University of São Paulo · Department of Economics · FEA
Center for Research
in Financial Economics
NEFIN is the Brazilian Center for Research in Financial Economics of the University of São Paulo. We advance knowledge in asset pricing, derivative pricing, corporate finance, risk management and portfolio allocation — and make our data freely available to academics and practitioners.
9
Financial Datasets
Since 2001
Longest Series
Free
Open Access
CSV · XLS
Machine Readable
Financial Data
Freely available to academics and practitioners. Each card states the last observation in the data.
Cost of Equity
Expected return on equity for Brazilian listed firms, estimated using NEFIN risk factors.
Last observation Aug 2023
Dividend Yield
Historical dividend yield series for Brazilian stocks and market-level aggregates.
Last observation Sep 2023
Illiquidity Index
Amihud illiquidity measure for the Brazilian stock market, at stock and portfolio level.
No data file published
Loan Fees
Securities lending rates (loan fees) for Brazilian equities in the BTC market.
Last observation Sep 2023
Portfolios
Brazilian stock portfolios sorted by size, book-to-market, momentum, and illiquidity.
Last observation Aug 2023
Risk Factors
Brazilian Fama-French and momentum risk factors (Rm-Rf, SMB, HML, WML, IML) and risk-free rate.
Updated Jul 2026
Short Interest
Statistics from Brazilian stock loan market.
Updated Jul 2026
Spot Rate Curve
Brazilian spot interest rate curve estimated from DI futures and NTN-F bonds.
Last observation May 2020
Volatility Index (IVol-BR)
Implied, forward-looking volatility index for the Brazilian stock market (IBOVESPA options).
Last observation Apr 2022
Selected Publications
Peer-reviewed articles by NEFIN researchers.
- Short-selling, the supply side: Are lenders price makers?The Brazilian Review of Finance
- On the optimality of the deposit insurance premiumInternational Review of Economics & Finance
- Does Private Means Better? A Water and Sanitation Quasi-Experimental DesignEmerging Markets Finance and Trade
- No-arbitrage matrices of exchange rates: Some characterizationsInternational Journal of Economic Theory
- Unskilled fund managers: Replicating active fund performance with few ETFsInternational Review of Financial Analysis
Faculty
Our research team at the University of São Paulo.
Rafael de Vasconcelos Xavier Ferreira
PhD in Economics, Fundação Getúlio Vargas
Contact
Get in touch with the NEFIN team.
Address
Department of Economics – FEA
Prof. Luciano Gualberto Ave., Cidade Universitária
FEA I · São Paulo, SP – Brazil · 05508-900
Email
nefin@usp.brPhone
+55 11 3093 0957Sponsored by
