Fórmula de valoração racional (RVF) e variabilidade no tempo das taxas de retornos de ativos

The present study examines the long-term relationship between aggregate price and dividend data and the corresponding mechanism for shortterm error correction using the rational valuation formula and time-varying cointegration and based on Muth's (1961) theory of rational expectations and price movements. The study assumes the variability of asset rates of return and tests the null hypotheses of error-correction mechanisms for time-constant cointegration vectors and inequality between fundamental value and share price. The series used were provided by Shiller (2005) and refer to aggregate price and dividend data for the U.S. stock market over the period 1871 to 2010. The data were analyzed using Johansen's cointegration models with the use of restricted variables resulting from the combination of the variables studied with the Chebyshev time polynomial, as proposed by Bierens and Martins (2010). The results indicate rejection of the null hypothesis of constancy of cointegration vectors as well as the non-rejection of the null hypothesis of inequality between fundamental value and share price. These results are consistent with those obtained by Bierens and Martins (2010) and do not corroborate Muth's (1961) theory of rational expectations. It is therefore concluded that investors have different expectations of return for different future periods. The results suggest the validation of the model used and that there is a possibility of the occurrence of speculative movements supported by rationality or rational speculative bubbles.O relacionamento de longo prazo e o correspondente mecanismo de correção de erros no curto prazo, entre dados agregados de preço e dividendos, é estudado no presente trabalho, através dos conceitos de fórmula de valoração racional e cointegração variante no tempo, e sob o referencial da teoria das expectativas racionais e de movimentação de preços de Muth (1961), para se supor a variabilidade das taxas de retorno de ativos, testando as hipóteses nulas de mecanismos de correção de erros dos vetores de cointegração constantes no tempo e de desigualdade entre valor fundamental e preço da ação. As séries obtidas foram as disponibilizadas por Shiller (2005) e se referem aos dados agregados de preço e dividendos do mercado acionário norte-americano, no período de 1871 a 2010. Os dados foram analisados através dos modelos de cointegração de Johansen, com a utilização de variáveis restritas decorrentes da combinação das variáveis estudadas com o polinômio temporal de Chebyshev, como proposto por Bierens e Martins (2010). Os resultados indicam a rejeição da hipótese nula de constância dos vetores de cointegração e, ainda, a não rejeição da hipótese nula de desigualdade entre valor fundamental e preço da ação. Tais resultados são consistentes com os obtidos por Bierens e Martins (2010) e não consistentes com a teoria das expectativas racionais de Muth (1961). Conclui-se, portanto, que os investidores possuem diferentes expectativas de retorno para diferentes períodos futuros, que os resultados sugerem a validação do modelo utilizado e que existe a possibilidade da ocorrência de movimentos especulativos suportados pela racionalidade ou bolhas especulativas racionais

Capital Structure Adjustments and Asymmetric Information

The findings of this paper suggest another reason for capital structure adjustments besides the Trade-Off and Pecking Order theories propositions because asymmetric information impacts capital structure changes and deviations o nly for a quarter whilst stationarity impacts them for 4 quarters, even when controlled. Asymmetric information has been measured by Corwin-Schultz bid ask spread estimator and capital structure target as the mean of debt to equity ratio of 262 Nyse non-financial and non-regulated companies and their industries during 91 quarters. The data were analyzed with Johansen-Fisher panel cointegration. The capital structure deviations last from 2 to 4 quarters and move toward a target

Rational Valuation Formula (RVF) and Time Variability in Asset Rates of Return

The present study examines the long-term relationship between aggregate price and dividend data and the corresponding mechanism for short-term error correction using the rational valuation formula and time-varying cointegration and based on Muth's (1961) theory of rational expectations and price movements. The study assumes the variability of asset rates of return and tests the null hypotheses of errorcorrection mechanisms for time-constant cointegration vectors and inequality between fundamental value and share price. The series used were provided by Shiller (2005) and refer to aggregate price and dividend data for the U.S. stock market over the period 1871 to 2010. The data were analyzed using Johansen’s cointegration models with the use of restricted variables resulting from the combination of the variables studied with the Chebyshev time polynomial, as proposed by Bierens and Martins (2010). The results indicate rejection of the null hypothesis of constancy of cointegration vectors as well as the non-rejection of the null hypothesis of inequality between fundamental value and share price. These results are consistent with those obtained by Bierens and Martins (2010) and do not corroborate Muth's (1961) theory of rational expectations. It is therefore concluded that investors have different expectations of return for different future periods. The results suggest the validation of the model used and that there is a possibility of the occurrence of speculative movements supported by rationality or rational speculative bubbles

