junho de 2013, estimaram-se as seguintes medidas de descoberta de precos: Information Share (IS), Component Share (CS) e Price Discovery Efficiency Loss (PDEL). Concluiu-se que o mercado futuro domina a descoberta de precos, uma vez que responde por 66,2% da variacao do preco comum e por 97,4% de sua composicao. A medida dinâmica indica que o mercado futuro tambem e o mais eficiente, haja vista que, quando os mercados estao sujeitos a um choque unitario no preco comum, ele atinge o equilibrio de forma mais rapida. Quando se divide a amostra por semestre, os valores de price Discovery confirmam a dominância do mercado futuro em todas as subamostras. Desequilibrios entre oferta e demanda no mercado a vista, intervencoes do Banco Central do Brasil (BCB) e pressao de investidores institucionais externos no mercado futuro sao potenciais fatores explicativos para as variacoes das medidas de price discovery entre semestres. This study aims to analyze price discovery in the foreign exchange market in Brazil and indicate which market (spot or futures) adjusts more quickly to the arrival of new information. Using high frequency data from January/2008 to June/2013, we estimate the following price discovery metrics: Information Share (IS), Component Share (CS) and Price Discovery Efficiency Loss (PDEL). We find that futures market dominates price discovery since it responds for 66.2% of the variation in the fundamental price shock and for 97.4% of the fundamental price composition. In a dynamic perspective, futures market is also more efficient since, when markets are subjected to a shock in the fundamental price, it is faster to recover to equilibrium. We also investigated whether results are robust to sub-samples. When we break in sub-samples by semester, price discovery figures confirm futures dominance in all sub-samples. Spot market offer-demand disequilibrium, central bank interventions and external institutional investors’ pressure in the futures market emerge as potential explanatory factors to the variation in price discovery metrics between semesters.
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Papers by MARCIO GARCIA