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A Statistical Factor Asset Pricing Model Versus the 4-Factor Model 统计因素资产定价模型与四因素模型
Brazilian Review of Finance Pub Date : 2019-01-18 DOI: 10.12660/RBFIN.V16N4.2018.67393
V. Santana, Alex A. T. Rathke
{"title":"A Statistical Factor Asset Pricing Model Versus the 4-Factor\u0000 Model","authors":"V. Santana, Alex A. T. Rathke","doi":"10.12660/RBFIN.V16N4.2018.67393","DOIUrl":"https://doi.org/10.12660/RBFIN.V16N4.2018.67393","url":null,"abstract":"This research aims to compare the performance of a statistical factor\u0000 asset pricing model with the Fama-French-Carhart 4-factor model. We perform\u0000 a Principal Component Analysis (PCA) to extract latent risk factors using\u0000 data of stocks listed on B3 from 2001 to 2015. We test the abilities of the\u0000 two models to explain assets' returns both in the time-series and in the\u0000 cross-section dimension. We found that the statistical factor models\u0000 generates statistically significant abnormal returns in the time-series\u0000 analysis while the 4-factor model does not. In the cross section dimension,\u0000 neither model generates significant abnormal returns but they also are not\u0000 able to generate positive risk premia. Similar results are found if we\u0000 consider different sets of time and assets. Therefore, although the 4-factor\u0000 model performs slightly better in the set of tests, neither of the models\u0000 can be considered fully adequate to explain expected returns of assets in\u0000 the Brazilian stock market.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"23 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-01-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116798923","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Controle Acionário, Remuneração de Executivos e Desempenho Empresarial: Evidências para o Mercado Brasileiro 股权控制、高管薪酬和企业绩效:巴西市场的证据
Brazilian Review of Finance Pub Date : 2018-11-16 DOI: 10.12660/rbfin.v16n3.2018.55898
M. Ermel, Paulo Aguiar Do Monte
{"title":"Controle Acionário, Remuneração de Executivos e Desempenho Empresarial:\u0000 Evidências para o Mercado Brasileiro","authors":"M. Ermel, Paulo Aguiar Do Monte","doi":"10.12660/rbfin.v16n3.2018.55898","DOIUrl":"https://doi.org/10.12660/rbfin.v16n3.2018.55898","url":null,"abstract":"This paper aims to examine how the type of owner affects the\u0000 relationship between compensation and performance in Brazilian companies in\u0000 the period 2010 to 2013. First, the control in Brazil is still largely\u0000 exercised by family firms, and that ownership is also concentrated, on\u0000 average 65% of shares are held by the five largest shareholders. The\u0000 econometric analysis showed that: The family and the government controlled\u0000 companies remunerate their managers with a lower value in relation to other\u0000 types of control; inferences about the influence of the controller in the\u0000 institutional companies were not possible to make; and firms that don’t have\u0000 a controller remunerate their manager with a higher amount of compensation.\u0000 Finally, about performance, in any of the equations ROA was significant,\u0000 demonstrating weak compensation mechanisms or manager's ability to determine\u0000 their compensation.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"57 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130914801","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Estudo de Eventos Sobre o Anúncio da Emissão de Debêntures 关于债券发行公告的事件研究
Brazilian Review of Finance Pub Date : 2018-11-16 DOI: 10.12660/RBFIN.V16N3.2018.65363
Guilherme Seigo Matsumoto, Guilherme Prandi Baraldi, Michele Nascimento Jucá
