Antonio Carlos Figueiredo Pinto

Assessment of market efficiency in Argentina, Brazil and Chile: an event study of mergers and acquisitions

This paper presents an investigation into the relationship between the announcement of mergers and acquisitions, the existence of positive abnormal returns for shares of these firms, and market efficiency in Argentina, Brazil and Chile. Statistically significant Standardized Abnormal Returns were present in the event announcement and the following days in Argentina and Chile and on the event day in Brazil, confirming value creation signaling. Furthermore, the significance of abnormal returns in the event window, namely in the 5 days following the event in Argentina and Chile and the absence of such in Brazil suggests a more efficient market exists in Brazil, in keeping with the semi-strong market efficiency hypothesis. The absence of semi-strong efficient market behavior could prove valuable to investors who could use a window of a few days after the event announcement to accumulate abnormal returns, provided the appropriate research into news of possible mergers or acquisitions has been made.

The Air Transport Industry Crisis in Brazil and in the USA and Companies' Additional Value Due to Real Options Analysis

ABSTRACT This research describes the analysis of a Brazilian international airline of a regular passenger air transport company, modeled according to real options analysis. Such analysis is appropriate since the air transport industry, nowadays, in crisis in Brazil and in the USA, is subjected to strong uncertainties such as passenger revenue and airplane fuel prices. Through real options analysis, we show that flexibility due to the options to expand and reduce flight frequencies or even to abandon operations, together with market uncertainties, adds considerable value to an air carriers planes, making it possible to show its creditors a less myopic business viability when compared to traditional valuation methods. RESUMEN. Esta investigación describe el análisis elaborado sobre una empresa brasileña de transporte aéreo internacional de pasajeros, trazada de acuerdo a un análisis de las alternativas reales. Este tipo de análisis se considera apropiado, ya que la industria de transporte aéreo, que actualmente sufre una crisis tanto en Brasil como en los Estados Unidos, está sujeta a fuertes incertidumbres tales como los ingresos obtenidos con el transporte de pasajeros y los precios del combustible aéreo. Gracias al uso del análisis de las alternativas reales, demostramos que la flexibilidad resultante de las alternativas de expansión y reducción de las frecuencias de los vuelos o hasta el abandono de ciertas operaciones, conjuntamente con otras incertidumbres del mercado, agregan un valor considerable a las aeronaves de la aerolínea, permitiendo que muestre a sus acreedores una factibilidades menos restringida en comparación a la obtenida con los métodos de evaluación tradicionales. RESUMO. Esta pesquisa descreve a análise de uma rota aérea internacional de uma companhia brasileira de transporte aéreo regular de passageiros, modelada a partir da análise de opções reais. Tal análise se mostra apropriada uma vez que o setor de transporte aéreo, atualmente em crise no Brasil e nos EUA, está sujeito a consideráveis incertezas, tais como receita de passageiros e preços do combustível de avião. Através da análise de opções reais, mostramos que a flexibilidade proporcionada pelas opções de expandir ou reduzir freqüências de vôo ou até mesmo abandonar operações, somada às incertezas do mercado, adicionam valor considerável a uma companhia aérea de carreira, possibilitando mostrar a seus credores uma viabilidade de negócio menos míope quando comparada àquelas geradas por métodos tradicionais de avaliação.

Volatilidade e Previsão de Retorno com Modelos de Alta Frequência e GARCH: Evidências para o Mercado Brasileiro

Based on studies developed over recent years about the use of high-frequency data for estimating volatility, this article implements the Heterogeneous Autoregressive (HAR) model developed by Andersen, Bollerslev, and Diebold (2007) and Corsi (2009), and the Component (2-Comp)model developed by Maheu and McCurdy (2007) and compare them with the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) family models in order to estimate volatility and returns. During the period analyzed, the models using intraday data obtained better returns forecasts of the assets assessed, both in and out-of-sample, thus confirming these models possess important information for a variety of economic agents.

