Antonio Zoratto Sanvicente

Valor patrimonial: usos, abusos e conteúdo informacional

This paper discusses the use of book value per share in investment analysis in the Brazilian equities markets. The concept of book value per share is first discussed on the basis of the generally accepted notion of value in the modem theory of Finance, that is, present value of future cash flows, and we refer to some of its uses in the Brazilian contexto We then move on to test the significance of the information content of book value per share, by measuring the magnitude of market price reactions to news of changes in book value per share. The results reported in this paper indica te a lack of significance in the information content of book value per share, an evidence of rational behavior by market participants. We perceived some antecipation by the market to the news of financiai statement submission to the Sao Paulo Stock Exchange.

CAPTAÇÃO DE RECURSOS POR FUNDOS DE INVESTIMENTO E MERCADO DE AÇÕES

The paper discusses the contemporaneous and lagged association between aggregate mutual fund flows and stock market performance in Brazil. The goals of the paper are (1) to ascertain whether aggregate stock fund flows are determined by the behavior of stock market, currency exchange marketand interest rates, on a daily basis, and (2) to verify whether the behavior aggregate fund flows can be used to predict future stock market price behavior. With the aid of tools of time-series analysis, the results obtained herein indicate that the answer to the first question is affirmative, but that the answer to the second question is negative, a result supportive of the belief that the Brazilian stock market is semistrong efficient regarding information on fund flows.

Bid-Ask Spreads in a Stock Exchange Without Market Specialists

ABSTRACT There is evidence in U.S. markets that bid-ask spreads are negatively correlated with transaction activity and positively correlated with stock prices. Spreads tend to reflect illiquidity and information asymmetry costs. This paper investigates the nature of bid-ask spreads on the São Paulo Stock Exchange (BOVESPA), Brazil, where brokers trade directly, without the presence of dealers. We compare the BOV-ESPA, where participants trade directly, with the results for other markets in which there are market specialists and market makers, and find the same relationship between spreads, stock prices and liquidity measures. We conclude that bid-ask spreads reflect information asymmetries even in Brazil. RESUMEN. En los mercados norteamericanos existen pruebas que las diferencias entre el precio de compra y el precio de renta (bid-ask spreads) se correlacionan negativamente con la actividad desempeñada durante las transacciones, y positivamente con los precios de las accio-nes. El diferencial tiende a reflejar la falta de liquidez y los costos asimétricos de la información. Este estudio investiga la naturaleza de la diferencia entre el precio de compra y el precio de renta (bid-ask spreads) en la Bolsa de Valores de São Paulo (BOVESPA), Brasil, donde los corredores negocian directamente, sin la presencia de operadores bursátiles. Hemos comparado el sistema BOVESPA, donde los participantes negocian directamente, con los resultados obtenidos en otros mercados que utilizan especialistas y formadores de mercado, y encuentran la misma relación entre los spreads, precio de los valores y las medidas de liquidez. Consecuentemente, llegamos a la conclusión que aún en Brasil, los bid-ask spreads reflejan asimetrías en la información. RESUMO. Existem indícios nos mercados norte-americanos de que as diferenças entre o preço da oferta e o preço da procura (ou seja, os spreads) estão negativamente correlacionadas com a atividade de transações e positivamente correlacionadas com os preços das ações. Os spreads tendem a refletir os custos da iliquidez e da assimetria das informações. Este artigo investiga a natureza desses spreads na Bolsa de Valores de São Paulo (BOVESPA), onde os corretores transacionam diretamente, sem a presença dos dealers. Comparamos a BOVESPA, cujos participantes transacionam diretamente, com os resultados de outros mercados nos quais existem especialistas no mercado e operadores intermediário, e encontramos a mesma relação entre spreads, preços das ações e medidas da liquidez. Concluímos que os spreads refletem assimetrias de informações mesmo no Brasil.

O custo de imperfeições do mercado brasileiro de capitais: uma aplicação da moderna teoria de finanças

Using information on companies with shares traded on the Sao Paulo Stock Exchange, relative to the end of the 1988 fiscal year, the relationship between the Modigliani-Miller capital structure analysis, the capitalasset pricing model, and the Black-Scholes option pricing model, involving an equation for the firms weighted cost of capital, is used for (1) estimating the cost of financiaI distress implied by the firms choice of capitalstructure and (2) evaluating the impact of the absence of longer-term financing opportunities in the Brazilian capital market. The final results indica te that the cost of financial distress results in a one percent monthly additionto the cost of capital, in real terms, whereas the lack of longer-term financing has no significant economic consequences.

Planos de estabilização e instabilidade nos mercados acionários

The role of stock market indices is explained with a description of the major stock exchange indices found in various countries, as uiell as with a discussion of index computation methodologies. The series (January 1968 to February 1991) of real changes in the Sao Paulo Stock Exchange lndex is described, tested for normality, and examined for changes in the morerecent period, marked by economic stabilization plans. The results herein reported show that the market has become more unstable, and that the process of risk reduction through portfolio diversification has been adverselyaffected, with the adoption of the so-called stabilization plans: existing risks have increased and new types of risk appear to have been introduced.