Testing Static Tradeoff against Pecking Order Models of Capital Structure in Brazilian Firms

We test two models with the purpose of finding the best empirical explanation for the capital structure of Brazilian firms. The models tested were developed to represent the Static Tradeoff Theory and the Pecking Order Theory. The sample consists of firms listed in the Sao Paulo (Brazil) stock exchange from 1995 through 2002. By using panel data econometric methods, we aimed at establishing which of the two theories has the best explanatory power for Brazilian firms. The analysis of the outcomes led to the conclusion that the pecking order theory provides the best explanation for the capital structure of those firms.capital structure, pecking order, static tradeoff, Brazilian firms

Market Reaction and Volatility in the Brazilian Stock Market

We perform an event study to investigate stock returns associated to the announcement of equity issues by Brazilian firms between 1992 and 2003 aiming to determine the market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. The results show signs of insider information, negative abnormal returns around the announcement, and persistent negative abnormal returns in the long-term after the issue. The results are consistent with the extant empirical literature and show that ARCH/GARCH estimation of abnormal returns is superior to OLS estimation.Brazilian stock market, event study, market reaction, GARCH

Comportamento racional e desempenho da análise gráfica no mercado acionário brasileiro

The purpose of this paper aims to get empirical evidence about the performance of Technical analysis considering profitability when coupled on a stand-alone system to trigger orders of buy/selling shares via home broker at Bovespa, also present a modified methodology for the Lorenzoni et al. (2007) test to check the presence of informational content in technical analysis. This autonomous system consists of a modified routine of rational choice constant in Arrow (1959) which seeks maximum profit trying to simulate human behavior as a strategy for triggering orders. It was tested 352 different combinations of possible orders when attached to the rational behavior for each series tested. The data used were companies listed in FGV-100 index (theoretical portfolio of the year 2009) and Ibovespa (theoretical portfolio of Sept/Dez 2009) with a total of 129 companies from 3/01/2000 to 09/30/2009. The main results show that the best results were obtained by moving average followed by Bollinger bands and, finally the histogram, which has not proved by self efficient. Orders were counted in quantities. It was found rational choice behaviors of buy/sell with superior performance to its peers when compared in terms of profitability with the returns obtained by Ibovespa. The statistics of White (2000) and the modified test of Lorenzoni et al. (2007), proposed by the author, had suggested the presence of informational content for the majority of the series tested in the sample when the graphs indicated long position for both the original data and for the recreated data from the AR(1)-GARCH(1,1) model.Este trabalho teve como objetivo buscar evidências empíricas sobre o desempenho da análise gráfica considerando a lucratividade quando montadas em um sistema autônomo para o disparo de ordens de compra e venda de ações via homebroker na Bovespa, bem como apresentar uma metodologia modificada para o teste de Lorenzoni et al. (2007) para verificar a presença de conteúdo informacional na análise técnica. Este sistema autônomo consiste em uma rotina modificada do comportamento racional de compra constante em Arrow (1959), que visa ao lucro máximo e procura simular o comportamento humano como estratégia para o disparo de ordens. Foram testadas 352 combinações diferentes de possibilidades de ordens, quando acopladas ao comportamento racional para cada série testada. Os dados utilizados compreenderam as empresas constantes no índice FGV-100 (2009) e no Ibovespa (set./dez. de 2009) totalizando 129 companhias no período de 03/01/2000 até 30/09/2009. Os principais resultados mostram que bons desempenhos foram obtidos pelas médias móveis, seguidos das bandas de Bollinger e do histograma, que não se mostrou eficiente. As ordens foram contadas em quantidades. Foram encontrados comportamentos racionais de compra e venda com desempenho superior aos seus semelhantes, quando comparados em termos de lucratividade aos retornos obtidos pelo Ibovespa. A estatística de White (2000) e o teste modificado de Lorenzoni et al. (2007), proposto pelo autor, sugeriram a presença de conteúdo informacional para a maioria das séries testadas na amostra quando os gráficos indicaram a posição comprada, tanto paraas séries originais quanto para os dados recriados a partir do modelo AR(1)-GARCH(1,1)

