Hudson Fernandes Amaral

Um índice de avaliação da qualidade da governança corporativa no Brasil

The purpose of this paper is to build an index to measure the quality of governance of Brazilian companies. ISSN 1519-7077 * Artigo apresentado no XXXIV Encontro EnANPAD, Rio de Janeiro, RJ, 2010. Laise Ferraz Correia, Hudson Fernandes Amaral e Pascal Louvet R. Cont. Fin. – USP, Sao Paulo, v. 22, n. 55, p. 45-63, jan./fev./mar./abr. 2011 46 We also sought to validate this index by confronting it with other indicators that reflect the confidence of investors in companies’ good management of their capital. This index encompasses a set of mechanisms implemented in firms to reduce agency problems, concerning the dimensions: board of directors’ composition, ownership structure, manager’s compensation, protection of minority shareholders, and transparency. It was then validated in a sample of companies listed on Sao Paulo Stock Exchange (Bovespa) between 1997 and 2006. In fact, the index was confronted with indicators of financial investors’ trust in a company regarding good governance of their resources, such as financial performance. The quality of governance index was developed by means of the principal components multivariate technique. Actually, the index was constructed as a weighted average of all components generated in this procedure, where the weights are given by their respective variances. The analysis of our index exhibited an effective accrue in the governance levels of the analyzed Brazilian companies. In terms of external validation, we find a positive and significant relationship between Tobin’s Q and the governance index. Better, we also document an inverse relationship between the governance index and the risk-adjusted stock return, suggesting that investors require a higher rate of return from firms that present worse governance levels. All of these relationships evidence that financial investors’ trust in a company strongly relates to the governance quality expressed by the index. Therefore, the empirical analysis largely validates the proposed governance index. We conclude from the empirical evidence reported in this paper that good governance is of value to the market.

Assimetria de Informações e Pagamento de Dividendos na Bovespa

In this research it is evaluated the effect of the asymmetric information, the agency costs and the property structure in the determination of the dividend payments. The Tobit regression model was used for censured data, giving consistence to the estimates with the payout index truncated at zero. They were considered the statements of 178 open companies quoted at Bovespa, in the period of 2000-2004. It was verified that the probability of dividend payments increases with the growth possibilities, the size, the cash flow, the decrease of the company’s debt and the adhesion of the company to the governance levels. Companies with ADRs at NYSE, or with smaller asymmetric information, pay smaller dividends, what is in line with the signaling hypothesis. It was verified a negative relationship of the dividend payments with the growth opportunities and positive with the cash flow, as foreseen by the pecking order hypothesis. Lastly, after controlling by asymmetric information, the property concentration for the controller (insider) presented a negative relationship with the dividends policy.

Governança corporativa e gestão socialmente responsável em empresas estatais

The globalization, among others events, brought for the productive sector of public domain the necessity of some adjustments and reorganization to be able to continue justifying the performance of the State in the economy. Thus, in the last years it was to consider it that the performance of the state-owned companies must be based in the responsibility with its owners, the governments and the others interested parties, and the corporate governance must be an instrument for the achievement of such objective. In the work, it was understood that the social politics of the state-owned enterprises, when managed well, can be part of an efficient strategy of value generation, in the scope of the theories of stakeholders. Therefore, it was objectified to investigate as the accomplishment of good practical of corporate governance in the state-owned enterprises can contribute so that the social arm of the corporation improves the financial performance instead of if restricting the action of partisan interests. One concluded that such companies must consider the strategies associates to the idea of corporative social responsibility under some restrictions.

Condicionantes do crescimento dos fundos mútuos de renda fixa no Brasil

The aim of this research was to identify the determinants of the development of the fixed income mutual funds in Brazil through the study of net money flows, from February 1995 to September 2004. The data were analyzed by multiple regression analysis of monthly series. Looking for robustness of the results, the classic OLS estimators were compared with restricted M-estimators. The significant determinants were: the excess of return in relation to the savings account rate, the growth of the per capita GDP, the lower interest rates and the less volatility or risk. The introduction of valuation at market prices for fixed income assets, in circumstances of instability in the national and international markets motivated important withdraws in 2002. Furthermore, for investors of exclusive funds were identified indicators of larger sophistication. These results permit to define strategies for managing these institutions.

