José Roberto Securato

Comparative Study of CAPM, Fama and French Model and Reward Beta Approach in the Brazilian Market

This article tests and compares three alternative models for the prediction of the expected returns in the Brazilian stock market: 1) the Sharpe-Litner-Mossin version of the CAPM; 2) the Fama and French Three-Factor model; 3) and the Reward Beta Model, presented by Bornholt (2007). The two-step test methodology for general balance models was used as empirical procedure: the first step consists of determining the models parameters based on time series regressions, and in the second step the estimated parameters are used as explanatory variables in cross section regressions. The tests were conducted on portfolios, in accordance with the Fama and Frenchs (1993) and Bornholts (2007) methodology, and applied in two sub-samples of stocks with available data in the Sao Paulo Stock Exchange (BOVESPA): the ex-ante sample comprises the period from July 1995 to June 2001 and the ex-post sample the period from July 2001 to June 2006. As well as other evidences found in the Brazilian market, the results tend to support the Fama and French Three-Factor model to explain future returns, much tough the factor that captures the book-to-market effect has not revealed itself to be significant. Thus, it is indicated for prediction of expected returns in the Brazilian stock market, a Two-Factor model: 1) one that captures the market excess of return; and 2) another one that captures the size effect of the firm.

Uma proposta para a avaliação da empresa em condições de risco com base no modelo de Ohlson

This study proposes a random equity valuation model that allows for the valuation of a company in risk conditions and the definition of methodological criteria for quantifying the variables used in the valuation process. The proposed model studies the effect of randomness on the income-equity binomial and its consequences for company value, using information from the financial statements together with the cost of own capital. To obtain the value of the companies that were chosen, an exploratory study is developed and, due to the random characteristics of the model, the resulting valuation leads to an average value and a standard deviation, defining an interval of values and not one single value, which enriches the valuation process.

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.

Financial Markets Development: Evidence for Brazil, India and China

The article analyses the level of financial markets development in a sample of 42 countries and compare such level with economic, international integration and cultural characteristics of these countries. The results show that greater international integration, lower inflation, greater focus on entrepreneurship and greater press freedom, among others, are characteristics which exist in countries with more developed financial markets. We then analyze the Brazilian, Indian and Chinese characteristics versus the characteristics for the entire sample.

Um procedimento para a decisão de crédito pelos bancos

Analyzing banks credit allowance procedures, we try to establish formally the evaluation of the credit risk taking into consideration existing subjective aspects. In order to establish a distribution of probabilities where the considered events are the possible results from the analysed credit operations at its maturity. The operational risk factors are obtained from this distribution of probability. Further we present a credit concession criteria and the creation of a banking spread, considering the risk incidence.

Influence of cash flow on leverage adjustments: empirical evidence from Brazil

OBJETIVO A pesquisa tem como objetivo verificar a influencia da geracao de caixa (negativa ou positiva) na velocidade com a qual as empresas ajustam a sua estrutura de capital. METODOLOGIA Este estudo baseia-se na metodologia de velocidade de ajuste proposta por Faulkender et al (2012). O modelo de ajuste parcial estabelece que a mudanca observada na estrutura de capital e uma funcao da mudanca desejada. A partir dessa premissa, os autores propoem uma metodologia em que a mudanca desejada seja colocada em funcao do fluxo de caixa gerado pela empresa para avaliar os seus efeitos na velocidade de ajuste da estrutura de capital. Esta, por sua vez, foi aferida a partir do estimador de Minimos Quadrados Ordinarios com Erros Robustos, para dirimir a heteroscedasticidade. A amostra refere-se as empresas brasileiras de capital aberto na BM&F Bovespa no periodo de 2003 a 2013. RESULTADOS E CONCLUSOES Consistentes com Faulkender et al (2012), os resultados evidenciam que as empresas brasileiras ajustam a sua estrutura de capital em direcao ao alvo, e que a geracao de fluxo de caixa tem influencia na velocidade desse ajuste. Mais especificamente, em empresas sub-endividadas o fluxo de caixa aumenta a velocidade de ajuste, independentemente do nivel de geracao de caixa. Nas empresas sobre-endividadas, o fluxo de caixa influencia significativamente a velocidade de ajuste somente quando a sua geracao e alta. IMPLICACOES PRATICAS A literatura recente indica que os custos de transacao impedem que as empresas ajustem a sua estrutura de capital mais rapidamente. No entanto, conforme sugere Faulkender et al (2012), incentivos ao acesso ao mercado de capitais, como a geracao de caixa, desempenham um papel importante na velocidade de ajuste, visto que pode fazer com os ajustes ocorram a custos marginais. Os resultados deste estudo vao ao encontro de Faulkender et al (2012), ao evidenciar que as decisoes de estrutura de capital das empresas brasileiras sao influenciadas nao so pelo custo de transacao, mas tambem pelo incentivo a acessar o mercado de capitais. PALAVRAS-CHAVE Fluxo de caixa, velocidade de ajuste, estrutura de capital INFLUENCE OF CASH FLOW ON LEVERAGE ADJUSTMENTS: EMPIRICAL EVIDENCE FROM BRAZIL OBJECTIVE This paper intend to assess the influence of absolute cash flow realization (negative or positive) on the capital structure adjustments in Brazilian firms. METHODOLOGY This study is based on the methodology proposed by Faulkender et al (2012). The standard partial adjustment model states that the observed leverage change is a function of the desired leverage change. Based on this assumption, the authors developed a methodology that adjusts the desired leverage change in function of cash flow realization in order to assess its effects on leverage adjustments. The speed of adjustment was estimated through the OLS estimator with robust errors in order to decrease the heteroskedastic effect. The sample is comprised by publicly-traded Brazilian firms (BM&F Bovespa) in the period 2003-2013. RESULTS AND CONCLUSIONS Consistent with Faulkender et al (2012), the results evidence the adjustment behavior in Brazilian firms and the influence of cash flow in the speed of adjustment. Cash flow influences positively the speed of adjustment in underleveraged firms, regardless its realization level. However, speed of adjustment in overleveraged firms are significantly influenced by cash flow just when its realization is high. PRACTICAL IMPLICATIONS According to recent corporate finance literature, firms do not adjust their capital structure faster due to transaction costs. However, Faulkender et al (2012) defend that incentives to access capital market play an important role on capital structure decisions. According to the authors, these incentives can be performed by cash flow realization. The results of this paper corroborate Faulkender et al’s (2012) hypothesis by showing that in Brazilian firms not only transaction costs influence financing decisions, but also cash flow realization. KEY-WORDS Cash-flow; speed of adjustment; capital structure

