Alberto Shigueru Matsumoto

Emissões públicas de ações, volatilidade e insider information na Bovespa

O trabalho utiliza um estudo de evento para examinar os retornos de acoes relacionados a emissoes publicas por empresas brasileiras listadas na BOVESPA, realizadas entre 1992 e 2002, buscando determinar como o mercado reagiu antes, durante e depois da data do anuncio da emissao. Apos utilizar a metodologia convencional de mensuracao de retornos anormais por OLS, foram utilizados modelos ARCH e GARCH, que levam em consideracao a heteroscedasticidade condicional da volatilidade dos retornos anormais, em mais de 70% da amostra, apos a constatacao da presenca desses processos nos residuos originais. Os resultados mostram que (1) ha evidencias de insider information antes da data do anuncio, (2) que ocorrem retornos anormais negativos na data do anuncio e (3) que, no periodo de um ano apos as emissoes, as acoes das empresas que captaram recursos via underwriting tiveram retornos negativos apos ajuste ao risco e ao mercado.

Behavioral Finance: A Study of Affect Heuristic and Anchoring in Decision Making of Individual Investors

The objective of this article is to investigate the presence of affect and anchoring biases in the financial decision making of individual investors. Another parallel objective is to verify whether the gender factor (male and female) or financial knowledge interfere with the presence of these biases. Considering the results of an innovative experiment, we found support to the existence of such biases. It was verified that there was no significant difference regarding men and women with respect to being attached, anchored or attached and anchored to their investments. The women in this sample were slightly more anchored. Finally, it was observed that the knowledge factor interfered marginally in affect, in addition to partially attenuating the anchoring bias.

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.

Investment Horizon and Efficient Frontier

This paper verified the impact of the investment horizon in the allocation of an optimized portfolio. To do so, we generated efficient frontiers from a group of diversified global asset classes considering time series of returns of the past 10 years. It was possible to prove that the investment horizon impacts the composition of optimal portfolios for different risk levels. In the analysis of the differences in the allocations of portfolios it was revealed a greater disparity in asset allocations in the intermediate to high levels of risk, thus giving support to the effect of the investment horizon in the definition of an optimal portfolio.

Presentation Format and Individual Financial Decisions

This study aimed to verify if the presentation format influences the individual financial decisions. It was also checked whether men and women differ as to the presentation format responses and if financial literacy diminishes this effect. The methodology was an experiment to measure the consistency of responses in similar investment scenarios applied in a group of 106 individuals. The results show that around 70% of the responses were considered inconsistent. Moreover, women were more biased than men and the financial literacy decreased the effect of the presentation format.

Behavioral Finance: The Aversion to Uncertainty Bias in Individual Financial Decisions

This research verifies the existence of the aversion to uncertainty bias in individual financial decisions. It also evaluates the effects of gender and knowledge in this bias. We considered a sample of 80 undergraduate management students from Universidade Catolica de Brasilia. The results supported the existence of the uncertainty bias amongst individuals facing financial decisions. Contrasting previous studies, men presented greater uncertainty bias than women. The students with higher financial knowledge presented lesser uncertainty bias when compared to the ones with reduced knowledge. This last result supports the classification of the aversion to uncertainty as cognitive and not emotional bias.

Information or Noise, A Study on the Accuracy of Analysts’ Forecasts in Brazil

This paper evaluates the accuracy of financial analysts’ forecasts. These predictions are very important since they are used by investors and administrators during the decision making process. We address the quality of the forecasts by comparing them to the actual numbers, using the root mean squared error (RMSE) as the accuracy measure. The data used in this research is provided by the Central Bank of Brazil in the weekly survey with the market analysts: Focus Report. Our results support the hypothesis that analysts’ forecasts are less accurate the further they are away from the date of release of the actual numbers and there is some level of information in some classes of economic indices forecasts which could be used by investors.

Organizational Climate: A Comparative Study Among Public and Private Entities

The objective of the study is to analyze the dimensions and particularities of the organizational climate in public and private organizations. We applied a survey over employees of two private and two public entities. Our results indicate that the organizational climate in its various dimensions is perceived more positive by the employees of private companies. The leadership dimension was one of the most relevant factors in the study, which made clear the role of the leader in a private organization and his/her strong influence to the organizational climate.

Central Banks Exposure to Market Risk and the 2008 Crisis

Central banks, given their relevance in the international financial market, should be aware of their risk exposure. This study analyzes the evolution of market risk exposure of the central banks of developed and emerging countries in the 2003-2011 period, which includes the 2008 crisis. The methodology adopted was the estimation and analysis of the market risk (Value-at-Risk) associated to the balance sheets exposure of central banks of 14 countries, including emerging and developed markets, highlighting the period of the 2008 crisis and its impacts. The data considered was: total assets, foreign assets and foreign liabilities. Based on the results we found that central banks of emerging countries, when compared to the ones of developed countries, presented a higher exposure to market risk during the period from 2003 to 2011, notably at the time of the 2008 crisis. In the pre-crisis period, the market risk was primarily due to increased exposure to foreign currency; and in times of crisis to greater volatility in the currencies of emerging countries.

Overconfidence in Individual and Group Investment Decisions

This study analyzes group influence on investment decisions in an attempt to determine the correlation between two financial behavior tendencies: overconfidence and herding behavior. An experiment was carried out with 92 students from the Universidade Catolica de Brasilia. The results indicated that acting in a group tended to diminish overconfidence and that women presented more overconfidence than men, even though this effect was not highly significant. It was also verified that the performance of the two genders acting together was more rational than when they acted separately.