Joe Akira Yoshino

BRIC and the U.S. Financial Crisis: An Empirical Investigation of Stocks and Bonds Markets

We examine empirical evidence of the behavior of stocks and bonds from BRIC nations using daily data from January 2003 to July 2010. We present unconditional and conditional emprical results depending upon a simple measure of U.S. financial stress. In the long term, BRIC bonds markets deviate much more from the U.S. financial measure than BRIC bonds and stocks deviate among themselves. Stocks and bonds returns correlations for Brazil and Russia are significantly large and negative. The own correlations are more important in determining the evloution of the conditional correlations relative to unexpected news. Dynamic conditional correlations between stock returns, bond returns and U.S. financial stress increase after the Lehman Brothers event in September 2008, except for bond returns in India.

Risk Factors and Value at Risk in Publicly Traded Companies of the Nonrenewable Energy Sector

We analyze a sample of 64 oil and gas companies of the nonrenewable energy sector from 24 countries using daily observations on return on stock from July 15, 2003 to August 14, 2012.

Firm value, the Sarbanes-Oxley Act and cross-listing in the U.S., Germany and Hong Kong destinations

This paper presents empirical evidence on the effects of the Sarbanes-Oxley Act of 2002 on the value of firms and on the cross-listing choice of firms destined to three major markets in North America, Asia and Europe. We use dynamic panel data methods and treatment effects methods and find that Sarbanes-Oxley has had a negative impact on the value of firms worldwide. Our evidence indicates that Sox may have segmented markets, with many lower valued firms destined to Hong Kong, thus crowding out the market where regulation is more stringent.

Fator de desconto estocástico no mercado acionário brasileiro

This article implements the minimum variance frontier for the stochastic discount factor, according to both Hansen and Jagannathan (1991) and Cochrane and Hansen (1992), for the Brazilian stock market. Two approaches are considered in terms of equity returns and equity premium, respectively, the Equity Premium Puzzle and the Low Interest Rate Puzzle. Furthermore, we apply also the econometric test of Burnside (1994) in these approaches. The criteria based on equity return results in an invalid discount factor. On the other hand, the approach using the equity premium, according to Cochrane and Hansen (1992), does not reject the discount factor. Thus, we do not corroborate these two puzzles for the Brazilian equity market. In fact, the equity premium puzzle has to satisfy both criterias above. Thus, in these sense this puzzle does not happen in the Brazilian stock market.

Firm value, investment and monetary policy

This paper presents empirical evidence supporting the view that US monetary conditions matter for firms in the global capital market in a recent period of great moderation. We show the effects of three risk measures, domestic bank interest rates spread, US bank interest rates spread, and US market price of interest rate risk on the value of firms and on the cross-listing decision of firms destined to three major markets in North America, Asia and Europe. The systematic risk comes from US monetary policy, while the local and US bank interest rates spreads contain their respective financial intermediation risk premiums. We use firm-level data in 29 countries of cross-listing origin over a six year period, from 2000 to 2005. We find consistent and robust evidence that the US federal funds rate signal-to-noise ratio risk measure or market price of interest rate risk in the Sharpe sense provides an important benchmark for firm value across the universe of publicly traded companies.

Energy Sector Companies of the BRICS: Systematic and Specific Financial Risks and Value at Risk

We analyze a sample of oil and gas companies of the nonrenewable energy sector from the emerging countries consisting of Brazil, Russia, India, China, and South Africa from 2003 to 2012. Our panel model estimations show significant risk prices for common factors including the US Dow Jones market excess return, the price of oil, and the exchange rates of the Euro, Brazilian real, and South African rand vis-a-vis the US dollar. The per company average estimates of the one-day horizon 5% value at risk range from 2.1% to 4.6%. The dynamic conditional correlations (DCC) between returns and the market premium show that under exposure some companies emerge as clear hedges against the market risk with significant negative DCC from the crisis period onwards.

House Price Indexes and Cyclical Behavior

We use data on new apartment offerings in the municipality of Sao Paulo, Brazil to illustrate our main claim that the hedonic direct method using time dummies as well as the simple average method include cyclical behavior of observables and non observables in a house price index that may overestimate or underestimate the actual change in house prices, well beyond the composition effects. We propose the use of alternative characteristics hedonic functions to compute alternative Laspeyres house price indexes that differentiate the sources of observable shocks in the index. Our decomposition allows for the inclusion of level and cyclical behavior of sets of aggregate variables into the index.

Worldwide Commodities Sector Market-to-Book and Return on Equity Valuation

We analyze panel data for the worldwide commodities sector using a sample of 6,323 firms from 69 countries with annual observations from 1999 to 2010. The effect of return on equity on market-to-book is time-varying and declining across the years in the sample. First, there is positive and strong persistence in the market-to-book of companies in this sector worldwide, but value stocks are more persistent thatn growth stocks in this sector. The effect of the return on equity is positive of about 0.9% on market-to-book per unit of return on equity at the 10th percentile of the market-to-book. This effect becomes negative 0.02% for growth stocks at 90th percentiles. For firms with negative profitability, the effect of return on equity on market-to-book is negative for growth stocks. The effect of the S&P500 volatility index Vix is negative, significant and large in magnitude, but declines in absolute value as the quantiles increase towards the upper 90th percentile.

Valuation of the worldwide commodities sector: The role of market-to-book and return on equity

This paper aims to empirically investigate the market-to-book/return on equity valuation model.,The authors use a worldwide commodities sector panel of 6,323 firms from 69 countries with annual observations from 1999 to 2010 to estimate panel ordinary least squares (OLS), instrumental variables (IV) and quantile regressions. They also measure the impact of return on equity on market-to-book uncovering value versus growth and positive versus negative profitability dimensions.,The new evidence is that the impact of return on equity on market-to-book is time-varying and declining across the years in the sample. There is positive and strong persistence in the market-to-book of companies in this sector worldwide, but value stocks are more persistent than growth stocks. The coefficient of return on equity is positive at the 10th percentile of the market-to-book, but it becomes negative for growth stocks at 90th percentiles. Conditional on negative profitability, the coefficient of return on equity on market-to-book is negative for growth stocks. The effect of the S&P500 volatility index (VIX) is negative, significant and large in magnitude, but declines in absolute value, as the quantiles increase toward the upper 90th percentile.,The commodities sector is important for countries that depend on it for development.,The paper provides a rich panel data approach, and the market-to-book/return on equity valuation model is naturally applied to the commodities sector, as this sector tends to have more tangibles relative to intangibles.

Empirical Estimation of the Cost of Equity: An Application to Selected Brazilian Utilities Companies

We provide an extensive set of alternative models for the estimation of the real cost of equity in a sample of utitlites firms in Brazil with monthly data from March 2006 to June 2011.The main results are that the traditional CAPM is regected and, together with the Fama-French factors, give a poor fit, low beta and low predicted real return on equity. Additional factors improve the fit of the modesl and the estimated betas and real cost of equity increase relative to the traditional CAPM and Fama-French. Accounting for conditional heteroskedasticity shows that autocorrelation of variances is more important than news effects. The inclusion of higher order terms shows that the third order term is mostly significant and positive indicating preference for skewness in this sample period. Our estimates of betas and the implied predicted real cost of equity show that, across the best models, betas are significantly below unity in the range 0.26-0.73. The predicted real cost of equity, across the best models, for Brazil in this sector and smaple period averages 11% per year and is in the range of 8.7% to 13.2% per year.