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Brazilian Review of Finance最新文献

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Influência dos ativos intangíveis no desempenho econômico de empresas latino-americanas 无形资产对拉美企业经济绩效的影响
Brazilian Review of Finance Pub Date : 2019-10-15 DOI: 10.12660/rbfin.v17n1.2019.63869
Rafael Ferla, S. Muller, R. C. Klann
{"title":"Influência dos ativos intangíveis no desempenho econômico de empresas\u0000 latino-americanas","authors":"Rafael Ferla, S. Muller, R. C. Klann","doi":"10.12660/rbfin.v17n1.2019.63869","DOIUrl":"https://doi.org/10.12660/rbfin.v17n1.2019.63869","url":null,"abstract":"This study aims to verify the influence of intangible assets on\u0000 the economic performance of Latin American companies, using descriptive,\u0000 documentary, and quantitative methods. The study sample consists of 543\u0000 Argentine, Brazilian, Chilean and Mexican companies, listed on their\u0000 respective countries’ stock exchanges. Data from the period from 2010 to\u0000 2014 were collected from Thomson’s database in December 2015, and reviewed\u0000 using panel data regression. The results suggest the influence of the degree\u0000 of intangibility on the companies’ performance, with the strongest evidence\u0000 observed in the Argentine companies. In the Brazilian companies, results\u0000 show that the degree of intangibility negatively influences the return on\u0000 net assets. Based on the results of this study, it can be concluded that\u0000 intangible assets can influence the performance of organizations; however,\u0000 this influence depends on factors and characteristics of each\u0000 country.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"548 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123918891","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
Analysis of risk measures in multiobjective optimization portfolios with cardinality constraint 基于基数约束的多目标优化投资组合风险测度分析
Brazilian Review of Finance Pub Date : 2019-10-15 DOI: 10.12660/rbfin.v17n3.2019.78130
R. N. Cardoso, Bruno C. Barroso, Mariana Dos Santos De Oliveira, Felipe D. Paiva
{"title":"Analysis of risk measures in multiobjective optimization portfolios with cardinality constraint","authors":"R. N. Cardoso, Bruno C. Barroso, Mariana Dos Santos De Oliveira, Felipe D. Paiva","doi":"10.12660/rbfin.v17n3.2019.78130","DOIUrl":"https://doi.org/10.12660/rbfin.v17n3.2019.78130","url":null,"abstract":"Portfolio selection has been the subject of extensive studies in order to obtain increased returns, minimizing the investment risk. However, the most appropriate risk measure to be considered is still an open problem. The aim of this work is to study different risk measures in the multiobjective portfolios optimization with cardinality constraint and rebalancing. The in-sample analysis compares the fronts of each algorithm, metric and range of cardinality, and out-of-sample analysis compares the results of each measure of risk with each other and with two benchmarks. The returns of portfolios are compared in terms of assets choice and assignment of weights. Statistical tests are performed to verify if any measure of risk shows some superiority. Results indicate that downside risk measures can reduce the cardinality and the risk of financial drawdown without reducing drawup, once they are able to reduce just the negative historical returns scenarios.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"19 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115796736","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
Combining neural network and HAR forecasts of perceived volatility 结合神经网络和HAR预测感知波动
Brazilian Review of Finance Pub Date : 2019-10-15 DOI: 10.12660/RBFIN.V17N1.2019.71580
Alcides Araújo, Alessandra Avila Montini, J. Sampaio
{"title":"Combining neural network and HAR forecasts of perceived volatility","authors":"Alcides Araújo, Alessandra Avila Montini, J. Sampaio","doi":"10.12660/RBFIN.V17N1.2019.71580","DOIUrl":"https://doi.org/10.12660/RBFIN.V17N1.2019.71580","url":null,"abstract":"This paper examines a combination of HAR and neural networks methods to better predict perceived volatility and, consequently, to more efficiently manage risk. To carry out the projections, combinations and tests, the series of perceived volatility of Ibovespa was collected between 2000 and 2018, producing a sample of 4,530 observations. The main results show that the combination of both models better predict perceived volatility, which can be interpreted as an efficiency gain for risk management. In addition, this article also evaluates the performance of the models, considering the profitability of trading with options. For the case of profitability, combinations of linear and nonlinear models present better performance.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"390 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"123515681","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
