Financial Data

Monthly cost of equity for seven Brazilian sectors, at 1-, 5-, 10- and 20-year horizons.

Weekly dividend yield of the Brazilian stock market.

Monthly aggregate illiquidity index for the Brazilian stock market.

Weekly securities lending fee (loan fee) for Brazilian equities in the BTC market.

Brazilian stock portfolios sorted by size, book-to-market, momentum, illiquidity and industry.

Brazilian Fama-French and momentum risk factors (Rm-Rf, SMB, HML, WML, IML) and risk-free rate.

Daily short interest, days-to-cover and loan fee for the Brazilian stock loan market.

Brazilian spot interest rate curve estimated from DI futures and NTN-F bonds.

Implied, forward-looking volatility index for the Brazilian stock market (IBOVESPA options).