Brazilian Review of Finance最新文献_第7页

Cointegração e previsibilidade de abordagens VECM para o Ibovespa Ibovespa VECM方法的协整和可预测性

Brazilian Review of Finance Pub Date : 2020-07-12 DOI: 10.12660/rbfin.v18n2.2020.79162

Marcos Pereira, Leonardo Carneiro de Araújo, Robert Aldo Iquiapaza

引用次数: 2

New evidence on the effectiveness of interventions in the foreign exchange market in Brazil 巴西外汇市场干预有效性的新证据

Brazilian Review of Finance Pub Date : 2020-06-23 DOI: 10.12660/rbfin.v18n2.2020.80115

F. Oliveira

引用次数: 3

Composite leading indicators of economic activity: An application to the upstream oil and gas industry in Rio de Janeiro 经济活动的综合领先指标:在巴西里约热内卢上游油气行业的应用

Brazilian Review of Finance Pub Date : 2020-06-23 DOI: 10.12660/rbfin.v18n2.2020.81097

Rafael Gonçalves Patrocínio, Jéfferson A. Colombo

{"title":"Composite leading indicators of economic activity: An application to the upstream oil and gas industry in Rio de Janeiro","authors":"Rafael Gonçalves Patrocínio, Jéfferson A. Colombo","doi":"10.12660/rbfin.v18n2.2020.81097","DOIUrl":"https://doi.org/10.12660/rbfin.v18n2.2020.81097","url":null,"abstract":"This paper proposes a monthly composite leading indicator to anticipate turning points in the economic activity of the upstream oil and gas industry in Rio de Janeiro, from January 2002 to May 2019. Firstly, we build a database with 61 series, and categorize each of them into i) rapidly responsive to economic activities; ii) expectation-sensitive; or iii) prime movers indicators. Afterward, we remove the seasonality of the series through the X-13 ARIMA-SEATS method and use the Bry-Boschan algorithm to identify the cycles. Then, we evaluate the components’ fit to integrate the composite leading indicator through four statistical tests: cross-correlation, quadratic probability score, Granger causality, and probit. The assessment of the composite leading indicator demonstrates that it leads 67% of the peaks and 100% of the troughs in the target series (5/6 of the turning points). Furthermore, the average leading period is 8.4 months, while the median is 9 and the standard error is 2.8 months. We contribute to the literature by creating, to our knowledge, the first leading indicator for the oil and gas industry in Brazil.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-06-23","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125005979","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 risk of asymmetric information on the liquidity of agricultural commodities futures contracts 农产品期货合约流动性的信息不对称风险

Brazilian Review of Finance Pub Date : 2020-06-23 DOI: 10.12660/RBFIN.V18N2.2020.81072

J. E. Ribeiro, Antônio Artur de Souza, E. D. A. Moraes

引用次数: 1

Board of directors, performance and firm value in Brazilian listed state-owned enterprises 巴西国有上市企业董事会、绩效与公司价值

Brazilian Review of Finance Pub Date : 2020-06-23 DOI: 10.12660/rbfin.v18n2.2020.80898

C. Coletta, R. A. Lima

引用次数: 7

Seleção de Carteiras: Escolha entre modelos baseada em persistência de performance 投资组合选择:基于性能持久性的模型选择

Brazilian Review of Finance Pub Date : 2020-04-10 DOI: 10.12660/rbfin.v18n1.2020.80598

Ricardo de Souza Tavares, João Frois Caldeira

引用次数: 0

The attractiveness of investments in railways in Brazil 巴西铁路投资的吸引力

Brazilian Review of Finance Pub Date : 2020-04-10 DOI: 10.12660/rbfin.v18n1.2020.80873

Fernando Correa Ferreira Filho, D. Monte-mor, F. Damasceno

引用次数: 0

Determinants of the implied equity risk premium in Brazil 巴西隐含股票风险溢价的决定因素

Brazilian Review of Finance Pub Date : 2020-04-10 DOI: 10.12660/RBFIN.V18N1.2020.80038

A. Sanvicente, Mauricio Rocha Carvalho

{"title":"Determinants of the implied equity risk premium in Brazil","authors":"A. Sanvicente, Mauricio Rocha Carvalho","doi":"10.12660/RBFIN.V18N1.2020.80038","DOIUrl":"https://doi.org/10.12660/RBFIN.V18N1.2020.80038","url":null,"abstract":"This paper proposes and tests market determinants of the equity risk premium (ERP) in Brazil. We use implied ERP, based on the Elton (1999) critique. The ultimate goal of this exercise is to demonstrate that the calculation of implied, as opposed to historical ERP makes sense, because it varies, in the expected direction, with changes in fundamental market indicators. The ERP for Brazil is calculated as a mean of large samples of individual stock prices in each month in the January, 1995 to September, 2015 period, using the 'implied risk premium' approach. As determinants of changes in the ERP we obtain, as significant, and in the expected direction: changes in the CDI rate, in the country debt risk spread, in the US market liquidity premium and in the level of the S&P500. The influence of the proposed determining factors is tested with the use of time series regression analysis. The possibility of a change in that relationship with the 2008 crisis was also tested, and the results indicate that the global financial crisis had no significant impact on the nature of the relationship between the ERP and its determining factors. For comparison purposes, we also consider the same variables as determinants of the ERP calculated with average historical returns, as is common in professional practice. First, the constructed series does not exhibit any relationship to known market-events. Second, the variables found to be significantly associated with historical ERP do not exhibit any intuitive relationship with compensation for market risk.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2020-04-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"127615748","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: 5

Did the new Law for State-owned Firms affect those that are publicly traded? 新的国有企业法对上市公司有影响吗?

Brazilian Review of Finance Pub Date : 2020-04-10 DOI: 10.12660/rbfin.v18n1.2020.79433

Vitor Kayo de Oliveira, M. Holland, J. Sampaio

引用次数: 0

Gestão do ciclo financeiro, rentabilidade e restrições financeiras 财务周期管理，盈利能力和财务约束

Brazilian Review of Finance Pub Date : 2019-12-26 DOI: 10.12660/rbfin.v17n4.2019.80018

Rodrigo M. Zeidan, Christiano Vanzin

{"title":"Gestão do ciclo financeiro, rentabilidade e restrições financeiras","authors":"Rodrigo M. Zeidan, Christiano Vanzin","doi":"10.12660/rbfin.v17n4.2019.80018","DOIUrl":"https://doi.org/10.12660/rbfin.v17n4.2019.80018","url":null,"abstract":"We investigate the relationship between cash conversion cycle (CCC) management and value creation. We extend a standard working capital management model to establish measurable hypotheses for privately owned companies in Brazil. We define hypotheses that relate profitability measures, such as return on assets (ROA) and return on equity (ROE), and the cash conversion cycle of a panel data sample of 318 Brazilian companies with available data for at least 8 of 9 fiscal years between 2009 and 2017. We estimate these relationships via generalized methods of moments (GMM) to deal with endogeneity among accounting variables. Evidence indicates that lower C2C improves ROA but not ROE. Additional assumptions included: (1) companies with a negative CCC tend to grow faster; (2) more indebted companies manage their cash-flow better; (3) smaller companies have a longer CCC; and (4) companies with longer CCC have higher operating margin. Evidence is that only ROA is related to cost of debt, and that total debt is the only variable that helps explain revenue growth (which probably captures firm size as well). Still, without the ability to issue more debt, companies are restricted in growing sales. Finally, and unexpectedly, we find that lower CCC indicates higher operating margin.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121654573","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