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Operações De “Cash-And-Carry Arbitrage” Na Bm&F: Uma Desagregação Dos Custos

Author

Listed:
  • Silva, Gustavo De Souza e
  • Marques, Pedro Valentim

Abstract

A explosão dos mercados futuros se deve a eventos da economia mundial que resultaram num maior e mais volátil cenário de preços e taxas de juros, surgindo possibilidades para obtenção de lucros através de diversas operações. Uma dessas operações é conhecida como “Cash and Carry Arbitrage”. Conhecer os custos desta operação e a respectiva participação no custo total é fundamental para que os agentes possam aumentar a possibilidade de captar o maior retorno de cada operação, travando-a no momento mais apropriado. O custo da operação de “Cash and Carry Arbitrage” pode ser desagregado em quatro custos gerais: 1) custo do dinheiro no tempo; 2) custo da armazenagem; 3) custo para operar na BM&F; e 4) custos dos impostos incidentes. Os custos de armazenagem e o do dinheiro no tempo registraram as maiores participações no custo total das operações, sendo estes altamente relacionados com o tempo da operação.

Suggested Citation

  • Silva, Gustavo De Souza e & Marques, Pedro Valentim, 2006. "Operações De “Cash-And-Carry Arbitrage” Na Bm&F: Uma Desagregação Dos Custos," 44th Congress, July 23-27, 2006, Fortaleza, Ceará, Brazil 147879, Sociedade Brasileira de Economia, Administracao e Sociologia Rural (SOBER).
    • Handle: RePEc:ags:sobr06:147879
    DOI: 10.22004/ag.econ.147879
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    Demand and Price Analysis;

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