Assimetria de informação e preços diários de ações no Brasil

This paper has the goal of analyzing the association between asymmetric information, measured by Corwin-Schultz bid ask spread estimator, and stock prices in the Brazilian stock market. Daily data from 64 corporations over a period of 10 years were examined using the Johansen-Fisher panel cointegration technique in order to assess the validity of asymmetric information measurements in shorter periods than in previous studies. The results indicate that asymmetric information anticipates stock prices over a period of up to two days in a theoretically consistent way. Future research may control the results via traditional finance variables.Este trabajo tuvo como objetivo analizar la asociación entre información asimétrica, medida a través del estimador Corwin-Schultz, y las cotizaciones bursátiles en el mercado de valores brasileño. Los datos diarios de 64 empresas, en un período de 10 diez años, se examinaron utilizando la técnica de cointegración de panel de Johansen-Fisher para evaluar la validez de una medida de información asimétrica en períodos más cortos que los estudios anteriores. Los resultados indican que la información asimétrica anticipa los precios de las acciones en un período de hasta dos días, de una manera teóricamente consistente. Las investigaciones futuras deberían controlar los resultados mediante variables financieras tradicionales.Este trabalho tem como objetivo analisar a associação entre informação assimétrica, medida pelo estimador Corwin-Schultz, e cotizações bursáteis no mercado brasileiro de ações. Foram analisados dados diários de 64 empresas, durante um perídodo de 10 anos, pela técnica de cointegração para dados em painel de Johansen-Fisher, para avaliar a validade de uma medida de informação assimétrica em períodos inferiores aos de estudos anteriores. Os resultados indicam que a informação assimétrica antecipa o preço das ações em um período de até 2 dias, de maneira teoricamente consistente. Pesquisas futuras deveriam controlar os resultados mediante variáveis financeiras tradicionais

Corwin-Schultz bid-ask spread estimator in the Brazilian stock market

This paper tests the validity of the Corwin-Schultz bid-ask spread estimator in the Brazilian stock market. The Corwin-Schultz estimator arises as an easy way to compute asymmetric information throughout daily high and low stock prices for estimating overnight and non-negative adjusted spreads. The sample consisted of Ibovespa firms from 1986 to 2014 and was analysed with time series econometrics. The findings show that the measures of spread have stationarity properties, allowing for forecasting in a period of lagged variables, besides having the property of time-varying cointegration with market-to-book ratio, debt on equity, size and return and also presenting sensibility to different periods, industries and listing segments. Thus, the Corwin-Schultz bid-ask spread estimator seems to be a valid and reliable measure for forecasting aggregate-data variables through the weighted average of firm-level variables

Corporate Governance and Capital Structure: Stock, Bonds and Substitution

Purpose: To study the Brazilian bond and stock markets for testing the stock market development theory of Demirgüc-Kunt & Maksimovic (1996). Originality/Gap/Relevance/Implications: This paper tests the substitution hypothesis of stock market development, from debt to stocks, in a context of improved corporate governance, by analysing the data with cointegration techniques. The findings show that the substitution hypothesis is rejected, as the bond market has a positive and significant association with stock market improvements. The findings also show that improving the quality of corporate governance could lead own and borrower capital sources to be complementary and not substitutes, suggesting that Brazilian stock market reform has created a virtuous development cycle. Key methodological aspects: Positivist research using quantitative methodology. Data from a sample of 171 firms during 20 years´ analysed with cointegration. The null was a negative association between bond and stock markets. Summary of key results: Null rejection, non-consistent to theoretical framework. The results have shown a positive and significant association between stock and debt in an improved corporate governance context. Key considerations/conclusions: Improving the quality of corporate governance could lead own and borrower capital sources to be complementary and not substitutes, suggesting that Brazilian stock market reform has created a virtuous development cycle

