Sector integration and the benefits on global diversification

One of the main reasons that financial analysts recommend international investments is that foreign stocks are not highly correlated with U.S. stocks. As world economies become increasingly interrelated, it may become more difficult for investors to achieve effective diversification. This research investigates international stock market correlation, and assesses whether global diversification on a sector basis is beneficial to U.S. investors. This analysis includes 38 developed and emerging stock markets from 1981-2000. In addition to demonstrating a potential loss of diversification benefits, this paper utilizes an optimal global asset allocation model to illustrate the effects of sector diversification on portfolio performance over time. The results indicate that although the correlation between most foreign sectors and U.S. sectors is increasing over time, there are still substantial international diversification benefits. Further, the inclusion of emerging market sectors significantly enhances the return-to-risk performance of international portfolios.Indisponível

The effect of financial liberalization on cross-autocorrelation in the brazilian equit market

This study examines the effect of financial liberalization on crossautocorrelation in the Brazilian equity market. The sample consists of daily data from January 1986 through December 1999. Prior studies have found conflicting evidence of crossautocorrelation in U.S. data. Differences in size-based portfolios are tested through correlation, cross-autocorrelation, Grangercausality, asymmetric responses, and trading volume. The results confirm that large stock portfolio returns lead small stock portfolio returns, but the lagged response of small stock portfolio returns diminish following financial liberalization.Indisponível

Três desafios para as aberturas de capital

UnavailableO artigo apresenta três razões que impedem mais empresas de abrirem seu capital. Combinação de alta de juros, falta de proteção ao minoritário e a forma de colocação dos papéis

Mudanças repentinas na variância condicional e as conseqüências para o prêmio de opções

Unavailable.O processo estocástico da variância condicional estimada por modelos da família GARCH não é monotônico ou suave e apresenta mudanças repentinas. Essas mudanças são associadas a choques, tais como a crise asiática, que levam a uma mudança de patamar na variância condicional. Profissionais do mercado utilizando a volatilidade condicional obtida de modelos GARCH que não consideram as mudanças repentinas na variância podem sub ou superestimar a volatilidade das ações, levando a uma má especificação do prêmio. Neste trabalho apresento evidência de que a variância condicional sofre mudanças repentinas para um conjunto de seis ações com opções negociadas na BOVESPA. Apresento evidência, também, de que o coeficiente do efeito GARCH torna-se insignificante depois que as mudanças repentinas na variância condicional são incluídas no modelo. Para modelar a variância, utilizo a variante de Glosten et al. (1994) com uma distribuição t para acomodar a curtose elevada e a assimetria. O uso de modelos GARCH simples para obter a volatilidade em modelos de preços de opções pode levar a problemas sérios de estimação do prêmio de opções em épocas de choques na variância condicional. O analista deve ajustar o modelo de estimação com variáveis dummy quando uma mudança de regime na volatilidade é percebida

Agency conflicts, compensation and clientele type, and survivorship bias in brazilian stock funds

This article investigates the survivorship bias and the behavior of equity mutual funds at calendar semester ends in Brazil between 2004 and 2013. Results indicate that fund performance is associated with its survivorship, but other factors may play an important role in keeping a fund in activity. Results also suggest that the sampled funds present positive abnormal returns on the last trading day of calendar semesters, followed by negative abnormal returns on the subsequent day. Funds oriented to retail investors and those that charge incentive fees are more likely to display these abnormal return behavior. There seems to be evidence of portfolio pumping.Este artigo investiga o viés de sobrevivência e o comportamento de fundos de investimento em ações (FIA) ao final dos semestres do ano calendário no Brasil entre 2004 e 2013. Os resultados indicam que o desempenho dos FIA está associado com sua sobrevivência, mas que outros fatores podem ter papel importante para manter um FIA em atividade. Os resultados também sugerem que os FIA da amostra apresentam retornos anormais positivos no último dia de negociações dos semestres do ano calendário, seguidos de retornos anormais negativos no dia de negociações seguinte. FIA voltados para clientes de varejo e os que cobram taxa de performance apresentam maior probabilidade de exibir este padrão de retornos anormais. Parece haver evidência de ‘portfolio pumping’

Elusive Anomalies in the Brazilian Stock Market

We study the twist-of-the-Monday effect in the Brazilian stock market and provide evidence that it is due to index construction problems, such as the non-synchronous trading of stocks. The effect is present for indices but absent for most individual stocks and in the most recent sub-periods of the 1986-98 period. When present, it was due to negative weekend returns while Monday intraday returns were significantly positive. When absent, Monday returns remain positively correlated with the previous week return although Monday returns are no longer significantly negative. Monday trading strategies based on the previous week return were profitable in and out of the sample.Indisponível

