Bruno Milani

PRÁTICAS DE SUSTENTABILIDADE, GOVERNANÇA CORPORATIVA E RESPONSABILIDADE SOCIAL AFETAM O RISCO E O RETORNO DOS INVESTIMENTOS?

This article aims to verify whether the investments in companies with better practices of Corporate Social Responsibility, Corporate Governance and Sustainability presents performance differences in relation to investments in companies that represent the market. To this end, we analyzed the series of daily returns of Ibovespa, IGC, IGCT, ISE and ITAG through GARCH model and mean differences tests. The results show that the conditional volatility of the differentiated practices indexes is significantly smaller than the Ibovespa volatility, although the correlation between the returns is very high. Besides that, the Sharpe Index (1966) of the better practices indexes shows that their return per unit of risk is significantly higher than Ibovespa’s. Thus, in general, it is possible to conclude that investments in different practices constitute a less risky and more profitable alternative to the investor.

Emerging Market Return Pricing: An Intertemporal and Interquantile Approach

The objective of this study is to analyze the return pricing dynamics in six Latin American countries based on the ICAPM model of (Merton, 1973; Bekaert & Harvey, 1995). We analyze Argentina, Brazil, Chile, Colombia, Mexico and Peru market return and a world market proxy return as a measure of systematic risk. However, instead of traditional covariance, we used the Dynamic Conditional Correlation (DCC) model of Engle (2002) to measure the volatility correlation between each Latin market and the world market. We based the DCC model on marginal volatilities estimated by the GJR-GARCH model (Glosten et al., 1993), using a copula function. The copula-DCC-GARCH model was proposed with a financial application by (Jondeau & Rockinger, 2006). The univariate volatility and an autoregressive vector were also included as independent variables in the model, which coefficients were estimated by quantile regression. The results reveal a breakthrough because the model can capture relationships that were previously masked by the coefficients steadiness and by the lack of consideration over the differences in extreme quantiles pricing. In the lower quantile, negative risk premium was found, reflecting the leverage effect. Furthermore, we found that the quantile correlation coefficients between each market return proxy and the world return proxy were not significant, i.e, only the market own risk is priced, what indicates that Latin markets may present a good diversification opportunity. DOI: http://dx.doi.org/10.5755/j01.ee.25.4.5205

Brazilian REITs performance: an analysis of higher moments and time scales influence

Real Estate investments have been used to provide diversification without increasing portfolio risk, although direct real estate investment has several disadvantages, such as low liquidity and high transaction costs, and Real Estate Investment Trusts (REITs) are an alternative investment aim to overcome these difficulties. This paper analyzes the REITs performance, comparing it to Ibovespa (proxy of market) and Ifix (Brazilian REITs proxy). For a better analysis we used the wavelet method, that allows to compare the results of different scales of time. Analyzing the wavelet transform, the REITs have significant coefficients when compared to the market, index Ibovespa, but considering the relationship between the REITs and the real estate funds, Ifix, influence happens in the long run. Market volatility has a negative effect in REITs returns in the long run, probably because a REITs investor tries to avoid risk. That’s because maybe in the long run, REITs investors can change their investments to direct Real Estate if those are presenting better returns, what would reduce REITs demand and consequently, their price. It was noted that REITs returns are influenced by Real Estate companies returns in different scales, indicating that Brazilian REITs returns depend on market volatility. In a general way, this study showed that the relationships between REITs returns, Real Estate Companies returns and Market returns depend on the time scale analyzed, but they tend to be stronger at large scales. Differently of what was found by Milani and Ceretta (2014), Brazilian REITs returns can be better explained by Real Estate Sector Companies returns than by market returns, in the long run. Also, higher moments influence their returns and should be part of a model that tries to explain REITs returns.

Influência da liquidez sobre a rentabilidade: análise das empresas listadas no INDX no período de 2005 a 2013

O presente artigo teve o objetivo de verificar se o retorno das empresas industriais e afetado pela variacao da liquidez. Com dados das empresas listadas no Indice Setorial de Empresas Industriais (INDX), indices de liquidez foram analisados como variaveis independentes e os indicadores ROE, ROA e ROI, como variaveis dependentes. Os resultados empiricos encontrados indicam que a analise da relacao rentabilidade-liquidez e sensivel apenas em partes, pois os indicadores dependentes ROA e ROE nao demonstraram sofrer influencia alguma dos indicadores de Liquidez. No entanto para a variavel ROI foi verificada relacao negativa com indicadores de liquidez, evidenciando relacao negativa entre os mesmos, demonstrando reducao da rentabilidade com o aumento da liquidez, conforme esperado pela teoria.

Comparison between Brazilian Exchange-Traded Funds and Mutual Funds Performance: A Multiscale Approach

The relationship between returns and risk factors are likely to vary depending on the investor’s time horizon, but CAPM supposes homogenous expectations. A relatively new approach known as wavelet analysis may help to reduce that problem, incorporating different time scales. Taking advantage of that, this paper aims to verify the differences in performance of Brazilian ETFs and mutual funds, according to benchmark, management style and time scale. We have wavelet decomposed share returns of Brazilian ETFs, the returns of the five main Brazilian mutual funds categories and the returns of the Brazilian Market proxy into 7 time scales. Then, we estimate an extended-CAPM for each time scale. We found that there are considerable performance/pricing differences between fund/ETFs categories, which are linked to the time horizon assumed.

Fundos De Investimento Tradicionais e ETFs Ligados a Índices De Sustentabilidade, Responsabilidade Social E Governança Corporativa Apresentam Performance Superior? (Does Traditional Mutual Funds and ETFs Linked to Sustainability, Social Responsibility and Corporate Governance Indexes Present Superior Performance?)

Portuguese Abstract: O objetivo deste artigo e comparar a performance de fundos de investimentos tradicionais e de ETfs (Exchange Traded Funds) cujo benchmark sao o Ibovespa e indices de Sustentabilidade, utilizando dados de frequencia diaria que abrangem o periodo de 20 de junho de 2012 a 31 de outubro de 2013. Foram realizadas analises atraves do Capital Asset Pricing Model (CAPM) e do Indice de Sharpe (1966). Para obter um indice de ETFs atrelado a sustentabilidade, analisou-se a nomenclatura e o prospecto de cada ETF, para verificar exatamente quais eram ligados a este setor. Em seguida, foi calculada a media de retorno destes fundos, ponderada pelo seu Patrimonio Liquido, gerando uma serie de mesmo periodo e frequencia dos demais. Os resultados apontam os fundos Livres apresentam melhor performance, seguidos dos Fundos tradicionais e ETFs ligados a indices de sustentabilidade. Assim, concluiu-se que estes fundos constituem uma opcao de investimento com boa relacao risco-retorno.English Abstract: The purpose of this paper is to compare the performance of traditional investment funds and ETFs (Exchange Traded Funds) which use the Bovespa Index and Sustainability indices as benchmarks, using daily frequency data, covering the period from June 20, 2012 through October 31th , 2013. The analysis was performed using the Capital Asset Pricing Model (CAPM) and the Sharpe Ratio (1966). In order to obtain an index of ETFs linked to sustainability, we analyzed the nomenclature and prospectus of each fund, to verify exactly which were linked to this sector. Then, the average return of those funds was calculated, weighted by their net asset value, generating a series of the same period and frequency of the others. The results indicate the Free Funds have better performance, followed by traditional funds and ETFs linked to indexes of sustainability. Thus, it was concluded that these funds are an investment option with good risk-return ratio.