Asset Pricing and Asymmetric Information

This study applies Johansen-Fisher panel cointegration to a sample of the most liquid shares on the Brazilian stock market for 20 years. It finds that stock prices are determined by the asymmetric information of a lagged period, and the dilution of information corrects stock prices in the current period. This shows that rational expectations theory can offer a new price measure in the rational valuation formula, and its main assumptions are met. Uninformed traders can benefit from this paper´s findings by monitoring asymmetric information

SARS-CoV-2 susceptibility and COVID-19 disease severity are associated with genetic variants affecting gene expression in a variety of tissues

Variability in SARS-CoV-2 susceptibility and COVID-19 disease severity between individuals is partly due to genetic factors. Here, we identify 4 genomic loci with suggestive associations for SARS-CoV-2 susceptibility and 19 for COVID-19 disease severity. Four of these 23 loci likely have an ethnicity-specific component. Genome-wide association study (GWAS) signals in 11 loci colocalize with expression quantitative trait loci (eQTLs) associated with the expression of 20 genes in 62 tissues/cell types (range: 1:43 tissues/gene), including lung, brain, heart, muscle, and skin as well as the digestive system and immune system. We perform genetic fine mapping to compute 99% credible SNP sets, which identify 10 GWAS loci that have eight or fewer SNPs in the credible set, including three loci with one single likely causal SNP. Our study suggests that the diverse symptoms and disease severity of COVID-19 observed between individuals is associated with variants across the genome, affecting gene expression levels in a wide variety of tissue types

A first update on mapping the human genetic architecture of COVID-19

peer reviewe

Publicidade e informação assimétrica

This research demonstrates that it is possible for investors to anticipate the effects of advertising campaigns. It examined the long-term relationship between advertising and asymmetric information based on the theories of value creation through advertising and market microstructure. We assume that asymmetric information and advertising have a positive and significant relationship. Data from corporations listed on a developing stock market for 57 quarters were analyzed. Advertising was defined as the relationship between selling expenses, and asymmetric information according to the Corwin-Schultz S_2 measure. The results were controlled for traditional determinants of finance. A long-term relationship was observed between advertising and asymmetric information, thus confirming the theoretical framework. The implications are related to the anticipation of short- and long-term effects resulting from advertising through asymmetric information and cointegration to study the phenomena of the marketing-finance interface; restrictions are related to the coverage of the sample.Esta investigación demuestra que es posible para los inversores anticipar los efectos de las campañas publicitarias; además, examina la relación a largo plazo entre la publicidad y la información asimétrica basada en las teorías de creación de valor a través de la publicidad y la microestructura del mercado. Se supone una relación positiva y significativa entre la información asimétrica y la publicidad y se analizan los datos de empresas que cotizan en un mercado de valores en desarrollo durante 57 trimestres. La publicidad se define como la relación entre los gastos de venta y la información asimétrica de acuerdo con la medida Corwin-Schultz S_2. Los resultados de los determinantes tradicionales de las finanzas fueron controlados; se observa una relación a largo plazo entre la publicidad y la información asimétrica, la cual confirma el marco teórico. Las implicaciones están relacionadas con la anticipación de los efectos de la publicidad a corto y largo plazo a través de información asimétrica y cointegración para estudiar los fenómenos de la interfaz marketing-financiación; las restricciones están relacionadas con la cobertura de la muestra.Esta pesquisa mostra que é possível para os investidores antecipar os efeitos das campanhas publicitárias; além disso, examina a relação de longo prazo entre publicidade e informação assimétrica com base nas teorias de criação de valor por meio da publicidade e da microestrutura do mercado. Supõe-se uma relação positiva e significativa entre informação assimétrica e publicidade, se analisamse dados de empresas listadas em um mercado de ações em desenvolvimento por 57 trimestres. A publicidade define-se como a relação entre despesas de vendas e informação assimétrica de acordo com a medida Corwin-Schultz S_2. Os resultados dos determinantes tradicionais das finanças foram controlados; observa-se uma relação de longo prazo entre publicidade e informação assimétrica, o que confirma o referencial teórico. As implicações estão relacionadas com a antecipação dos efeitos da publicidade a curto e longo prazo através da informação assimétrica e da cointegração para estudar os fenómenos da interface marketing-financiamento; as restrições estão relacionadas à cobertura da amostra