Criação de Valor em Fusões e Aquisições Brasileiras

O presente trabalho tem como objetivo analisar se as operacoes de fusoes e aquisicoes brasileiras promoveram, efetivamente, maior eficiencia para a empresa resultante e maiores beneficios para seus acionistas. Para isso, e realizada uma analise quantitativa dos indicadores de criacao de valor e operacionais de empresas brasileiras nao financeiras de capital aberto que participaram de operacoes de fusao ou aquisicao entre janeiro de 2005 e dezembro de 2010. A contribuicao deste estudo consiste em aumentar a compreensao de um tema controverso e relevante tanto para a area academica quanto para meio empresarial, alem de auxiliar na identificacao, atraves de evidencias empiricas, de alguns dos fatores condicionantes de resultados na adocao desta estrategia empresarial no Brasil.

Electricity Distributor Load Forecasting with ARMA Models

The present work attempts to evaluate the advantages inherent to the use of exogenous variables highly correlated to the electric load, for the forecast of future demand. Here we utilize time series models of the auto-regressive moving average types incorporating seasonal treatment and exogenous variables. The details relevant to good modeling are presented and various different models are adjusted, including different combinations of load against the exogenous regressors IBC-Br and temperature. Considerations regarding non-stationary data such as different data generating processes (DGP) using trend or difference integration alternatives are investigated. In the end we demonstrate that predictions made using ARMA type models do not benefit from further sophistication in the form of exogenous variables due to the error inherent to the method itself, when applied to long term forecasts.

The Breakdown of Idiosyncratic Volatility Into Expected and Unexpected Components and Its Effects on Stock Returns in Brazil

ABSTRACT Based on studies of idiosyncratic volatility developed in the recent literature, this study analyzes its relation with expected returns through the breakdown of idiosyncratic volatility in the Brazilian stock market and presents evidence of the importance of expected idiosyncratic volatility for asset pricing. We study the impact of the expected and unexpected components of idiosyncratic volatility on the returns of shares listed on the BOVESPA between 2004 and 2011. The results show a strong positive and significant relation between expected idiosyncratic volatility and returns. This evidence is highlighted when we use unexpected idiosyncratic volatility to control for unexpected returns. Additional robustness tests, controlling for size and momentum effects, also have positive and significant coefficients, corroborating previous findings.

O Impacto da Concentração Bancária na Alavancagem das Empresas na América Latina

O IMPACTO DA CONCENTRACAO BANCARIA NA ALAVANCAGEM DAS EMPRESAS NA AMERICA LATINA. OBJETIVO O objetivo deste trabalho e investigar o impacto da concentracao bancaria na alavancagem de empresas na America Latina (Brasil, Chile, Colombia, Mexico e Uruguai), fazendo referencia as teorias Market Power e Relationship-based. METODOLOGIA A metodologia consiste na aplicacao do Metodo dos Momentos Generalizados (GMM) de dois passos, controlando variaveis das empresas e macroeconomicas. RESULTADOS E CONCLUSOES Os resultados mostram relacao negativa significativa entre o grau de concentracao e o nivel de alavanca- gem das empresas da amostra (565 empresas, no periodo de 2010 a 2014). Das variaveis de controle das empresas, a tangibilidade se mostrou significante a 1%, enquanto nas variaveis macroeconomicas a infla- cao foi significante negativa a 5%, ratificando que em periodos de estresse inflacionario, as empresas tendem a enfrentar ofertas de credito mais caros, recorrendo assim a recursos proprios. IMPLICACOES PRATICAS Os bancos tem papel fundamental enquanto provedores de recursos para as empresas. Entender o im- pacto das mudancas na estrutura do setor na relacao com as empresas e de extrema importância, espe- cialmente para os orgaos reguladores. PALAVRAS-CHAVE Concentracao bancaria, indice Herfindahl-Hirschman, alavancagem, America Latina, Metodo dos Momen- tos Generalizados.