{"title":"Estudo de Eventos Sobre o Anúncio da Emissão de Debêntures","authors":"Guilherme Seigo Matsumoto, Guilherme Prandi Baraldi, Michele Nascimento Jucá","doi":"10.12660/RBFIN.V16N3.2018.65363","DOIUrl":"https://doi.org/10.12660/RBFIN.V16N3.2018.65363","url":null,"abstract":"This paper aims to analyze the hypothesis that debenture issues generate\u0000 positive abnormal returns in the shares of the issuing companies. For this\u0000 purpose, a study of events is carried out between January 2014 and June\u0000 2015, based on the date of the announcement of the beginning of the\u0000 distribution of the debentures. The study analyzes 40 pre-and\u0000 post-conference sessions. The final sample is made up of 11 Brazilian\u0000 non-financial companies. As a result, it can be verified that the majority\u0000 of accumulated abnormal returns are positive and statistically different\u0000 from zero, confirming the hypothesis of this study. This fact points to\u0000 signals of semistrong market efficiency.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122276845","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Portfolio Pumping in the Brazilian Stock Market 巴西股市的投资组合激增
Brazilian Review of Finance Pub Date : 2018-11-16 DOI: 10.12660/rbfin.v16n3.2018.74267
Marcelo de Castro Orefice, Pedro L. Valls Pereira
{"title":"Portfolio Pumping in the Brazilian Stock Market","authors":"Marcelo de Castro Orefice, Pedro L. Valls Pereira","doi":"10.12660/rbfin.v16n3.2018.74267","DOIUrl":"https://doi.org/10.12660/rbfin.v16n3.2018.74267","url":null,"abstract":"In this paper, we discuss the practice of portfolio pumping in Brazil.\u0000 Although the topic is recurrent in other countries, few studies provide this\u0000 analysis for the Brazilian case. The statistical study is elaborated in\u0000 three stages: first, we considered Brazilian investment funds' shares for\u0000 the period from September 2011 to June 2016, estimating daily excess returns\u0000 of those funds based on the Ibovespa, considering and not considering the\u0000 adjusted beta of the portfolios of those funds. Our results suggest that the\u0000 practice of portfolio pumping is more frequent at the end of months\u0000 ex-semester than at the end of semesters. When we consider the beta adjusted\u0000 to calculate abnormal returns of the funds, we found a greater significance\u0000 for the existence of this practice. In the second step, the funds were\u0000 ordered based on their performance in the previous period (by month,\u0000 semester, and year), which resulted in few relevant results for the analysis\u0000 of the topic, despite what is proposed by the principal-agent problem\u0000 literature. In the last step, we analyzed the practice of portfolio pumping\u0000 in stocks traded on B3, ordering them by their participation in the\u0000 portfolios and by their Market Cap. The results indicated that the stocks\u0000 with greater presence in the portfolios of the investment funds have higher\u0000 excess returns at the end of the periods, reinforcing the thesis that this\u0000 increase in stock prices in those moments may be a consequence of a\u0000 deliberate action taken by the managers of those funds.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"31 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122489632","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Monetary Policy and Long-Term Real Interest Rates in Brazil 巴西的货币政策和长期实际利率
Brazilian Review of Finance Pub Date : 2018-11-16 DOI: 10.12660/rbfin.v16n3.2018.73938
Adonias Evaristo Da Costa Filho
{"title":"Monetary Policy and Long-Term Real Interest Rates in Brazil","authors":"Adonias Evaristo Da Costa Filho","doi":"10.12660/rbfin.v16n3.2018.73938","DOIUrl":"https://doi.org/10.12660/rbfin.v16n3.2018.73938","url":null,"abstract":"This paper studies the sensitivity of long-term real rates to monetary\u0000 policy in Brazil. Based on the response of long-term real rates to monetary\u0000 policy decisions, it is found that monetary factors have little power over\u0000 long-term rates, with 100 basis points unexpected hike in the policy rate\u0000 leading to an increase in long-term real rates of 12 basis points. The\u0000 results are consistent with the classical view of interest rates, in which\u0000 the real rate of the economy in the long run is determined by real\u0000 fundamentals and largely unrelated to monetary factors.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"12 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-11-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124855239","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Comparação CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e Americano 巴西和美国市场CAPM与低偏矩模型的比较
Brazilian Review of Finance Pub Date : 2018-07-11 DOI: 10.12660/rbfin.v16n2.2018.72035
