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Brazilian Review of Finance最新文献

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Regulação ineficaz para forçar alongamento: O caso da Previdência Complementar Aberta no Brasil 强制延长的无效监管:巴西开放补充养老金的案例
Brazilian Review of Finance Pub Date : 2019-12-26 DOI: 10.12660/rbfin.v17n4.2019.78756
Luiz Guilherme Carpizo, M. G. P. García
{"title":"Regulação ineficaz para forçar alongamento: O caso da Previdência Complementar Aberta no Brasil","authors":"Luiz Guilherme Carpizo, M. G. P. García","doi":"10.12660/rbfin.v17n4.2019.78756","DOIUrl":"https://doi.org/10.12660/rbfin.v17n4.2019.78756","url":null,"abstract":"Despite the fall in the interest rate observed in Brazil in recent decades, and specific regulations on the private pension segment that encourage long-term risk taking, institutions in this segment appear to be considerably sensitive to short-term factors, while avoiding exposure to long-term risk factors. With portfolio allocation data from large entities, we implemented a VAR model to evaluate the impact of interest rate changes on portfolio management decisions and performed a counterfactual analysis to define the causal effect of regulation on additional risk taking. Results indicate that interest rate increases lead to significant and persistent reduction of investment in riskier assets with longer maturities, while the implemented regulation was not able to force greater risk-taking by institutions, in addition to generating distortions in segments of the Brazilian financial market.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"65 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-12-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"120906349","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
The natural yield curve in Brazil 巴西的自然收益率曲线
Brazilian Review of Finance Pub Date : 2019-12-26 DOI: 10.12660/rbfin.v17n4.2019.78914
A. D. C. F. Filho
{"title":"The natural yield curve in Brazil","authors":"A. D. C. F. Filho","doi":"10.12660/rbfin.v17n4.2019.78914","DOIUrl":"https://doi.org/10.12660/rbfin.v17n4.2019.78914","url":null,"abstract":"This paper estimates the term structure of natural interest rates for Brazil, a generalization of the concept of natural rate of interest for the yield curve. First, the Diebold-Li (2006) model is estimated with real yields. The latent factors of this model are then used in a model that includes an IS and a Phillips curve. The natural yield curve is obtained as the level, slope and curvature that closes the output gap at each point in time. This decomposition allows a broader indicator of the stance of monetary policy and a real-time measure of the natural rate. The difference between the slope of the real curve and its natural counterpart is highly correlated with the output gap.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"85 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":"129468043","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
A note on stochastic volatility model estimation 关于随机波动率模型估计的一个注意事项
Brazilian Review of Finance Pub Date : 2019-12-26 DOI: 10.12660/rbfin.v17n4.2019.79892
Omar Abbara, M. Zevallos
{"title":"A note on stochastic volatility model estimation","authors":"Omar Abbara, M. Zevallos","doi":"10.12660/rbfin.v17n4.2019.79892","DOIUrl":"https://doi.org/10.12660/rbfin.v17n4.2019.79892","url":null,"abstract":"The paper assesses the method proposed by Shumway and Stoffer (2006, Chapter 6, Section 10) to estimate the parameters and volatility of stochastic volatility models. First, the paper presents a Monte Carlo evaluation of the parameter estimates considering several distributions for the perturbations in the observation equation. Second, the method is assessed empirically, through backtesting evaluation of VaR forecasts of the S&P 500 time series returns. In both analyses, the paper also evaluates the convenience of using the Fuller transformation.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"30 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":"122871542","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
Estrutura de controle e performance financeira: Uma análise de empresas brasileiras listadas e deslistadas, negociadas no Brasil e nos Estados Unidos 控制结构和财务业绩:在巴西和美国交易的上市和非上市巴西公司的分析
Brazilian Review of Finance Pub Date : 2019-11-05 DOI: 10.12660/rbfin.v17n2.2019.77353
Alberto Granzotto, Igor Bernardi Sonza