Sobre variáveis psicológicas em modelos de application scoring

The purpose of this study is to investigate the contribution of psychological variables and scales suggested by Economic Psychology in predicting individuals’ default. Therefore, a sample of 555 individuals completed a self-completion questionnaire, which was composed of psychological variables and scales. By adopting the methodology of the logistic regression, the following psychological and behavioral characteristics were found associated with the group of individuals in default: a) negative dimensions related to money (suffering, inequality and conflict); b) high scores on the self-efficacy scale, probably indicating a greater degree of optimism and over-confidence; c) buyers classified as compulsive; d) individuals who consider it necessary to give gifts to children and friends on special dates, even though many people consider this a luxury; e) problems of self-control identified by individuals who drink an average of more than four glasses of alcoholic beverage a day.

Decisões de crédito em situações de risco: uma aplicação prática do método de Monte Carlo

Este estudo busca explicar como se processa a acao cultural de grupos e movimentos sociais em face de politicas publico-estatais. Trata de compreender como sao produzidas mediacoes populares capazes de tornar comuns - comunicar - projetos de agencias governamentais centralizadoras e reverte-los aos movimentos sociais. Com vistas a construir um campo de sentidos favoravel as lutas por terra, teto, conhecimento, emprego e transparencia nas coisas da polis, este trabalho busca revelar e demonstrar um processo de representacao simbolica em que a cultura e a comunicacao se constroem como centralidade a servico de bens publicos de infra-estrutura social. Ainda que precario e provisorio ( como a vida insegura que se oferece a grande maioria da populacao do planeta), o processamento cultural-comunicacional da acao politica constitui minimos consensos politicos e faz ver certa estetica nos discursos e praticas. Essa estetizacao da politica constroi ritos com vistas a alguma perenidade do empreendimento politico. Outra consequencia e que as proprias politicas de cultura e comunicacao podem ser construidas, pela primeira vez a partir do chao da realidade popular. Neste estudo, uma nova gramatica cultural e buscada no trabalho de milhares de pessoas e centenas de instituicoes que se tem empenhado na criacao e no desenvolvimento, junto ao Ministerio das Cidades do Brasil, do chamado Conselho Nacional de Cidades, orgao assessor do governo central que resultou de reunioes, coloquios, estudos e assembleias realizados em todo o Brasil nos anos de 2003 e 2005. O autor deste trabalho foi observador-participante das conferencias, eleito para representar um segmento e apoiar os trabalhos de sistematizacao de propostas.A geracao do valor adicionado e, hoje, um dos objetivos principais no mundo dos negocios, e da sua manutencao dependera a continuacao da empresa no mercado. Com a combinacao otima dos recursos e a percepcao favoravel dos agentes, participando na corrente de valor, sao maiores as possibilidades de se alcancar precos melhores ou reducao da estrutura de custo, que, consequentemente, pode criar vantagens para o competidor na industria. Este estudo analisa duas industrias chilenas importantes, e a maneira como as variaveis distintas, internas e externas, afetam as posicoes do mercado.

Precificação de títulos de dívida corporativa e seus componentes pelo modelo binomial

Este trabajo utiliza el modelo binomial para valorar los precios de los titulos de deuda corporativos y sus componentes. En este trabajo se utiliza el modelo binomial para valorar los precios de los titulos de deuda y sus componentes. El principal objetivo es examinar el modelo adaptado a la realidad brasilena. Los resultados de las pruebas de promedio que comparan el precio del titulo calculado por el modelo y el precio negociado en el mercado confirman el modelo. Los componentes incluidos en los titulos de deuda de la muestra son los siguientes: call, subordinacion y conversion. El componente call reduce, en promedio, el precio del titulo en un 9,50% del valor nominal, mientras la subordinacion lo hace, en promedio, en un 8,72%. Finalmente, la conversion, encontrada en solamente tres titulos de la muestra, aumenta su valor, en promedio, el 4,11%.

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.