Daniel Reed Bergmann

The Influence of E-disclosure on the Ex-Ante Cost of Capital of Listed Companies in Brazil

The aim of this article is to show the existence of a relationship between voluntary disclosure via corporate websites and the ex-ante cost of capital of companies listed on the BM&FBovespa. Ordinary least-squares regression equations produced the following results: (a) on average, the companies listed on the New Market showed a lower cost of capital (≈3.3 percentage points lower); (b) on average, the companies deemed to be the most aggressive showed a higher cost of capital (≈3 percentage points higher than the conservative companies); and (c) the metrics of corporate website disclosure did not appear to be related to cost of capital. JEL Classification: E32, E44, G31, G32

Corporate Disclosure via the Internet and Implied Cost of Capital

The classical literature of finance establishes arguments that emphasize the negative impact of corporate transparency on the level of return required by investors, or the cost of capital of the firm. However, even as the growing sophistication of technologies at the disposal of listed companies, the corporative communication with its stakeholders is still predominantly supported in the technological device that precedes the Internet. Therefore, this chapter discusses the relationship between voluntary disclosure via corporate websites and the implied cost of equity capital of listed companies. Based on data from more than 300 companies, our main results are three. First, on average, the companies listed on the New Market showed a lower cost of capital. Second, the companies deemed to be the most aggressive showed a higher cost of capital (≈3% points higher than the conservative companies. Third, the metrics of corporate website disclosure did not appear to be related to cost of capital.

Portfolio management with tail dependence

ABSTRACT Many publications, that treated with Portfolio Management, were devastating for all asset allocation models in the context of portfolios. The elimination of extreme events (asymmetric or tail dependence) during the portfolio construction process can reduce the skills of asset managers to reduce risk through diversification. The copula theory allows us to calculate an alternative to measure the dependence of extreme events in assets through the index lower tail dependence. We check that the strategies with tail dependence overcame Talmud rule, the Markowitz model and the model of Tu and Zhou by simulating 1,000 portfolios with 3, 5, 10 and 20 randomly selected assets from DJIA for the period 03/1990 until 12/2016. We conclude that models of tail dependence and Markowitz had more performance ex-ante than Talmud and the Tu and Zhou model for portfolios with 3, 5, 10 and 20 assets. Tail dependence models overcome Markowitz, in terms of cumulative return, in over 60% of months considered in the analysis. The results indicate that the Talmud rule should be discarded in a context of constructing portfolios with individual stocks ahead strategies with tail dependence.

Does better corporate governance increase operational performance

This study aims to examine the association between the adoption of corporate governance practices and operational performance in companies listed on the Brazilian Stock Exchange.,The sample comprises the 80 largest companies in market value present in the Brazil Stocks Index in 2014. Principal component and cluster analyses techniques are used to evaluate performance and capital structure, and a regression model is applied to identify the relationship between key variables.,The findings show that the incidence of a high level of corporate governance in Brazil occurs among smaller companies with less desirable operational performance, rather than the biggest (blue chip) companies. Using a regression model with the return on assets as a dependent variable, a dummy variable for “governance”, and the size of the companies as a control variable, the authors find no association with good practices of corporate governance and operational performance for the companies in the sample.,Newer companies are more likely to exhibit a higher level of corporate governance because of the actions of foreign investors who demand the adoption of stronger corporate governance practices. Although there is demand from wealthy local institutional investors, many older traditional firms could still restructure to achieve higher levels of governance, especially in the case of emerging economies with less mature stock exchanges,This study contributes to the recent debates in the literature by identifying evidence for an association between operational performance and corporate governance rather than a causal relationship.

Stability of stock prices in the Brazilian capital market: a study applying neural networks and the Lyapunov exponent

En este trabajo se estudia la estabilidad de los precios de mercado de acciones para dos categorias de empresas: industrial y otros sectores, en el periodo comprendido entre el 2 de enero de 1995 y el 2 de enero de 2008. Es decir, se analiza la estabilidad de los precios de mercado para el periodo anterior a la crisis de 2008, que comenzo con los titulos subprime de Estados Unidos. Se analizan las implicaciones de la estabilidad del proceso de generacion de retorno por paradigmas de racionalidad. La verificacion de la estabilidad se realizo por medio de la aplicacion de exponentes de Lyapunov. Se presentan los resultados sobre la estabilidad de los precios para las dos categorias de empresas: las industrias, formadas por Acesita, Ambev, Aracruz, Braskem, Duratex, Fosfertil, Gerdau, Klabin, Randon, Sadia, Sid Nacional, Souza Cruz, Unipar, Usiminas, y VCP; y las empresas de la categoria otros sectores, formadas por Ampla Energia, Bradesco, Brasil Telecom, Cemig, Eletrobras, Itaubanco, Itausa, JB Duarte, Pronor, Besc, Alfa Financeira e Inepar. Un diagrama de dispersion del logaritmo de los precios de registro sin tendencia frente a los retornos de las dos categorias (o carteras) mostro un patron caotico en los precios de las acciones, lo que indica la presencia de no linealidad. Sin embargo, en el calculo de los exponentes de Lyapunov, se obtuvieron valores negativos. Esto indica que las fluctuaciones de las treinta empresas analizadas resultan de procesos de difusion en lugar de dinamicas no lineales. Se estudia la racionalidad del comportamiento de los precios por medio de la verificacion de los residuos generados a partir de las estimaciones de los modelos ARMA, NAIVE y de redes neuronales feedforward.

The effects of nonsynchronous trading in the Brazilian capital market

Market microstructure analysis is currently one of the most intense areas of study in economics and finance. One of the aspects addressed is the securities trading mechanism, to discover the effects of the idiosyncrasies observed in each market. Based on the model developed by Lo and McKinlay (1990), we show that the nontrading process creates a spurious correlation in the observed rates of return, causing a false idea of predictability. To approximate it to reality, we extend the model to a first-order, two-state Markov chain, deriving the moments of the process under this new hypothesis. We also demonstrate that the beta is biased if corrective measures are not taken, due to nonsynchronous data. Finally, using a high-frequency data sample from the Brazilian market, we empirically analyze the model and obtain the probabilities of trading the securities in equilibrium