On the predictability of high and low prices: The case of Bitcoin 论高价和低价的可预测性:以比特币为例
Brazilian Review of Finance Pub Date : 2019-10-15 DOI: 10.12660/rbfin.v17n1.2019.77578
Leandro Maciel, R. Ballini
{"title":"On the predictability of high and low prices: The case of Bitcoin","authors":"Leandro Maciel, R. Ballini","doi":"10.12660/rbfin.v17n1.2019.77578","DOIUrl":"https://doi.org/10.12660/rbfin.v17n1.2019.77578","url":null,"abstract":"Bitcoin has attracted the attention of investors lately due to its significant market capitalization and high volatility. This work considers the modeling and forecasting of daily high and low Bitcoin prices using a fractionally cointegrated vector autoregressive (FCVAR) model. As a flexible  framework, FCVAR is able to account for two fundamental patterns of high and low financial prices: their cointegrating relationship and the long memory of their difference (i.e., the range), which is a measure of realized volatility. The analysis comprises the period from January 2012 to February 2018. Empirical findings indicate a significant cointegration relationship between daily high and low Bitcoin prices, which are integrated on an order close to the unity, and the evidence of long memory for the range. Results also indicate that high and low Bitcoin prices are predictable, and the fractionally cointegrated approach appears as a potential forecasting tool forcryptocurrencies market practitioners.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"16 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126622151","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
Efeitos do pregão eletrônico sobre a eficiência e a volatilidade condicional no mercado de ações brasileiro 电子交易对巴西股票市场效率和条件波动的影响
Brazilian Review of Finance Pub Date : 2019-10-15 DOI: 10.12660/rbfin.v17n1.2019.76684
L. Maciel, R. Ballini
{"title":"Efeitos do pregão eletrônico sobre a eficiência e a volatilidade\u0000 condicional no mercado de ações brasileiro","authors":"L. Maciel, R. Ballini","doi":"10.12660/rbfin.v17n1.2019.76684","DOIUrl":"https://doi.org/10.12660/rbfin.v17n1.2019.76684","url":null,"abstract":"Stock exchange automation, characterized by the replacement of\u0000 floor trading systems by electronic trading systems, is one of the main\u0000 restructuring processes observed in global capital markets in recent\u0000 decades. This paper investigates the effects of automation in the São Paulo\u0000 Stock Exchange (B3), which adopted an electronic trading system in October\u0000 2005. Empirical analysis of the Bovespa index rejects the random walk\u0000 hypothesis for the periods before and after B3 automation, and provides\u0000 evidence of distinct volatility regimes. After automation, there is an\u0000 increase in the linear dependence of IBovespa returns, suggesting a negative\u0000 effect of automation on the Brazilian stock market’s efficiency. On the\u0000 other hand, in the same period, there is evidence for a reduction in the\u0000 long-term persistence of conditional volatility, in response to shocks to\u0000 returns.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"102 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"130625626","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
Impacto das variáveis bursáteis no desempenho financeiro das corretoras independentes 股票变量对独立经纪人财务业绩的影响
Brazilian Review of Finance Pub Date : 2019-10-15 DOI: 10.12660/rbfin.v17n1.2019.62354
Leonardo Anversi Ukita, Rodolfo Leandro de Faria Olivo, L. J. Morilhas, F. Nielsen
{"title":"Impacto das variáveis bursáteis no desempenho financeiro das corretoras\u0000 independentes","authors":"Leonardo Anversi Ukita, Rodolfo Leandro de Faria Olivo, L. J. Morilhas, F. Nielsen","doi":"10.12660/rbfin.v17n1.2019.62354","DOIUrl":"https://doi.org/10.12660/rbfin.v17n1.2019.62354","url":null,"abstract":"The 21st Century has seen important innovations in stock\u0000 markets, particularly the widespread adoption of automatic trading systems,\u0000 which, allied to high-speed information systems, have increased efficiency\u0000 and competition among stock brokers. In this context, we investigate the\u0000 impacts of these changes on independent Brazilian brokerage firms. Results\u0000 based on a 52-month sample period suggest a small effect of the Bovespa\u0000 index, market volatility and traded volumeon brokers firms\u0000 financial performance, indicating a still-limited impact of new technologies\u0000 of automatic trading and high-speed information on the Brazilian\u0000 market.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"34 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134264603","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
Evidence of the Dividend Month Premium in the Brazilian Stock Market 股息月溢价在巴西股票市场的证据
Brazilian Review of Finance Pub Date : 2019-01-18 DOI: 10.12660/RBFIN.V16N4.2018.67406
Camila C. Pereira, Regis A. Ely, Claudio D. Shikida