Análise de cenários na experiência do BNDES: integrando a gestão do risco operacional com a mensuração do capital

Internal operational risk models have not yet been established as a methodology for calculating regulatory capital. ese models, which must be integrated with operational risk management, have been criticized for the subjectivity of some of their fundamental elements. e purpose of this paper is to demonstrate the use of the “scenario analysis” element in the Loss Distribution Approach (LDA) methodology for calculating regulatory capital relative to operational risk, based on the experience of the Brazilian Development Bank (BNDES) in integrating operational risk management with the measurement of capital. e proposed methodology, which applied the Delphi technique through questionnaires, enabled: (i) the measurement of regulatory capital considering feasible scenarios; (ii) the identi cation of tail and body scenarios for the aggregate distribution of losses, which are not re ected in the internal loss database; (iii) the identi cation and comprehensive measurement of BNDES’s operational risks; (iv) the obtainment of information that can guide risk management with regard to identifying risks that must be given prioritized treatment; (v) the development of a risk culture, with a view to involving specialists from di erent units; and (vi) the use of a methodology that can be understood by all business experts, who are the ones that are aware of the risks of their activities.

Fazer Parte do Índice de Sustentabilidade Empresarial (ISE) Implica em Maior Rentabilidade

OBJETIVO Este artigo tem o objetivo de constatar possiveis relacoes entre os movimentos de entrada ou saida de empresas do Indice de Sustentabilidade Empresarial (ISE) com alteracoes em seus niveis de rentabilidade. METODOLOGIA Foi adotado um modelo adaptado do Capital Asset Pricing Model (CAPM). A amostra compreendeu 12 empresas que entraram ou sairam do indice ao longo do periodo de 2010 a 2014. RESULTADOS E CONCLUSOES Os resultados obtidos nao permitiram associar movimentos de entrada ou saida de empresas do ISE com aumentos ou quedas nos seus retornos a excecao de uma empresa. Sendo assim, nao foram verificadas evidencias estatisticas de que o ISE e um fato relevante para a elevacao da rentabilidade empresarial. IMPLICACOES PRATICAS Em geral, os investidores nao valorizam mais uma acao apenas pelo fato de ela ser parte do ISE. De maneira oposta, deixar o indice tambem nao levaria, necessariamente, a perda de rentabilidade. PALAVRAS-CHAVE Sustentabilidade, Rentabilidade, CAPM, ISE.   INTEGRATE THE CORPORATE SUSTAINABILITY INDEX (ISE IN PORTUGUESE) IMPLIES GREATER PROFITABILITY? OBJECTIVE This article aims to find possible relationships between input and output movements of companies in the Corporate Sustainability Index (ISE in portuguese) with changes in their profitability levels. METHODOLOGY There was adopted an adapted model of the Capital Asset Pricing Model (CAPM). The sample included 12 companies that entered or left the index over the 2010 to 2014 period. RESULTS AND CONCLUSIONS The results did not allow to associate input or output movements of ISE with increases or decreases in the returns except for one company. Thus, no statistical evidence was verified that the ISE is a relevant fact to the rise in corporate profitability. PRACTICAL IMPLICATIONS In general, investors do not value more one action only by the fact that it is part of the ISE. Conversely, leaving the index does not take necessarily to loss of profitability. KEYWORDS Sustainability, Profitability, CAPM, ISE.

Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case

ABSTRACT This article examines the relationship between the monetary policy implemented by the Central Bank of Brazil and the stock market. We implement event study analysis and analyze the effect of the anticipated and unanticipated components of monetary policy decisions on the returns of the IBOVESPA index and 53 stocks. We find that monetary policy has a significant effect on the stock market, but is only responsible for a small proportion of market variation. The analysis at the sector level with expected returns identifies that the financial sector is the most affected by this policy, whereas with excess returns only industrial goods are significantly affected. Moreover, individual assets respond in a rather heterogeneous fashion to monetary policy; however, when we look at excess returns, we identify a reduction in the intensity and in the number of companies impacted by monetary policy. Finally, the monetary shock is explained by unanticipated variations in the unemployment rate, in the Industrial Production Index, in the General Market Price Index, and in the Broad Consumer Price Index.