Credit constraints and the use of internal resources in Brazilian firms

Este estudo tem como objetivo identificar qual o comportamento das firmas brasileiras com relação à aplicação de seus recursos internos (fluxos de caixa) no curto e no longo prazo e verificar se há diferenças de comportamento entre firmas “restritas” e “não restritas” financeiramente. Para tanto, foi estimado um sistema de equações tendo como variáveis dependentes os principais usos de caixa e entre as explicativas os fluxos de caixa contemporâneo e defasados (t − 1 e t − 2). Os resultados sugerem que, em resposta a um choque positivo sobre seus fluxos de caixa, as firmas irrestritas canalizam a maior parte desses recursos (ao longo de três anos) para novos investimentos e para a distribuição de lucros, enquanto que as firmas restritas para reduzir o financiamento externo e para a retenção de caixa. Em suma, as firmas irrestritas parecem priorizar o investimento e as restritas o fortalecimento da situação financeira.In this study we aim to identify what is the behavior of brazilian companies regarding the investment of their internal resources (cash flows) in the short and in the long run and verify if there is differences between the behavior of constrained and unconstrained firms. For this, we estimate a system of equations in which the dependent variables are the main uses of cash and among the explanatory variables are the current and previous (t − 1 and t − 2) cash flows. The results suggest that, in response to a positive shock on their cash flows, unconstrained firms channel most of this resources (over three years) to new investments and to profit distribution, while constrained firms to cut external finance and to cash retention. In summary, uncons- trained firms seem to prioritize the new investments and constrained ones the strengthening of financial situation

Financial constraints and the interdependence of corporate financial decisions A cross-country study

Purpose – This paper aims to examine the interdependence of financial decisions (investment, financing, dividends and cash-holding) under financial constraints. Design/methodology/approach – The authors specify and estimate a system of simultaneous equations with panel data and firm fixed effects by three-stage least squares in a sample of firms from 62 countries from 1996 to 2010. Findings – The main findings largely corroborate previous studies regarding the interdependence of financial decisions. The authors also find evidence suggesting that financial constraints have a major impact on firms’ financial decisions. The results also suggest that financial constraints manifest themselves in virtually all firms, indicating that such constraints are a matter of degree and not of kind. Research limitations/implications – Implications regarding the impact of cash flows on investment and cash-holding decisions are only partially confirmed. Practical implications – The results are consistent with the hypothesis that financial constraints distort the financial policies of firms. For the purpose of formulating policies that reduce these distortions, the authors emphasize the role of the availability of internal funds and the recoverable fraction of assets in easing financial constraints, thus allowing for greater investment on the part of firms. Social implications – The results suggest that regulators should promote policies that reduce the dependence of corporate investment on internally generated cash flows. Originality/value – Unlike previous studies, the authors account for the direct impact endogenous variables could have on each other. In addition, they explore the impact of each country’s particular legal environment on the pledgeability of assets at the company level

Portfolio selection : theory and algorithms

Este estudo tem como objetivo apresentar o modelo de seleção de ativos para composição de carteiras de Markowitz, sem e com restrições de venda a descoberto, e propor abordagens para a solução do problema com restrições de venda a descoberto, visto que nesse caso não é possível obter uma solução analítica. Além do uso da programação linear para solução do problema quadrático do investidor, amplamente discutida na literatura, é proposto neste estudo o uso da abordagem da função de penalização, um método númerico de otimização muito utilizado na solução de problemas de minimização/maximização restritos. Com a finalidade de servir de referência para estudos iniciais sobre o tema, o presente estudo também implementa e demonstra a utilização dos dois algoritmos de seleção de portfólios (programação linear e função de penalização) utilizando o software Matlab® e uma amostra de ações do mercado brasileiro no período de janeiro/2004 a maio/2009. Os códigos (scripts) que implementam os algoritmos no software Matlab® encontram-se nos apêndices e podem ser usados livremente.The objective of this study is to present the portfolio selection model of Markowitz, with and without short selling restrictions, and to propose approaches for solving the problem with short selling restrictions, since in this case it is not possible to obtain an analytical solution. In addition to the use of linear programming to solve the quadratic problem of the investor, widely discussed in the literature, we propose the use of the penalization function approach, a numerical optimization method widely used in the solution of restricted minimization / maximization problems. In order to serve as a reference for initial studies on the subject, the present study also implements and demonstrates the use of the two portfolio selection algorithms (linear programming and penalization function) using Matlab® software and a sample of stocks from the Brazilian market in the period from January 2004 to May 2009. The codes (scripts) that implement the algorithms in the Matlab® software are found in the appendices and can be used freely