Testando as previsões da Pecking Order Theory no financiamento das empresas brasileiras: uma nova metodologia

Considering the existence of asymmetric information between managers and investors, Myers (1984) affirms that the configuration of corporate capital structure is based on a hierarchy known as Pecking Order Theory (POT), favoring sequentially the use of internal resources, debt emission and, at last, stocks issues. The POTs empiric verification breaks up into methodological matters; some times being confirmed and other does not. In this article a different methodology is proposed recognizing the characteristics of companies such as size, profitability and growth, to explain the financing of the deficit. The results indicate that only the smaller size companies in the sample, negative profitability, and lower growth present a weak adherence to the POTs forecasts. For this reason this cannot be considered a general theory to explain the corporate capital structure.

Fundos de pensão como formadores de poupança interna: uma alternativa para o financiamento da atividade econômica

The production of domestic savings and the amplification of the productive investment are the conditions to reach and to maintain rates of economical growth compatible with social development. The pension funds, with the available resources to invest, make possible to leverage the development of a nation, as they channel these resources for the countrys productive sector. At this perspective, this study intends to analyze the performance of the investments in variable income of these funds, here considered productive investments, through the Capital Asset Pricing Model (CAPM). This model is predisponent to explain the behavior of the prices of the titles and to supply mechanisms of evaluation of the investment accomplished - in relation to the risk and return of the portfolio. Starting from the proposed methodology, it was verified that the investments in stocks incurred in superior returns than the expected ones, generating, by one hand, a larger aggregated value to the fund, and by the other, an increment of the intern savings of the country, backed by the application of resources in the productive section.

Abertura ao capital estrangeiro e desempenho no setor bancário Brasileiro no período 2001/2005

A soma do estoque de investimentos diretos feitos por instituicoes financeiras no Brasil em 2000 e o fluxo ocorrido entre 2001 e 2006 chega a US

Previsão não-linear de retornos na BOVESPA: volume negociado em um modelo auto-regressivo de transição suave

22,23 bilhoes. Nesse processo, os investidores buscam superar imperfeicoes de mercado mediante conducao interna de transacoes realizadas anteriormente no mercado internacional. Isso permite transformar as vantagens especificas desse mercado em vantagens especificas da firma, que podem ser exploradas de forma mais ampla mediante a internacionalizacao. Do ponto de vista dos paises receptores, a abertura baseou-se na expectativa de se obterem beneficios com o incremento na competicao. Assim, este trabalho procurou identificar se os bancos com controle estrangeiro foram mais eficientes do que os bancos com controle nacional no periodo compreendido entre 2001 e 2005 mediante a aplicacao da Analise de Fronteira Estocastica. Os resultados permitiram concluir que o desempenho dos bancos com controle estrangeiro nao foi sistematicamente superior ao dos bancos com controle nacional, bem como mostraram nao ter havido progresso tecnico na atividade bancaria no Brasil.

Previsão da volatilidade no mercado interbancário de câmbio

In this study, the predictive power of a logistic smooth transition auto regression model (LSTAR) in generating statistically significant returns is evaluated when the transition variable is trading volume and the lagged return itself, for the Sao Paulo Stock Exchanges Ibovespa Index, with the analysis based on daily data between 1996 and 2006. The reason for the inclusion of trading volume is found in some market characteristics and behavioral finance results, which indicate the existence of a negative relationship between trading volume and future returns. The model shows a good adjustment to the data, although it does not have the ability to generate additional profits if the transaction costs are of 0.5% per trade. For lower costs there is some predictive power, though lower than a AR(1) model and an buy and hold strategy. Considering the risk, for transaction costs of 0.035% per trade, the autoregressive model allowed a Sharpe index 20% bigger than the buy and hold strategy.

Fundos de pensão como financiadores da atividade econômica

This paper presents a comparative study of the predictive capacity of the models EWMA, GARCH (1,1) EGARCH (1,1) and TARCH (1,1) when applied to forecast the volatility of the exchange rates in the Brazilian inter-bank market. The sample consists of the daily closing quotations of the exchange rate real/US dollar obtained in the period from August 20, 2001 to September 30, 2003. The results showed that the TARCH (1,1) model, provided the most accurate forecast performance for this period, followed closely by the EGARCH (1,1) model, then the GARCH (1,1) model, and finally the EWMA model. There was also evidence that all the models revealed a tendency to overestimate the future volatility. It was confirmed as well that the Brazilian Exchange Clearinghouse operates in an extremely traditional and subjective way concerning the definition of the exchange rate variation indexes guaranteed under contract and, consequently, in collateral requirements.