José Roberto Ferreira Savoia

The Aftermarket Performance of Initial Public Offerings: The Brazilian Experience

ABSTRACT This article analyzes the behavior of share prices in the first aftermarket year at the moment the company goes public for the first time, specifically in the case of Brazil. First, we present evidence drawn from the international capital markets and how returns may be characterized. Next, we analyze current Brazilian capital markets and returns on shares for 30 companies that went public in the country between January 2004 and July 2006. We found that Brazilian initial public offerings averaged large positive returns both in the short-term and for a one-year period. RESUMEN. Este trabajo busca evidenciar cómo el precio de las acciones en IPOs tiende a comportarse en el mercado secundario durante el primero año de negociaciones, específicamente en el caso brasileño. En primer lugar, se presentan las evidencias en el mercado internacional de capitales y mostramos que tipo de retornos se suele obtener. Luego, se lleva a cabo un análisis del mercado de capitales brasileño y de la rentabilidad en 30 IPOs, ocurridos entre enero de 2004 y julio de 2006 en el país. Se nota que el desempeño de IPOs en Brasil tiene fuertes tendencias positivas, tanto para el corto plazo como para un año. RESUMEO. Este estudo analisa o comportamento dos preços de ações no primeiro ano após a abertura de capital de uma empresa, especificamente no caso do Brasil. Primeiramente, apresentamos dados do mercado de capitais internacionais e como os retornos tendem a ser. Depois disto, analisamos o mercado de capitais brasileiro e os retornos das ações de 30 empresas que abriram o capital no país entre janeiro de 2004 e julho de 2006. Constatamos que os lançamentos de ações (IPOs) brasileiros proporcionaram, em média, retornos positivos grandes a curto prazo e também por um período de um ano.

Grupos estratégicos bancários: uma abordagem transversal multivariada para o problema da segmentação dos bancos no Brasil

This paper presents a segmentation model based on banks financial statements for the Brazilian market focusing on its strategies, competitiveness and industry inherit barriers of mobility as determinants of assets and liabilities allocations among banks in December, 2004. The methodology framework comprises: cluster analysis, discriminant analysis, and multidimensional scaling. Cluster Analysis procedures are carried out in order to bring about five major groups. This solution is tested by discriminant analysis and meets practical significance criteria. Multidimensional scaling provides additional validation, graphical interface and a strategic distance measure. The results suggest the five-group solution is adequate. Three of them, retail, credit and treasury banks provide complete banking intermediation. Thus, the last two, interbanking and transition/onlending operate as intermediates. It is suggested that such kind of intermediation is a poor strategy for the long run.

Mensuração dos custos econômicos do setor de distribuição de gás canalizado do estado de São Paulo com o emprego do EVA ®: o caso da Comgás

This paper measures total and average economic costs of gas distribution between 2004 and 2008 year through an exploratory approach, which involves the use of Economic Value Added - EVA® framework in the Comgas case. The results reveal it is in diseconomy of scale moment, and provide relevant insights in order to encourage investments assessment and if cost of capital is properly during the next regulatory period.

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.

Análise de Agrupamento dos Países da OECD baseado nos indicadores previdenciários

Cada pais tem seu proprio sistema de pensao cuja estrutura depende de fatores economicos politicos e culturais de cada nacao. Nesta realidade e de interesse conhecer quais paises tem sistemas similares para troca de experiencias e entendimento das situacoes de cada nacao e seu sistema, desta forma, o intuito deste trabalho e analisar os trinta e quatro paises membros da OECD, baseando-se nas informacoes previdenciarias realizando inicialmente uma analise fatorial para identificar os grupos de variaveis que diferenciam os paises e, em sequencia, uma analise de cluster e agrupa-los de acordo com suas caracteristicas.

Uma estimativa do custo de subordinação da dívida financeira estabelecida pela atual lei de falência

This paper studies the debt cost effect caused by the payment order when liquidating its liabilities in case of corporate bankruptcy established by the current Bankruptcy Legislation. The new Bankruptcy Legislation under discussion at the Brazilian Congress, Law project 4.376, defines the liability ranking order in case of Bankruptcy in article 86. The current Brazilian bankruptcy regulation defines that employee, social security and fiscal liabilities must be settled before other liabilities such as asset backed debt securities, suppliers and loans. Therefore, there is a subordination of financial liabilities - loans and financing contracted with banks and investors compared to those liabilities with liquidation priority. This research estimates the cost of subordination of financial liabilities. First, we applied the binomial model to estimate the present value of corporate liabilities and its components such as call option, put option and subordination and, finally, we estimated an average of 0.30% p.a. of subordination cost of financial liabilities in relation to liabilities with settlement priority.