{"title":"Evidence of the Dividend Month Premium in the Brazilian Stock Market","authors":"Camila C. Pereira, Regis A. Ely, Claudio D. Shikida","doi":"10.12660/RBFIN.V16N4.2018.67406","DOIUrl":"https://doi.org/10.12660/RBFIN.V16N4.2018.67406","url":null,"abstract":"We test the presence of the dividend month premium in the Brazilian stock market. This premium consists in the existence of abnormal returns when companies are predicted to issue a dividend. We build portfolios based on predicted dividends and estimate asset pricing multifactor models to check for the existence of returns not associated with risks. We present evidences of a positive monthly premium of about 1%, but results are less robust when we exclude low liquidity assets from the sample. Also, the effect is larger for small caps and assets with higher dividend yields.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"213 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":"115943546","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 GARCH-VaR Investigation on the Brazilian Sectoral Stock Indices 巴西行业股票指数的GARCH-VaR研究
Brazilian Review of Finance Pub Date : 2019-01-18 DOI: 10.12660/RBFIN.V16N4.2018.74676
Wilton Bernardino, L. Brito, R. Ospina, S. B. Melo
{"title":"A GARCH-VaR Investigation on the Brazilian Sectoral Stock Indices","authors":"Wilton Bernardino, L. Brito, R. Ospina, S. B. Melo","doi":"10.12660/RBFIN.V16N4.2018.74676","DOIUrl":"https://doi.org/10.12660/RBFIN.V16N4.2018.74676","url":null,"abstract":"In this paper, we have explored operational risk in Brazil by\u0000 considering different sectoral indices of the Brazilian economy and the GACH\u0000 Value-at-Risk (GARCH-VaR) estimation approach. We have carried a statistical\u0000 evaluation of the eight Brazilian sectoral stock indices during different\u0000 time ranges so that VaR methodologies could be chosen according to the data.\u0000 We have analyzed the sectoral Brazilian indices during a common time range\u0000 where we have realized VaR backtests using recent data. The results of the\u0000 study reveals that VaR may be an effective tool on minimizing risk exposure\u0000 and potentially to avoid losses when trading in the Brazilian stock market.\u0000 Furthermore, we have showed that different sectors of the Brazilian economy\u0000 have significantly different risk behavior. In particular, the consumption\u0000 and industrial sectoral indices presented the best risk performance. In this\u0000 sense, we highlight that this type of analysis would be useful to small\u0000 lenders/investors in evaluating the attractiveness of lending/investing on\u0000 the Brazilian stock market.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"60 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":"130416435","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: 7
List of Reviewers - 2018 评审者名单- 2018
Brazilian Review of Finance Pub Date : 2019-01-18 DOI: 10.12660/rbfin.v16n4.2018.78094
M. Laurini
{"title":"List of Reviewers - 2018","authors":"M. Laurini","doi":"10.12660/rbfin.v16n4.2018.78094","DOIUrl":"https://doi.org/10.12660/rbfin.v16n4.2018.78094","url":null,"abstract":"List of Reviewers - 2018","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"203 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":"115716462","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
An Empirical Study of the Dynamic Correlation of Brazilian Stock Returns 巴西股票收益动态相关性的实证研究
Brazilian Review of Finance Pub Date : 2019-01-18 DOI: 10.12660/RBFIN.V16N4.2018.72142
H. C. Costa, S. P. Júnior, G. Menezes
{"title":"An Empirical Study of the Dynamic Correlation of Brazilian Stock Returns","authors":"H. C. Costa, S. P. Júnior, G. Menezes","doi":"10.12660/RBFIN.V16N4.2018.72142","DOIUrl":"https://doi.org/10.12660/RBFIN.V16N4.2018.72142","url":null,"abstract":"This article examines empirically the behavior of the correlation between the return of shares listed on the BMF& BOVESPA over the period from 2000 to 2015. To this end, we use multivariate GARCH models introduced by Bollerslev (1990) to remove the temporal series of arrays of conditional correlation of returns of stocks. With the temporal series of the largest eigenvalues of matrices of correlation estimated conditional, we apply statistical tests (unit root, structural breaks and trend) to verify the existence of stochastic trend or deterministic to the intensity of the correlation between the returns of the shares represented by eigenvalues. Our results confirm that both in times of crises at national and international turbulence, there is greater correlation between the actions. However, we did not find any long-term trend in time series of the largest eigenvalues of matrices of correlation conditional.","PeriodicalId":152637,"journal":{"name":"Brazilian Review of Finance","volume":"10 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":"115010962","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
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