Study of events, estimation of expected return and market conditions

O Estudo de Eventos é um método utilizado para examinar o comportamento dos preços das ações em torno de eventos corporativos (KOTHARY e WARNER, 2006). O método se baseia numa idéia simples: comparar, na data do evento, o retorno real de um título com seu retorno esperado. Há vários modelos para geração dos retornos esperados e os desempenhos deles já foram avaliados e comparados em estudos no exterior e no Brasil. No entanto, não há evidências sobre os desempenhos relativos desses modelos em diferentes condições de mercado (crises, expsansões) no contexto Brasileiro. Visando preencher essa lacuna, o presente estudo pretende avaliar, por meio de simulações e um evento real, como em Klein e Rosenfeld (1987), qual(is) modelo(s) desempenha(m) melhor sob as mais diversas condições de mercado. Os resultados obtidos a partir das simulações mostraram que os modelos possuem, qualitativamente, performance semelhante e que o único equívoco ocorreu na identificação de retornos anormais de 1% no período de crise em todos os modelos estudados. Os resultados do evento real, porém, diferem dos resultados obtidos na simulação e sugerem que a escolha do modelo de retorno esperado deve levar em consideração as condições do mercado.The Event Study is a method used to examine the behavior of stock prices around corporate events (KOTHARY and WARNER, 2006). The method is based on a simple idea: compare, at the event date, the actual return of a security with its expected return. There are several models for generating the expected returns and their performances have already been evaluated and compared in studies abroad and in Brazil. However, there is no evidence on the relative performances of these models in different market conditions (crises, expansions) in the Brazilian context. In order to fill this gap, the present study intends to evaluate, through simulations and a real event, as in Klein and Rosenfeld (1987), which model performs better under the most diverse market conditions. The results obtained from the simulations showed that the models have similar qualitative performances and that the only equivocal occurred in the identification of abnormal returns of 1% in the crisis period in all the models studied. The results of the actual event, however, differ from the results obtained in the simulations and suggest that the choice of the expected return model should take into account market conditions

ESTUDO DE EVENTOS, ESTIMAÇÃO DO RETORNO ESPERADO E AS CONDIÇÕES DE MERCADO

O Estudo de Eventos é um método utilizado para examinar o comportamento dos preços das ações em torno de eventos corporativos (KOTHARY e WARNER, 2006). O método se baseia numa idéia simples: comparar, na data do evento, o retorno real de um título com seu retorno esperado. Há vários modelos para geração dos retornos esperados e os desempenhos deles já foram avaliados e comparados em estudos no exterior e no Brasil. No entanto, não há evidências sobre os desempenhos relativos desses modelos em diferentes condições de mercado (crises, expsansões) no contexto Brasileiro. Visando preencher essa lacuna, o presente estudo pretende avaliar, por meio de simulações e um evento real, como em Klein e Rosenfeld (1987), qual(is) modelo(s) desempenha(m) melhor sob as mais diversas condições de mercado. Os resultados obtidos a partir das simulações mostraram que os modelos possuem, qualitativamente, performance semelhante e que o único equívoco ocorreu na identificação de retornos anormais de 1% no período de crise em todos os modelos estudados. Os resultados do evento real, porém, diferem dos resultados obtidos na simulação e sugerem que a escolha do modelo de retorno esperado deve levar em consideração as condições do mercado

Dividend Yield as a predictor for stock pricing in the electricity sector: application of ARIMA and VAR models