Christian Jonnatan Jacobsen Soto Herrera, Fernanda Finotti Cordeiro Perobelli
{"title":"Comparação CAPM x Modelos Lower Partial Moments nos Mercados Brasileiro e\u0000 Americano","authors":"Christian Jonnatan Jacobsen Soto Herrera, Fernanda Finotti Cordeiro Perobelli","doi":"10.12660/rbfin.v16n2.2018.72035","DOIUrl":"https://doi.org/10.12660/rbfin.v16n2.2018.72035","url":null,"abstract":"This article empirically test the lower partial moments models, Sortino,\u0000 Upside Potential Ratio, Omega and Kappa, comparing them with the traditional\u0000 CAPM, for listed shares of Ibovespa and Dow Jones index. These two classes\u0000 of models are distinguished in terms of investors' profile assumptions and\u0000 risk measurement. While the CAPM considers only the first two moments of the\u0000 returns distribution, assuming investor's quadratic utility function\u0000 (defined in terms of mean/expected returns and variance/risk), the other\u0000 measures take into account higher moments of returns distributions\u0000 (assimetry and curtosis). The Hansen-Jagannathan distance, which estimates\u0000 the Stochastic Discount Factor (SDF) measurement error generated by each\u0000 model, showed a distinction of the models in the two markets. While the CAPM\u0000 performed better for Dow Jones shares, the lower partial moments models\u0000 presented better results for Ibovespa, suggesting an advantage in the use of\u0000 such models in markets with lower liquidity, fat tails (greater probability\u0000 of extreme events) and greater asymmetry.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"21 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115688609","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Estratégias de Imunização de Carteiras de Renda Fixa no Brasil 巴西固定收益投资组合免疫策略
Brazilian Review of Finance Pub Date : 2018-07-11 DOI: 10.12660/RBFIN.V16N2.2018.69279
Sofia Kusiak Meirelles, M. Fernandes
{"title":"Estratégias de Imunização de Carteiras de Renda Fixa no Brasil","authors":"Sofia Kusiak Meirelles, M. Fernandes","doi":"10.12660/RBFIN.V16N2.2018.69279","DOIUrl":"https://doi.org/10.12660/RBFIN.V16N2.2018.69279","url":null,"abstract":"This paper aims to statistically compare the performance of two hedging\u0000 strategies for Brazilian fixed income portfolios, with discrete rebalancing.\u0000 The first hedging strategy matches duration, and hence it considers only\u0000 small parallel changes in the yield curve. The alternative methodology\u0000 ponders level, curvature and convexity shifts through a factor model. We\u0000 first estimate the yield curve using the polynomial model of Nelson &\u0000 Siegel (1987) and Diebold & Li (2006) and then immunize the fixed income\u0000 portfolio using Litterman & Scheinkman’s (1991) hedging procedure. The\u0000 alternative strategy for portfolio immunization outperforms duration\u0000 matching in the empirical exercise we contemplate. Additionally, we show\u0000 that rebalancing the hedging portfolio every month is more efficient than at\u0000 other frequencies.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125030138","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Um Modelo Unificado para a Previsão da Estrutura a Termo de Taxa de Juros 利率期限结构预测的统一模型
Brazilian Review of Finance Pub Date : 2018-07-11 DOI: 10.12660/rbfin.v16n2.2018.60169
Ailton Cassettari, J. R. Chiappin
{"title":"Um Modelo Unificado para a Previsão da Estrutura a Termo de Taxa de\u0000 Juros","authors":"Ailton Cassettari, J. R. Chiappin","doi":"10.12660/rbfin.v16n2.2018.60169","DOIUrl":"https://doi.org/10.12660/rbfin.v16n2.2018.60169","url":null,"abstract":"The focus of the paper is to present a new methodology for forecasting\u0000 the Term Structure of Interest Rates (ETTJ). The objective is to answer the\u0000 question: given the ETTJ curve at any given time, what is the ETTJ at a\u0000 future date? Thus, we seek to construct an analytical expression for the\u0000 prediction of an entire curve and not only for a given future price of any\u0000 asset. This objective requires a predominantly analytical and theoretical\u0000 approach rather than empirical or econometric. The characteristic of this\u0000 approach is the development of a \"hybrid\" model, describing the evolution\u0000 and dynamics of the ETTJ curve over time, combining three elements: a\u0000 particular version of the HJM model, the Nelson-Siegel-Svensson\u0000 parameterization, and an independent modeling of the short-term rate, via\u0000 Hull-White model. As results are obtained analytical expressions for\u0000 quantities of importance in the fixed income markets. Not being the focus of\u0000 this work, the empirical evaluation appears only as an illustration, and a\u0000 more rigorous empirical analysis is left for another article.