Laise Ferraz Correia

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.

The effect of liquidity on stock returns in the Brazilian stock market

The purpose of this paper is to check whether liquidity plays an important role in asset pricing, i.e., it intends to investigate whether the security prices are also determined by their liquidity. Thus, it examines whether the stock returns are empirically related to the turnover ratio (number of stocks traded as a fraction of the number of stocks outstanding), which was the proxy for liquidity. The statistical test accounted for the effects of beta, size and book-to-market ratio, which are considered as significant in explaining the variation in stock returns. The methodological base consisted of a multiple regression of panel data of the stocks traded at the Bovespa between March 1995 and December 2004, employing the method of seemingly unrelated regressions (SUR). This paper provides evidence of a linear and positive relationship between stock returns and liquidity, measured by the turnover, the number of stocks traded (volume) and the number of trades (frequency). Although this result is not in line with the hypothesis of a liquidity premium, which was proposed by Amihud and Mendelson (1986), it is consistent with the study of Jun et al . (2003) in emerging markets, including Brazil. Key words: liquidity, stock returns, CAPM, capital markets.

O entendimento de estratégia por estudantes de administração a partir de simulação de negócios

The business simulation is an interesting tool for active experimental learning used in business courses in order to bring together theory and practice, comprising the knowledge of strategy. In this case study, we analyze this capability into a constructivist perspective, distinguishing our work from others that focus on the effectiveness of these business games. Once established the coherence between the study’s purpose and its epistemological approach of learning, taken as a mental effort that is at the same time social and personal, this paper attempted to reveal which concepts of strategy the students internalize after a business game course. We carried out a content analysis of the texts written by the students in their final exam. The results, while showing the possibilities of agency problems in the course, led the research team to conclude that students set partial dimensions of strategy, conceived as: mutual construction, management of errors, course of action, intention, path dependence and learned lessons, which were put together as a possible collective discourse built from individual fragments.

O efeito do risco de informação assimétrica sobre o retorno de ações negociadas na BM&FBOVESPA

This study sought to analyze information asymmetry in the Brazilian stock market and its relation with the returns required from portfolios through the metrics volume-synchronized probability of informed trading. To do this, the study used actual data from the transactions of 142 stocks on the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA), within the period from May 1, 2014, to May 31, 2016. The results point out a high flow toxicity level in the orders of these stocks. In segment analyses of the stock market listing, data suggest there is no clue that stocks from the theoretically more overt segments have a lower toxicity level of order flows. The justification for this finding lies on the negative correlation observed between the market value of stocks and the toxicity level of orders. To test the effect of asymmetric information risk on stock returns, a factor related to the toxicity level of orders was added to the three-, four-, and five-factor models. Through the GRS test, we observed that the combination of factors that optimize the explanation of returns of the portfolios created was the one taking advantage of the factors market, size, profitability, investment, and information risk. To test the robustness of these results, the Average F-test was used in data simulated by the bootstrap method, and similar estimates were obtained. It was observed that the factor related to the book-to-market index becomes redundant in the national scenario for the models tested. Also, it was found that the factor related to information risk works as a complement to the factor size and that its inclusion leads to an improved performance of the models, indicating a possible explanatory power of information risk on portfolio returns. Therefore, data suggest that information risk is priced in the Brazilian stock market.

DINÂMICA DA ASSIMILAÇÃO DE MÉTODOS ANALÍTICOS PELA CIÊNCIA NO BRASIL

The research effort requires financial resources, which are, partly, public. Enhancing the efficiency in the use of public resources could provide some compensation to Society for this kind of investment. For this reason, it is relevant to understand the specific dynamics of academia. This paper aims to contribute to the understanding of the knowledge diffusion process in the Brazilian Scientific field. To carry out the research, we applied bibliometric and sociometric analysis to address the evolution of the data envelopment analysis (DEA) technique, largely applied in the public sector. It consists of an objective, quantitative and, longitudinal study, with descriptive and explanatory purposes. Our main result is the relevance of the master’s and doctoral programs for DEAs diffusion. Finding this result was possible due to the methodological path adopted, different from other researches.