Financial Data

Expected return on equity for Brazilian listed firms, estimated using NEFIN risk factors.

Historical dividend yield series for Brazilian stocks and market-level aggregates.

Amihud illiquidity measure for the Brazilian stock market, at stock and portfolio level.

Securities lending rates (loan fees) for Brazilian equities in the BTC market.

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

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

Short interest ratios for Brazilian listed companies from the BTC 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).