Fernanda Finotti Cordeiro Perobelli

Governança Corporativa e os determinantes da estrutura de capital: evidências empíricas no Brasil

This study empirically investigates the influence of a firms Corporate Governance practices [CG] over its capital structure. Governance quality is measured by a broad index proposed in previous research and constructed for a sample of Brazilian publicly traded companies. We explicitly model the possible bidirectional causality between the constructs of interest, because, as suggested by the specialized literature, capital structure can influence the adoption of certain CG practices by the firm. The postulated systems of equations also include various potential determinants of both capital structure and GC quality suggested by prior research. The equations were estimated by the TOBIT, Ordinary Least Squares, and Three-Stages Least Squares methods. Our results show a significant positive influence of CG practices over financial leverage, in particular of those practices related to the dimension ownership structure and board of directors, suggesting that CG can be an important determinant of capital structure. The results are not conclusive, on the other hand, regarding the influence of leverage over the full CG index and over two sub-indices derived from it.

Expectativas racionais e eficiência informacional: análise do mercado acionário brasileiro no período 1997-1999

The purpose of this paper is to test the Brazilian capital markets efficiency in face of monetary policy. In the period between the Asian crisis and the exchange flexibilization, the agents made a correct use of the available information and formed expectations about the policymakers behavior, even in the moments of crisis, in order to maintain the political rules adopted previously. The studys approach was based on the discussion about rational expectations and their relationship with efficient markets. The Bolsa de Valores de Sao Paulo index (IBOVESPA) was chosen as a proxy to Brazilian capital markets behavior, because the index variation can be understood as the rate of return in that market. To evaluate the returns behavior, the Wilcoxon ranks test was employed. From this statistical tests results, it was possible to infer that the Brazilian market was efficient in face of the behavior of economic policy by rules.

Pagamento de proventos versus preços deações maduras e em expansão segundo Kohonen Maps

Este estudo investiga se a politica de distribuicao de resultados seria capaz de alterar os precos das acoes de uma empresa. O objetivo deste trabalho e discutir os impactos do pagamento de proventos sobre os precos das acoes, na data ex direito, de empresas maduras e de empresas em expansao, considerando-se ainda o efeito da classe da acao (ordinaria ou preferencial) sobre os resultados. Para tal, adotou-se a metodologia de dados em painel, segmentando a amostra a partir dos Mapas Auto-organizaveis de Kohonen. Os resultados revelam que a estrategia de curto prazo de comprar acoes na ultima data com, vender na primeira data ex e embolsar os dividendos e capaz de gerar perdas de capital que superam em ate quatro vezes o ganho liquido decorrente do provento embolsado.

Avaliando o efeito contágio entre economias durante crises financeiras

This study aims, using the Forbes and Rigobon (2002) and Corsetti, Pericoli and Sbracia (2005) suggested methodologies, to verify the contagion effect among fifteen economies during eight financial crisis. The study conclusion is that the Corsetti, Pericoli and Sbracia (2005) model is more efficient to detect contagion, once it considers the variance of the returns components that are not considered at Forbes and Rigobon (2002) approach. The results are corroborated by robustness tests. The most contagion episode is the 1997 Asian crisis, followed by the terrorist attack of 2001 September 11th, 1999 Brazilian crisis, 2000 Internet bubble and the Subprime crisis. The others episodes do not present any evidence of contagion effect. This fact indicates that the shocks were restricted to the crisis origin country.

Modelo para medição do fluxo de caixa em risco: aplicação a distribuidoras de energia elétrica

Risk management has been taking an important role in the environment of non-financial businesses. However development of a model capable of evaluating risks affecting those companies is still wanting. Considering the gap, the article sets as its objective to develop an empirical cash flow at risk model applied to companies operating in electricity distribution. The model is supposed to supply information on the probability of funds to meet its accounts payable at a given date or the probability of having a negative free cash flow on its payment dates.