{"title":"Estrutura de controle e performance financeira: Uma análise de empresas\u0000 brasileiras listadas e deslistadas, negociadas no Brasil e nos Estados\u0000 Unidos","authors":"Alberto Granzotto, Igor Bernardi Sonza","doi":"10.12660/rbfin.v17n2.2019.77353","DOIUrl":"https://doi.org/10.12660/rbfin.v17n2.2019.77353","url":null,"abstract":"The present work sought to identify the influence of the control\u0000 structure on the accounting and market performance of listed and delisted\u0000 Brazilian companies traded only on B3 as compared to those with a double\u0000 listing with the US (ADRs). For this purpose, linear regressions were\u0000 applied by GMM-Sys with unbalanced panel data. It was evidenced that for\u0000 companies traded only on B3, the control structure is negatively related to\u0000 efficiency while listed and positively related when delisting occurs,\u0000 prevailing shareholder conflict. This context is inverse to that found in\u0000 the analysis of ADRs, where the control structure is positively related to\u0000 efficiency while listed and negatively related when delisting occur, proving\u0000 that, in this case, agency conflicts prevail. This study confirms that the\u0000 effects of US Commom Law also affect Brazilian companies that are traded in\u0000 the US.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"8 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"121341911","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
Performance dos bancos brasileiros no contexto de digitalização 巴西银行在数字化背景下的表现
Brazilian Review of Finance Pub Date : 2019-11-05 DOI: 10.12660/rbfin.v17n2.2019.79189
Otavio Dias Freitas, G. Kirch
{"title":"Performance dos bancos brasileiros no contexto de digitalização","authors":"Otavio Dias Freitas, G. Kirch","doi":"10.12660/rbfin.v17n2.2019.79189","DOIUrl":"https://doi.org/10.12660/rbfin.v17n2.2019.79189","url":null,"abstract":"Considering the context of digitalization of the brazilian\u0000 banking sistem, the present study evaluates how the investment in technology\u0000 is affecting the performance of the financial institutions. Many studies\u0000 have evaluated the impact of the digitalization on the results of the banks.\u0000 Hernando and Nieto (2007) and Ciciretti, Hasan e Zazzara (2009) identified\u0000 profit gains and cost reduction with the implementation of internet banking\u0000 on the Spanish and Italian banks. In the present study, it was analysed,\u0000 through linear regressions, the relationship of investments in IT and\u0000 measures of profitability (ROA, ROE and margin of intermediation) and\u0000 expenses (personal and total of administrative expenses). It was also\u0000 verified, through a Data Envelopment Analysis (DEA), the evolution of the\u0000 technical, cost and allocative efficiencies of the Brazilian banks in the,\u0000 being the data segregated in terms of investment in IT. The results suggests\u0000 that the investment in information technology from the banks has a positive\u0000 and significative relation with the profitability variables and with the\u0000 administrative expenses, partially corroborating with the studies of\u0000 Hernando and Nieto (2007). It was also verified improvement on the technical\u0000 efficiency of the Brazilian banks along the analysed period, mainly amongst\u0000 on that with the greatest Investment in IT.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115114347","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
Governança corporativa e sensibilidade investimento-fluxo de caixa no Brasil 巴西的公司治理和投资-现金流敏感性
Brazilian Review of Finance Pub Date : 2019-11-05 DOI: 10.12660/rbfin.v17n2.2019.78083
Breno Augusto de Oliveira Silva, Daniel Ferreira Caixe, Elizabeth Krauter
{"title":"Governança corporativa e sensibilidade investimento-fluxo de caixa no\u0000 Brasil","authors":"Breno Augusto de Oliveira Silva, Daniel Ferreira Caixe, Elizabeth Krauter","doi":"10.12660/rbfin.v17n2.2019.78083","DOIUrl":"https://doi.org/10.12660/rbfin.v17n2.2019.78083","url":null,"abstract":"This study aimed to investigate the investment-cash flow sensitivity for\u0000 Brazilian companies with different degrees of financial constraint according\u0000 to the quality level of their corporate governance practices. An investment\u0000 model was estimated through GMM for a panel data of 248 Brazilian publicly\u0000 traded companies, which were a priori classified in two groups of financial\u0000 constraint degrees (high and low) according to the Corporate Governance\u0000 Practices Index (IPGC). The results showed that the quality of corporate\u0000 governance influences the investment-cash flow sensitivity, and this\u0000 sensitivity is negative and significant only for firms with poor governance,\u0000 classified with high financial constraint. Furthermore, it can be concluded\u0000 that IPGC proved to be an interesting variable for a priori classification\u0000 of companies and an important determinant of the investment-cash flow\u0000 sensitivity to identify potentially financially constrained firms.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"44 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125905178","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: 4
Does good corporate governance pay off in the long-run? Evidence from stock market segment switches in Brazil 从长远来看，良好的公司治理会带来回报吗?证据来自巴西股市板块的变化
Brazilian Review of Finance Pub Date : 2019-11-05 DOI: 10.12660/RBFIN.V17N3.2019.79874
Lars Norden, Luiz Moura