Companies in the Brazilian electricity sector, unlike other sectors, have their own characteristics that place them in a different group from conventional economic theory. One of the main financial decisions taken by companies refers to the definition of a dividend distribution policy. It is up to the company to decide on net income: retain it, to reinvest in its own activity; or distribute it to its shareholders. The objective of this work is 1) to verify if the use of ARIMA and VAR models can predict the prices of shares in the electricity sector from the payment of dividends and 2) if dividends have a causal relationship on the price of assets in the electricity sector. Results and conclusions: Dividend-based VAR and ARIMA models were not able to predict asset prices. The Granger test showed a causal relationship between the dividend yield on the variation of asset prices in ELET3 and CMIG4, but not in TRPL4. One of the reasons why the Granger test had different results between TRPL4 and the others may be related to the former acting only in the transmission sector, unlike ELET3 and CMIG4, which operate in different segments of generation, transmission and distribution. In addition, ELET3 and CMIG4 are companies with strong state influence, which would explain the need to pay dividends as a way of managing agency conflicts, signaling and even protecting minority shareholders

SELEÇÃO DE PORTFÓLIOS: TEORIA E ALGORITMOS

Este estudo tem como objetivo apresentar o modelo de seleção de ativos para composição de carteiras de Markowitz, sem e com restrições de venda a descoberto, e propor abordagens para a solução do problema com restrições de venda a descoberto, visto que nesse caso não é possível obter uma solução analítica. Além do uso da programação linear para solução do problema quadrático do investidor, amplamente discutida na literatura, é proposto neste estudo o uso da abordagem da função de penalização, um método númerico de otimização muito utilizado na solução de problemas de minimização/maximização restritos. Com a finalidade de servir de referência para estudos iniciais sobre o tema, o presente estudo também implementa e demonstra a utilização dos dois algoritmos de seleção de portfólios (programação linear e função de penalização) utilizando o software Matlab® e uma amostra de ações do mercado brasileiro no período de janeiro/2004 a maio/2009. Os códigos (scripts) que implementam os algoritmos no software Matlab® encontram-se nos apêndices e podem ser usados livremente

Dividend policy on publicly water industry companies listed on B3

Companies in the water and sanitation sector try to balance the social responsibility of an essential asset and the remuneration of investors within a heterogeneous market for financial assets. The objective of this study is to evaluate the dividend policy of publicly traded companies in the water and sanitation sector in relation to the price of their market value. The period of study ranged from the IPO of the shares until December 31, 2019. The following variables were collected from each company: price, payment of dividends (aggregated in annual payment), annual net income and payout, this one defined as the ratio between the dividend payment and net income. The following conclusions were reached: 1) no differences were found between dividend paying and non-paying companies regarding the value of their shares; 2) there were also no differences between high and low payout paying companies regarding the value of their shares

Are non-operating profits related to dividend policy of companies in the Brazilian electricity sector?

The aim of this work is seek correlation between non-operating profits and the dividend distribution policy by companies in the Brazilian electricity sector through their respective payouts. Methodology: Data analysis was performed using Student's t test and ordinary least squares test. Conclusions: The electricity sector stood out from other sectors for having lower non-operating profit, higher yield and lower annual appreciation than other sectors, with no difference in payout. The intra-sector analysis demonstrated an inverse relationship between non-operating profit and payout as well as non-operating profit and yield. Companies in the electricity sector with high non-operating profits are related to lower valuation, yield and payout, and this factor may be a poor prognostic metric for the asset

Acessando relatórios financeiros e eventos corporativos com GetDFPData

This paper presents and discusses the contributions and usage of GetDFPData, which is an open and free software for accessing corporate data from the Brazilian financial exchange, B3. The distribution and popularization of an open-source algorithm for gathering and managing financial data can improve finance research and practice in two ways. First, it increases the number and quality of research in accounting and corporate finance. Secondly, it provides retail investors with reliable data that may help their allocation decisions. Initially, we analyze the use of this kind of data in a list of recent publications to show the relevance of financial reports and corporate events data for research in the fields of accounting and finance. Finally, we illustrate the use of GetDFPData in large-scale research, an empirical and reproducible example of a corporate finance study