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"17 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128627742","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The Relation between Income Smoothing, Earnings Persistence and IFRS Adoption 收益平滑、盈余持续性与采用国际财务报告准则的关系
Brazilian Review of Finance Pub Date : 2018-07-11 DOI: 10.12660/RBFIN.V16N2.2018.62269
Ana Carolina Kolozsvari, M. Macedo
{"title":"The Relation between Income Smoothing, Earnings Persistence and IFRS\u0000 Adoption","authors":"Ana Carolina Kolozsvari, M. Macedo","doi":"10.12660/RBFIN.V16N2.2018.62269","DOIUrl":"https://doi.org/10.12660/RBFIN.V16N2.2018.62269","url":null,"abstract":"This research approaches the influence of smoothing on persistence, two\u0000 time-series properties of the same earnings stream, considering the adoption\u0000 of International Financial Reporting Standards (IFRS), in Brazil. This\u0000 influence is interesting from the possibility of the disclosure to inform\u0000 stability to influence the information quality for valuation. The objective\u0000 was to investigate whether the IFRS adoption modified the\u0000 smoothing-persistence relation. We inserted dummies in autoregressive\u0000 models, to identify the influence of smoothing on persistence regarding\u0000 different accounting environments. The findings show that (i) the IFRS\u0000 adoption increased the quality of earnings; (ii) the IFRS shifted the role\u0000 of smoothing, that previously increased and then decreased the persistence;\u0000 and (iii) the smoothing suppressed the benefits for information quality\u0000 brought by IFRS adoption. We conclude that IFRS increased the informational\u0000 level of earnings, evidencing that interferences to mitigate impacts on\u0000 reported income ceased to increase and started to decrease its\u0000 usefulness.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114658003","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Análise Multicritério Nebulosa de Empresas 模糊的多标准公司分析
Brazilian Review of Finance Pub Date : 2018-07-11 DOI: 10.12660/rbfin.v16n2.2018.61929
Antonio Marcos Duarte Júnior, Hugo Ghiaroni Albuquerque e Silva
{"title":"Análise Multicritério Nebulosa de Empresas","authors":"Antonio Marcos Duarte Júnior, Hugo Ghiaroni Albuquerque e Silva","doi":"10.12660/rbfin.v16n2.2018.61929","DOIUrl":"https://doi.org/10.12660/rbfin.v16n2.2018.61929","url":null,"abstract":"We consider the problem of equity valuation. The use of fuzzy\u0000 multicriteria decision analysis is proposed to solve the problem. The\u0000 resulting methodology allows the use of the multiples most often calculated\u0000 by equity analysts from audited balance sheets, with the addition of\u0000 qualitative criteria, such as corporate governance, sustainability\u0000 indicators and credit ratings, as well as risk measures (liquidity and\u0000 market) based on trading prices and volumes. Also, the proposal facilitates\u0000 incorporating uncertainty into the problem with the use of fuzzy\u0000 mathematics. The resulting methodology proved to be robust and offered\u0000 detailed information about expected performance under adverse scenarios,\u0000 enhancing the decision-making process faced by equity analysts and portfolio\u0000 managers. Numerical examples obtained with data from the Brazilian stock\u0000 market are exhibited for illustrative purposes.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"87 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-07-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124998962","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 2
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