{"title":"Does good corporate governance pay off in the long-run? Evidence from stock market segment switches in Brazil","authors":"Lars Norden, Luiz Moura","doi":"10.12660/RBFIN.V17N3.2019.79874","DOIUrl":"https://doi.org/10.12660/RBFIN.V17N3.2019.79874","url":null,"abstract":"We investigate the long-run effects of higher standards of corporate governance in the stock market. We consider Brazilian firms that switched from the traditional segment to the Nível 1, Nível 2 or Novo Mercado since 2000. We document that higher standards of governance result in significantly higher abnormal stock returns in the long run, controlling for firm and time fixed effects. The positive impact increased after the Global Financial Crisis, market microstructure has improved, and the market impact is stronger for financially healthy firms. Evidence suggests that committing to higher standards of corporate governance paid off for Brazilian firms in the long run.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"32 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131470853","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
Fatores determinantes da política de dividendos das instituições financeiras brasileiras 巴西金融机构股息政策的决定因素
Brazilian Review of Finance Pub Date : 2019-11-05 DOI: 10.12660/rbfin.v17n2.2019.77956
Mariana Lanner de Araujo Simon, Jairo Laser Procianoy, R. Decourt
{"title":"Fatores determinantes da política de dividendos das instituições\u0000 financeiras brasileiras","authors":"Mariana Lanner de Araujo Simon, Jairo Laser Procianoy, R. Decourt","doi":"10.12660/rbfin.v17n2.2019.77956","DOIUrl":"https://doi.org/10.12660/rbfin.v17n2.2019.77956","url":null,"abstract":"","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"38 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126998029","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
Fifty-Year History of the Ibovespa Ibovespa五十年的历史
Brazilian Review of Finance Pub Date : 2019-11-05 DOI: 10.12660/rbfin.v17n3.2019.80028
F. H. Castro, William Eid Junior, V. Santana, Claudia Emiko Yoshinaga
{"title":"Fifty-Year History of the Ibovespa","authors":"F. H. Castro, William Eid Junior, V. Santana, Claudia Emiko Yoshinaga","doi":"10.12660/rbfin.v17n3.2019.80028","DOIUrl":"https://doi.org/10.12660/rbfin.v17n3.2019.80028","url":null,"abstract":"We summarize the fifty-year history (1968-2017) of the Ibovespa, a gross total return index that comprises the most liquid stocks traded on the São Paulo Stock Exchange in Brazil. We provide contextual material on the Brazilian economy during this 50-year period (such as the fight against hyperinflation, the privatization of companies, and economic crises) and its impact on the index composition and performance. We discuss the effect of the change in the index calculationmethodology that took place in 2014, when companies with lower market capitalization became less representative in the index. Finally, we discuss the representativeness of each industry on the Ibovespa portfolio.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"198 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122108568","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
Are higher-order factors useful in pricing the cross-section of hedge fund returns? 高阶因子对对冲基金收益横截面的定价有用吗?
Brazilian Review of Finance Pub Date : 2019-11-05 DOI: 10.12660/RBFIN.V17N2.2019.78017
Caio Almeida, E. Fang
{"title":"Are higher-order factors useful in pricing the cross-section of hedge\u0000 fund returns?","authors":"Caio Almeida, E. Fang","doi":"10.12660/RBFIN.V17N2.2019.78017","DOIUrl":"https://doi.org/10.12660/RBFIN.V17N2.2019.78017","url":null,"abstract":"This paper investigates hedge funds’ exposures to various risk factors\u0000 across different investment strategies through models with both linear and\u0000 second-order factors. Despite many efforts to search for the set of risk\u0000 factors that best explains cross-sectional hedge fund returns, no consensus\u0000 has been reached. In this study, we extend the analysis from an augmented\u0000 linear model based on Fama and French (1993) and Fung and Hsieh (2001) to\u0000 second-order models that include all quadratic and interaction terms by\u0000 adopting a novel multistep strategy that combines the variable selection\u0000 capabilities of the lasso regression with the Fama-MacBeth (1973) two-step\u0000 method. We find that several quadratic and interaction terms are\u0000 statistically significant for some strategies; however, there is no evidence\u0000 that the second-order models have more overall explanatory or predictive\u0000 power than the linear model. Moreover, while both the linear and\u0000 second-order models perform well for directional funds, missing factors may\u0000 still remain for semidirectional funds.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-11-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124727724","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
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