Title:	Three essays on economics in big data scenarios
Authors:	Piccioni, Carlos Alexandre
Orientador(es)::	Cajueiro, Daniel Oliveira
Assunto::	Big data Ações (Finanças)
Issue Date:	31-Jul-2024
Data de defesa::	16-Feb-2024
Citation:	PICCIONI, Carlos Alexandre. Three essays on economics in big data scenarios. 2023. 135 f., il. Tese (Doutorado em Economia) — Universidade de Brasília, Brasília, 2023.
Abstract:	This work comprises three studies on economics in big data contexts. The first analyzes the impact of ESG (Environmental, Social, and Governance) news on the stock returns of leading Brazilian companies, using an unprecedented Dictionary of ESG Terms specifically developed for this study to select and classify news according to the standards of the Sustainability Accounting Standards Board (SASB). The research indicates that only news with content that is financially material to investors influences stock returns. In other words, investors do not react for reputational or non-pecuniary reasons. The second study explores the high-frequency predictability of the Brazilian exchange rate (at the 1, 5, and 15-minute frequencies), employing both machine learning techniques and traditional linear regression for forecasting. Two types of exercises are conducted: one with contemporary predictors and another using out-of-sample data. We show that it is possible to beat the benchmark, the Random Walk, over a horizon of up to four minutes at a frequency of 1 minute. We also show that the most important predictors are those that carry local information, as well as the exchange rates of the BRICS or countries with economies similar to Brazil’s. When the rates from B3’s foreign exchange futures contracts are considered as predictors, we can beat the Random Walk over a horizon of up to 6 minutes. The third study measures consumption inequality at the municipal level using data from electronic payment methods, specifically data from credit card and Pix payments. Furthermore, as an application, we examine the relationship between inequality and economic complexity. We demonstrate that greater economic complexity is associated with lower consumption inequality, marking the first assessment of this kind for Brazilian municipalities.
metadata.dc.description.unidade:	Faculdade de Economia, Administração, Contabilidade e Gestão de Políticas Públicas (FACE) Departamento de Economia (FACE ECO)
Description:	Tese (doutorado) — Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade, Departamento de Economia, Programa de Pós-Graduação em Economia, 2023.
metadata.dc.description.ppg:	Programa de Pós-Graduação em Economia
Licença::	A concessão da licença deste item refere-se ao termo de autorização impresso assinado pelo autor com as seguintes condições: Na qualidade de titular dos direitos de autor da publicação, autorizo a Universidade de Brasília e o IBICT a disponibilizar por meio dos sites www.bce.unb.br, www.ibict.br, http://hercules.vtls.com/cgi-bin/ndltd/chameleon?lng=pt&skin=ndltd sem ressarcimento dos direitos autorais, de acordo com a Lei nº 9610/98, o texto integral da obra disponibilizada, conforme permissões assinaladas, para fins de leitura, impressão e/ou download, a título de divulgação da produção científica brasileira, a partir desta data.
Appears in Collections:	Teses, dissertações e produtos pós-doutorado

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