The Effect of Bid-Ask Prices on Brazilian Options Implied Volatility: A Case Study of Telemar Call Options

Although not explicitly reported, option traders on the Bovespa exchange pay an implicit bid-ask spread on each trade. Reported transaction prices that comprise the databases previously used to study the Brazilian options markets do not reflect actual option values at the time of the trades, but actual values plus (for purchases) or minus (for sales) the bid-ask spread. We use a chooser American option model to estimate Telemar call options bid-ask spreads, and to create a database of spread-adjusted trade prices. We find that the bid-ask spreads explain several previously reported puzzles regarding asset price volatility.

Desempenho Acadêmico e a Teoria do Prospecto: Estudo Empírico sobre o Comportamento Decisório

This study aims to identify the existence of a statistical relationship between rational choice and academic performance of undergraduate university students, based on Grinblatt, Keloharju and Linnainmaa (2011). With the use of questionnaires to collect data and logit regressions, the results show that Academic Performance (AP) has a direct relationship with the rationality of choices and alters cognitive biases in decision making. In this sense, students with higher AP made more rational choices than students with lower AP, which means a lower susceptibility to cognitive biases

Carteiras de Opções: Avaliação de Metodologias de Exigência de Capital no Mercado Brasileiro

The importance of risk management has been highlighted by the series of disasters related to the application of derivatives and by the common sense in needing to cover these operations with capital allocation. However, not much agreement exists concerning the methods for calculating the capital required for covering the potential losses of these assets. Options are derivatives that are still more complex, mainly if they are fitted into a portfolio, because they have many risk factors and they have a non-linear dependence on the underlying asset. The objective of this article is to analyze methods for calculating capital requirement of stock option portfolios in the Brazilian market. Seven methodologies are evaluated, according to the rules indicated by the Basle Committee, one standardized method and the others based on value at risk.

Inclusão do Decaimento Temporal na Metodologia Delta-Gama para o Cálculo do VaR de Carteiras Compradas em Opções no Brasil

The Value at Risk calculation for options has a lot of difficulties. The non-normality and the non-linearity of these assets cause sufficient unaccuracy in this measurement, mainly for the parametric models. The purpose of this article is to analyze the results of the VaR estimate for a portfolio of long options with two models: the Delta-Gama approach and the Delta-Gama-Theta approach, which considers the deterministic effect of the time decay when estimating the VaR. These methodologies are compared according to the moneyness and the maturity of the options and they are tested by the Christoffersen test and the Lopez test. The results show that the Delta-Gama-Theta methodology produces better results in the proportion-of-failures test for the VaR of 95%. Both methodologies produce large errors for the out-of-the-money options and for the options with short maturity.

Simulação Histórica Filtrada: Incorporação da Volatilidade ao Modelo Histórico de Cálculo de Risco para Ativos Não-Lineares

Historical models are being quite used in the value at risk (VaR) estimation due to the fact that many returns of financial assets cannot be described by a theoretical distribution. In these models, each observation of the past can be a possible scenery and for each scenery there is a price for the asset, what represents an implicit assumption that the returns are identically and independently distributed. The violation of this assumption is the main criticism to these models, evidenced by the existence of volatility clusters in the financial series that can cause an inconsistency in the value at risk estimates. This work applies a solution for this problem incorporating the volatility to the historical model for the value at risk estimate of stock options in the Brazilian market. The obtained results show that, during the studied period, the methodology presents good performance for a VaR estimation of 99% probability. For the 98% and 95% probabilities, an overestimation of the VaR is verified.

Adequação das Medidas de Valor em Risco na Formulação da Exigência de Capital para Estratégias de Opções no Mercado Brasileiro

Options strategies are combinations of transactions involving options on the same underlying asset or simultaneous positions on those derivatives assets and the underlying asset. Such transactions create new investment opportunities and different risk exposures, leading to specific capital requirements for financial institutions. However, there is a little agreement as to the methods for computing the capital requirements to cover strategic risks, so that, at the same time, speculative positions can be covered and risk-reducing transactions are not penalized. This article discusses various methods for the computation of capital requirements for stock option strategies in the Brazilian market. Six methods are analyzed according to the rules prescribed by the Basel Committee. One of the methods is standard, and the other five are based on Value at Risk concept.