Determinantes do Spread Bancário Ex-Post no Mercado Brasileiro

Bank profitability is usually considered a relevant factor to provide the reliability of the financial system, reducing the risks associated to events of bankruptcy in this sector. In Brazil, however, there has been a great deal of discussion concerning the amount of earnings of financial institutions operating in the country, centered on the argument that such earnings are too large, becoming an excessive burden to the wealth-producing sector. For this reason, several studies have evaluated the structure, the evolution, and the determinants of banking spread, which is taken as the main variable responsible for the supposedly abnormal earnings. From the methodological viewpoint, these studies have concentrated in investigating the ex-ante banking spread related to operations with free resources and they have utilized macroeconomic factors as independent variables. The present study aims at identifying variables determining the ex-post banking spread, privileging explanatory variables intrinsic to the institutions, in other words, microeconomic. The extant literature on determinants of banking ex-post spread in Brazil presents a single previous paper, which presents poor results due to a problem of micronumerosity. To avoid such problem, our study utilizes data of balance sheets of banking institutions with operating credit portfolios from January 2000 to October 2009. Using a dynamic panel-data regression model, we test nine hypotheses and we find that the level of ex-post banking spread has relationships which are significant and: (i) positive with the credit portfolio risk; (ii) negative with the relative participation of the institutions in the credit market. On the other hand, we could not find statistically significant relationships between the level of ex-post banking spread and: the level of coverage of administrative expenses by revenues from services rendered; the origin of the institutions’ controlling capital, i.e. national versus foreign and state-owned versus private; the economy’s basic interest rate; the volatility of the Sao Paulo Stock Exchange stock index.

Latin-American Stock Market Dynamics and Co-movement

The file attached to this record is the author's final peer reviewed version. The Publisher's final version can be found by following the DOI link.With the economic relevance of the relationships among emerging and frontier equity markets becoming increasingly significant, this paper investigates co-movement among returns from six Latin-American stock markets [Mexico (BMV), Brazil (BOVESPA), Chile (IPSA), Peru (IGBVL), Argentina (MERVAL), Venezuela (IBVC)] and also with the U.S. S&P 500 Composite index. In part, we employ Principal Component Analyses, to account for the maximum portion of the variance present in the returns by examining rolling windows with 8,6,4,3,2, and 1-year periods. We also investigate the incidence of structural breaks and co-movement, aiming to uncover the dynamics in co-movements among these markets. We find evidence of high co-movement among the Latin-American markets, and also with the U.S. markets. Venezuela and Mexico’s equity markets are at the extremes. However, our results do not corroborate findings of clear evidence, reported in previous studies, of the U.S. having a leading role in the region

DIVULGACIÓN SOCIAL DE LAS EMPRESAS BRASILEÑAS QUE COTIZAN EN BOLSA: UN ANÁLISIS CUALITATIVO DE LAS ACCIONES EXTERIORES EN LOS PROGRAMAS SOCIALES EN EL PERÍODO 2005 A 2009

Este artigo apresenta resultados de uma avaliação do nível de evidenciação social das empresas brasileiras de capital aberto quanto à prestação de contas dos projetos sociais externos. Os programas sociais possuem dentre outros objetivos a redução do impacto negativo causado pela atividade operacional das empresas (JENSEN et al., 1972). A pesquisa é de natureza qualitativa, valendo-se da análise de conteúdo como técnica de análise dos dados. Foram analisados relatórios de 83 empresas brasileiras listadas na BM&FBovespa com maior nível de liquidez de suas ações no período de 2005 a 2009. As categorias analisadas (informações passadas, prospecções de ações futuras e acessibilidade) apontam que estarem listadas em bolsa de valores no exterior e em fundos socialmente responsáveis são as características preponderantes para um maior e melhor nível de evidenciação social. Destaca-se também que as empresas consideradas de maior impacto ambiental são aquelas que apresentam um maior nível de evidenciação social quando comparado com as demais empresas. Além desses fatores, ressalta-se o fato de que há, de modo geral, uma evolução no nível de evidenciação no período, uma vez que as empresas consideradas com um nível de evidenciação social alto passou de 21% em 2005 (17 empresas) para 27% em 2009 (22 empresas). Essa tendência demonstra a importância de tal informação, bem como a preocupação das empresas em dar maior transparência às suas ações em programas sociais.This paper presents assessment results of the social disclosure level of Brazilian publicly-traded companies regarding the disclosure of external social projects. Social programs have among other aims the reduction of the negative impact caused by company’s operating activities (JENSEN et al., 1972). This research has a qualitative nature and uses content analysis as a technique for data analysis. Reports of 83 Brazilian companies listed in BM&FBovespa with the highest level of stock liquidity in the period from 2005 to 2009 were analysed. The analysed categories (past information, prospection of future actions, and accessibility) indicate that being listed in foreign stock exchanges and in social responsible funds are the most important characteristics to higher and better levels of social disclosure. It is also found that companies considered as having higher levels of environmental impact are those which present higher levels of social disclosure when compared with the other companies. Besides these factors, it is observed that there is, in general, an evolution of the level of disclosure in the period, since the companies considered as having high levels of social disclosure increased from 21% in 2005 (17 companies) to 27% in 2009 (22 companies). This trend demonstrates the importance of such information, as well as these companies’ concern in providing more transparency of their actions in social programs.Este artículo presenta los resultados de una evaluación del nivel de la divulgación social de las empresas brasileñas que cotizan en el exterior, especialmente en lo que se refiere a la rendición de cuentas de proyectos sociales. Los programas sociales tienen, entre otros objetivos la reducción del impacto negativo causado por la actividad operacional de las empresas (JENSEN et al., 1972). La investigación es cualitativa por naturaleza, basándose en análisis de contenido como técnica de análisis de datos. Se analizaron los informes de 83 empresas brasileñas que cotizan en BM&FBovespa con una mayor liquidez de sus acciones en el periodo de 2005 a 2009. Las categorías analizadas (las informaciones colectadas, las prospecciones de las futuras acciones y la accesibilidad) señalan que destacándose en lista de las bolsas de valores en el extranjero y en fondos socialmente responsables son las características predominantes de un más alto y mejor nivel de divulgación social. Asimismo cabe destacar que las empresas consideradas de mayor impacto ambiental son las que presentan un más grande nivel de divulgación social, en comparación con otras empresas. Además de estos factores, se resalta el hecho de que hay, en general, una evolución en el nivel de destaque en el período transcurrido ya que las empresas apuntadas con un alto nivel de divulgación social aumentó de 21% en 2005 (17 empresas) al 27% en 2009 (22 empresas). Esta tendencia demuestra la importancia de dicha información, así como la preocupación de las empresas en ofrecer más transparencia a sus acciones en los programa sociales

