Tomas Nobrega

Tomas Nobrega

Finance Ph.D. Candidate

About me

Hi! I am Tomas, a Finance Ph.D. student at Insper. I expect to graduate in by the end of 2025. My research focuses on:

  • What drives assets returns, especially
    • In emerging markets
    • In corporate bonds
  • How does financial development influence the real economy

I am also Audit Committee Member for Base Dos Dados, Brazil’s data lake of public information.

Reach me at tomasrn@al.insper.edu.br

Current projects

Betting on Betas but against Duration (New!)

With Lira Mota

Abstract (click to expand) Duration is an important driver of bond return volatility and, consequently, an important driver of market betas. In credit markets, we show that “betting against beta” (BAB) strategy closely resembles a betting against duration strategy. We introduce a new method to estimate conditional credit betas that more accurately capture the effect of time-varying duration. Our findings reveal that long-short portfolios sorted on duration produce negative alphas, consistent with Frazzini and Pedersen (2014) BAB. However, when controlling for duration, long-short portfolios sorted on beta generate positive alphas of a comparable magnitude. These results are robust to using Treasuries to hedge duration risk. A combined strategy of betting against duration and betting on betas yields a market-orthogonal Sharpe ratio of 1.1, which is almost four times the 0.31 duration hedged market Shape ratio. Leverage constraints alone cannot explain our results.

Development of Finance: Human Capital Perspective

With Jiageng Liu

Idea (click to expand) In this project we are interested in the relationship between the development of the financial sector and the real economy in a developing economy. Particularly, we are looking at the interiorization of finance human capital, expansion of credit in those areas and real economic outputs, specially in agriculture.

With Ruy Ribeiro, Josue Costa, Mohammed Kaebi and Igor Martins.

Abstract (click to expand) We investigate the impact of firm characteristics on stock returns in the Brazilian financial market, considering a long list of characteristics found be relevant in the U.S. market. Employing Fama-MacBeth regressions, alongside machine learning techniques, we examine over 24 firm-level characteristics. Our findings highlight the stronger influence of price-related metrics, such as momentum, liquidity, size and volatility, over accounting variables. We also explore the robustness of these characteristics through the construction of various portfolios, revealing significant alphas in multiple portfolio construction methods and substantial out-of-sample performance.

Education

Insper

Ph.D. in Finance (Expected 2025).
Advisor: Ruy Ribeiro.
São Paulo, Brazil.
Visiting student at Massachusetts Institute of Technology (MIT) in 2024.

University of Sao Paulo (USP)

B.A. in Economics (Completed in 2016).
São Paulo, Brazil.
Visiting student at University of Groningen, Netherlands, in 2015.

Skills

  • Expertise: Asset Pricing, Programming, Statistical Modeling and Implementing, Machine Learning, Big-Data (with a focus on financial datasets), Valuation.
  • Software: Advanced: R, Python, Git, Excel, SQL. Intermediate: MATLAB.
  • Languages: Portuguese (Native), Spanish (Fluent), English (Fluent).

Teaching

I enjoy teaching and sharing knowledge.

Teaching assistant

  • Asset Pricing - PhD Level - Instructor: Marco Bonomo - 2023, 2025
  • Investments - Master of Economics - Instructor: Ruy Ribeiro - 2022, 2023, 2025
  • Microeconomics 1 - Undergraduate - Instructors: Luciana Yeung and Thomas Conti - 2021-2023

Selected Previous Projects

Before starting my Ph.D., I launched one of Brazil’s largest high-school scholarship program for low-income students, now benefiting over 750 students in 120 cities. I also worked in mergers and acquisitions, where I valued multiple business and led the integration of a newly acquired business in Rondonópolis, an agricultural hub in Brazil. I moved there for 6 months and learned a lot. Additionally, I supported a high-growth startup, overseeing its back-office structure during rapid expansion and funding rounds.

Just before my Ph.D., I fulfilled a personal dream by running my own bakery.

I have also volunteered teaching high-school Math and Python in social programs, aiming to inspire and empower underprivileged students.