Expectativas Inflacionárias e Inflação Implícita no Mercado Brasileiro

The trade volume of inflation indexed bonds has grown substantially in the treasury debt market. These bonds have been used as an important instrument for both diversifying investor´s portfolio, for managing firms´ liabilities and, mainly, for extracting inflation expectations by policymakers. This paper adds to the literature in twofold. First, we apply methodologies to obtain inflation expectations. Thus, we modified the method used in Durham (2007) to estimate the inflation risk premium. Second, we apply these methods in the Brazilian debt market for inflation indexed bonds issued from 2006 to 2008. Our results show that these methods perform better about inflation expectations, providing a more robust support for policymakers´ decisions.

Uma análise do Efeito Manada no Mercado de Ações Brasileiro

The aim of the present study is to investigate herding behavior in the Brazilian stock market. This bias is quite common in times of market downturns and can cause investors to suffer large losses. It is very difficult to effectively identify its real occurrence. Through the method of Chang et al. (2000), it is possible to show that the occurrence of herd behavior is associated with the following phenomena: high trading volume; high volatility, market downturn; and misbalancing of orders. The main contribution of the paper is to identify that herding behavior reacts asymmetrically to the sign of past shocks. The results suggest that an intense selling movement can generate uncertainty in agents, causing them to imitate others in imminent loss periods.O objetivo do presente estudo é investigar o efeito manada no mercado de ações brasileiro. Esse viés é bastante comum em tempos de desaceleração do mercado e pode fazer com que os investidores sofram grandes perdas. É muito difícil identificar com eficácia sua real ocorrência. Através do método de Chang et al. (2000), é possível evidenciar que a presença do comportamento de manada está associada aos seguintes fenômenos: alto volume de negócios; alta volatilidade, desaceleração do mercado; e desequilíbrio de ordens de negociação. A principal contribuição do artigo é identificar que o comportamento de manada reage assimetricamente ao sinal de choques passados. Os resultados sugerem que um movimento intenso de vendas pode gerar incerteza nos agentes, fazendo-os imitar os demais em períodos de perda iminente

Impacto do COVID-19 no mercado de ações brasileiro

Contextualização: A pandemia de COVID-19 causou perturbações sem precedentes globalmente, impactando a saúde pública, as economias e os mercados financeiros. Os governos responderam com medidas de emergência e pacotes de estímulo econômico para mitigar os efeitos da crise. A justificativa para este estudo reside em compreender as reações do mercado de ações brasileiro a eventos extremos e intervenções específicas, o que é crucial para formuladores de políticas e investidores, especialmente em mercados emergentes dependentes de estabilidade e capital estrangeiro. Objetivo: Esta pesquisa tem como objetivo identificar como o mercado de ações brasileiro respondeu às incertezas criadas pela pandemia de COVID-19 e se o pacote de estímulo econômico oferecido pelas autoridades brasileiras restaurou a confiança no mercado. Método: Utilizando a metodologia de estudo de eventos, examinamos o impacto da COVID-19 no mercado de ações brasileiro, focando em diferentes setores econômicos, estruturas de propriedade e fatores das empresas. Nossa análise abrange quatro eventos principais: a declaração de COVID-19 como Emergência de Saúde Pública de Interesse Internacional (ESPII) e pandemia, bem como dois anúncios de pacotes de estímulo econômico. A amostra incluiu empresas listadas na B3 com negociação diária em 2019, totalizando 150 empresas/ações. Resultados: Os resultados sugerem que a Covid-19 afetou os setores econômicos de maneiras diferentes, sendo os setores de hotéis, restaurantes, viagens e serviços de lazer os mais afetados no Brasil. As descobertas indicam que a declaração de COVID-19 como pandemia parece ter o maior impacto nos retornos das ações e o retorno das empresas menos alavancadas foi menos afetado. Apenas o anúncio do pacote de emergência teve um impacto positivo significativo nos retornos das ações. Conclusões: Esta pesquisa mostra que eventos distintos, positivos ou negativos, têm diferentes impactos nas ações e no desempenho dos mercados, principalmente em relação aos setores econômicos, tamanho, propriedade, lucratividade e janelas de eventos