O Papel de variáveis econômicas e atributos da carteira na estimação das provisões discricionárias para perdas em operações de crédito nos bancos brasileiros

The study assesses whether incorporating macroeconomic variables and attributes of the loan portfolio improves the specification of models designed to identify management discretion in making loan loss provisions by banks, considering the standards issued by regulatory agencies. The empirical tests confirm the consistency of the proposed model based on the expected signs of the explanatory variable’s parameters and their statistical significance. These results were confronted with those of other models found in the literature by comparing the models’ adjusted R2s, by applying Vuong’s (1989) model selection test, by using an F test for nested models, and by analyzing the persistence of the non-discretionary components of loan loss provisions, which shows that the incorporation of macroeconomic variables and attributes of the loan portfolio improves the empirical investigation of discretion practiced by banks.O estudo avalia se a incorporação de variáveis macroeconômicas e atributos da carteira de crédito melhoram a especificação de modelos criados para identificar a discricionariedade da gestão na realização de provisões para perdas em operações de crédito por parte dos bancos, considerando os padrões emitidos pelos órgãos reguladores. Testes empíricos confirmam a consistência do modelo proposto com base nos sinais esperados dos parâmetros das variáveis explanatórias e sua significância estatística. Esses resultados foram confrontados com os de outros modelos encontrados na literatura, por meio da comparação dos R2s ajustados dos modelos, pela aplicação do teste de seleção de modelo de Vuong (1989), pelo uso de um teste F para modelos aninhados e pela análise da persistência dos componentes não discricionários das provisões para perdas em operações de crédito, ficando demonstrado que a incorporação das variáveis macroeconômicas e atributos da carteira de crédito melhoram a investigação empírica das discricionariedades praticadas pelos bancos

Occurrence records and metadata for sand flies (Diptera, Psychodidae, Phlebotominae) collected in the lands of indigenous people in the Brazilian Amazon

In order to contribute to knowledge of the epidemiology of American cutaneous leishmaniasis (ACL) among indigenous people living in sylvatic regions, we studied the sand fly fauna collected in areas of disease transmission in the Brazilian Amazon. Our two datasets reported here are comprised of occurrence data for sand flies from the Suruwaha Indigenous Land in the state of Amazonas collected between 2012-1013, and the Wajãpi Indigenous Land in the state of Amapá collected between 2013-2014. Sand flies were collected using unbaited CDC-like light traps at various sites within each study area and were identified to species-level by taxonomists with expertise in Amazonian fauna. A total of 4,646 records are reported: 1,428 from the Suruwaha and 3,218 from the Wajãpi. These records will contribute to a better understanding of ACL transmission dynamics, as well as the distribution of insect vectors, in these areas

Signalling the Dotcom bubble: a multiple changes in persistence approach

This study investigates multiple changes in persistence in the dividend-price and price-earnings ratio of the NASDAQ composite index. Recent time series methods that are capable of signalling and dating asset price bubbles are employed, in particular the method developed by Leybourne et al. (2007). The method allows for breaks between periods in which the data are integrated of order zero I(0) and integrated of order one I(1). The results confirm the existence of the so-called Dotcom bubble with its start and end dates. Furthermore, an unexpected negative bubble was also identified, extending from the beginning of the 1970s to the beginning of the 1990s, suggesting that the NASDAQ stock prices were below their fundamental values as indicated by their dividend yields, finding not previously reported in the literature. As the tools used by regulators take considerable time to take effect, methods capable of picking up warnings signals of the start of a bubble could be very useful. We conjecture that the methodology can also be applied to study recent phenomena in real estate, commodity and foreign exchange markets