Board characteristics and compensation in Brazilian listed companies

This article suggests that larger, better-governed, and lower ownership concentration companies have less homogeneous and passive boards, but pay more to their senior managers and directors. These companies probably need better-paid professionals to cope with more complex compliance and business environments. We create two categorical variables named homogeneity (HS) and passivity (PS) scores that aggregate hand collected board member characteristics. More homogeneous and passive boards may grant larger director and senior management compensations under the managerial power hypothesis (BEBCHUK and FRIED, 2005). On the other hand, larger and value increasing companies may pay more to their senior managers (JENSEN and MURPHY, 1990). Our findings suggest that less homogeneous and passive boards grant larger compensations in univariate tests. These results, however, do not transpire in multivariate tests. More homogeneous and passive boards are more frequent in smaller and higher ownership concentration companies, with poorer corporate governance and disclosure practices. It is possible that financial disclosure practices are more important then board characteristics (LEAL and CARVALHAL-DA-SILVA, 2007). These results highlight the importance of disclosure and transparency efforts to improve investor relations and reduce the cost of capital in a high ownership concentration country.Este artigo sugere que empresas maiores, com melhores práticas de governança corporativa e menor concentração de direitos de propriedade têm conselhos de administração (CA) menos homogêneos e passivos, mas pagam mais a sua diretoria e conselheiros. Essas empresas provavelmente precisam de profissionais mais bem pagos para lidar com ambientes de conformidade e de negócios mais complexos. Nós criamos duas variáveis categóricas chamadas de pontuações de homogeneidade e passividade que agregam dados colhidos a mão sobre características dos membros do CA. CAs mais homogêneos e passivos podem conceder maiores remunerações para a diretoria e conselheiros sob a hipótese do poder gerencial (BEBCHUK e FRIED, 2005). Por outro lado, grandes empresas que agregam valor para os acionistas podem pagar mais a sua diretoria (JENSEN e MURPHY, 1990). Nossos resultados sugerem que os CA menos homogêneos e passivos concedem remunerações maiores em testes univariados. Estes resultados, no entanto, não surgem nos testes multivariados. CAs mais homogêneos e passivos são mais frequentes em empresas menores, com maior concentração de direitos de propriedade e práticas de governança corporativa e divulgação de informações piores. É possível que as práticas de divulgação financeira sejam mais importantes do que as características dos conselheiros (LEAL e CARVALHAL-DA-SILVA, 2007). Estes resultados destacam a importância dos esforços de divulgação e transparência para melhorar as relações com investidores e reduzir o custo de capital em um país com concentração de direitos de propriedade elevada

Brazil: recent corporate governance advancements and retreats

This article overviews recent developments and set backs in the regulation and selfregulation of Brazilian corporate governance. Ownership transitioned from concentrated control dominance to a mixed pattern of a substantial minority of companies with shared control under shareholder agreements and a few dispersed ownership companies. Recent statistics suggest a reversal in this trend with the increase in concentrated control companies. Companies that once embraced premium trading lists that required better corporate governance practices resisted a tightening of this self-regulation and some successfully and lawfully did not comply with new compensation disclosure regulation. Many companies have gone back private. Institutional investors, in general, did not show an effective contribution to corporate governance improvement in their investees and the largest ones face serious internal conflict of interest issues.Este artigo examina avanços e recuos recentes na regulamentação e auto-regulação das práticas de governança corporativa no Brasil. Os direitos de propriedade passaram da dominância do controle concentrado para um padrão misto com uma minoria substancial de companhias com controle compartilhado sob um acordo de acionistas e algumas empresas com propriedade dispersa. Estatísticas recentes sugerem uma reversão dessa tendência com o aumento de companhias com controle concentrado. Empresas que um dia abraçaram os segmentos de listagem prêmio que exigiam melhores práticas de governança corporativa resistiram a um robustecimento desta auto-regulação e algumas não cumpriram as novas regras de transparência acerca da remuneração com sucesso e respaldo legal. Muitas companhias fecharam o capital. Os investidores institucionais, em geral, não contribuíram efetivamente para a melhoria da governança corporativa nas firmas em que investem e os maiores enfrentam sérios problemas internos de conflitos de interesse

Does this dog hunt? Testing the performance of the dogs of the dow strategy in the U.S. and in Brazil

This study analyzes the performance of the Dogs of the Dow Jones (DoD) investment strategy in the U.S and in Brazil on an absolute and on a risk adjusted basis. The DoD is a value oriented strategy that calls for investing equal dollar amounts in the highest yielding components of the Dow Jones. Our performance evaluation findings demonstrate that the DoD strategy shows only limited evidence that it can add value as an investment strategy in the U.S stock market. The use of the DoD strategy in Brazil shows virtually no evidence that it can add value as an investment strategy. Our analysis suggests that the dividend yield may not be a good variable to select value stocks in the U.S and in Brazil given existing empirical evidence that value stocks have outperformed growth stocks in these markets.Indisponível

Affinities and agreements among major brazilian shareholders

Purpose: To provide control and ownership percentages for the three largest shareholders, details on their identity types and affinities, and their participation in formal agreements in Brazilian listed companies. Design/Methodology/Approach: Direct percentage holdings of voting and non-voting shares computed for 399 listed companies in 2007 according to four listing segments. The three largest direct and ultimate shareholders were classified into nine identity types and as signatories of shareholder agreements. Findings: The concentration of control rights remains very high but is significantly lower in the most demanding listing segment. There is a great similarity in identity types among the three largest shareholders of a company. Shareholder agreements are common either with or without a controlling shareholder and more frequent with greater control dispersion. The largest shareholder is a signatory in most agreements. Research Limitations/Implications: The pervasive affinity among the largest shareholders, the ubiquity of shareholder agreements, and the resilient control concentration levels cast doubts about the possible positive effects that more control dispersion and fewer nonvoting shares might had. Any gains from ownership arrangement changes still need to be addressed. Practical Implications: Investors must be aware that benefits from greater control dispersion may be offset by formal and informal agreements among the largest shareholders. Originality/Value: The sample includes virtually all listed companies, agreements were investigated in all of them, and identity associations were mapped directly and indirectly for the three largest shareholders.Indisponível