Relações entre Liquidez e Retorno nas Dimensões Contábil e de Mercado no Brasil

This article discusses profitability-liquidity relationships on accounting and market levels for 872 shares of publicly-traded Brazilian companies, observed between 1994 and 2013. On the market level, the assumption is that share liquidity is able to reduce some of the risks incurred by investors, making them more willing to pay a higher price for liquid shares, which would lower expected market returns. On the accounting level, the basic hypothesis argues that a firm’s holding more liquid assets is related to a conservative investment policy, possibly reducing accounting returns for shareholders. Under the assumption of financial constraint, however, more accounting liquidity would allow positive net present value investments to be carried out, increasing future accounting returns, which would positively affect market liquidity and share prices in an efficient market, resulting in a lower market risk/expected return premium. Under the assumption of no financial constraint, however, more accounting liquidity would only represent a carry cost, compromising future accounting returns, which would adversely affect market liquidity and share prices and result in a higher market risk/expected return premium. Among the hypotheses, the presence of a negative market liquidity premium was verified in Brazil, with shares that traded more exhibiting a higher expected market return. On the margins of the major theories on the subject, only two negative relationships between excess accounting liquidity and market liquidity and accounting return, supporting the carry cost assumption for financially unconstrained firms, were verified. In terms of this paper’s contributions, there is the analysis, unprecedented in Brazil as far as is known, of the relationship between liquidity and return on market and accounting levels, considering the financial constraint hypothesis to which the firms are subject.

Qual o melhor momento para a abertura de capital

For some private companies, it is not a question of why go public, but rather what is the most appropriate time to conduct an IPO. In this context, this study aimed to verify if IPO decisions taken by eight Brazilian energy companies (CPFL, EDP, Cosan, Brasil Ecodiesel, Sao Martinho, Acucar Guarani, MPX and OGX) during the period 2000-2009 were based on an IPO timing model developed by Draho (2000), following the Real Options approach. As a result, we found that all the companies studied have anticipated their IPO timing related to Drahos model estimates.

Aplicação do CF@R e de cenários de stress no gerenciamento de riscos corporativos

O presente estudo compara dois metodos para estimacao do fluxo de caixa em risco (CF@R), a saber: o modelo autorregressivo integrado com medias moveis (ARIMA) e o metodo de vetores autorregressivos com mecanismo de correcao de erros (VAR/VECM) com variaveis exogenas, ambos aplicados ao contexto do setor eletrico brasileiro. O artigo contribui com a literatura existente pela aplicacao de dois metodos com o objetivo de escolher as melhores estimativas de CF@R, objetivando melhorar o gerenciamento dos riscos corporativos: o backtesting das estimativas de fluxo de caixa em risco e a geracao de cenarios de stress, ambos usando simulacao de Monte Carlo. A ultima tecnica averiguou os impactos de cenarios extremos (obtidos a partir da distribuicao dos fatores de risco), tais como o racionamento de energia, sobre a estimativa futura do fluxo de caixa operacional.

Testando o "Cash-Flow-at-Risk" em empresas têxteis

Despite the relevance for companies in general of measuring the probability that its cash flow on a certain future date might reach values that would make it impossible for the company to honor its commitments, make investments or choose a more reliable capital structure, discussions on methods capable of indicating such probability are in their early days. Considering this scenario, this paper proposes different methods of measuring cash flow-at-risk based on the RiskMetrics Cash-Flow-at-Risk metric. As a practical example, an application to the textile sector is presented and two methods for risk factor identification were analyzed: sector relationships (panel) and individual relationships (time series). Secondly, factor simulations were made by: 1) original factor series (level) and 2) factor forecast error series (error). Plus, as a naive procedure, original cash flow component series are bootstrapped (and no risk factor is identified), in order to verify if a naive procedure would perform better than complex ones. Results show that, for the sample, the best method took risk factors by company (time series approach) and simulated shocks by forecast errors (error approach).