Otávio Ribeiro de Medeiros

Testes empíricos sobre o comportamento assimétrico dos custos nas empresas brasileiras

Este estudo testa e confirma a hipotese de que os custos das empresas brasileiras apresentam elasticidade assimetrica em relacao a variacoes nas receitas, ou seja, que os custos aumentam com maior intensidade quando a receita aumenta do que no sentido oposto, conforme evidencias empiricas recentes com empresas norte-americanas. Ao contrario da evidencia, no entanto, essa assimetria nao parece diminuir quando se consideram periodos maiores do que um exercicio. A confirmacao de uma possivel reversao parcial da assimetria quando se consideram periodos defasados, observada em pesquisas anteriores, e confirmada no estudo. A metodologia utilizada envolve diferentes tipos de regressao em panel data. O artigo pretende contribuir para o melhor conhecimento do comportamento dos custos das empresas brasileiras em relacao a variacoes no seu nivel de atividade, tema relevante para a sua administracao, para os contadores e para os analistas financeiros externos. Utilizando uma amostra de 198 empresas num periodo de 17 anos, constatou-se que os modelos de custos assimetricos propostos por Anderson, Banker e Janakiraman (2003) sao, parcialmente, aplicaveis ao Brasil.

The Empirical Relationship between Stock Returns, Return Volatility and Trading Volume in the Brazilian Stock Market

We investigate the empirical relationship between stock returns, return volatility and trading volume in the Brazilian stock market (Bovespa). Our sample contains stock return and trading volume data from a theoretical portfolio including stocks participating in the Bovespa Index (Ibovespa) extending from 01/03/2000 through 12/29/2005. The empirical methods used include cross-correlation analysis, unit-root tests, bivariate simultaneous equations regression analysis, GARCH and VAR models, and Granger causality tests. We find support for a contemporaneous as well as a dynamic relationship between stock returns and trading volume, implying that forecasts of one of these variables can be only slightly improved by knowledge of the other. Besides, our results indicate that contemporaneous and dynamic relationships between return volatility and trading volume also exist. Additionally, by applying Granger’s causality test, we find that return volatility contains information about upcoming trading volume and vice versa.

Does the Liquidity Effect Exist in the Brazilian Stock Market

The purpose of this article is to analyze whether the liquidity effect exists in the Brazilian stock market. In addition to analyzing the liquidity effect, this article evaluated the capacity of CAPM and the Fama-French three-factor model (1993) in explaining it. For such purpose, the companies with shares traded in Bovespa were analyzed, in the period from 1995 to 2008. According to the results obtained, it can be concluded that there is a liquidity premium in the Brazilian market, regardless of the proxy used. The monthly premium varied from 0.83% to 2.19%, not adjusted for risk, and from 1.77% to 2.78%, adjusted for risk pursuant to CAPM, and from 1.24% to 3.04%, adjusted for risk according to the three-factor model, respectively. It was also observed that the liquidity premium was not restricted to the month of January, and that there were no substantial modifications when different periods were used in the analysis. In view of such evidence, the hypothesis of this article, that there is a liquidity premium in the Brazilian market, cannot be rejected. Moreover, it was observed that both CAPM and the three-factor model fail to explain the liquidity effect. The results obtained in this study can instigate the establishment of corporate policies which alleviate the liquidity costs, i.e., which improve the liquidity of the securities negotiated, reducing, as a result, the capital cost. By doing so, a company can increase its market value, improving the liquidity of its securities and shares, since the lower the capital cost, the greater the value of the company.

Testing Static Tradeoff Against Pecking Order Models of Capital Structure in Brazilian Firms

We test two models with the purpose of finding the best empirical explanation for the capital structure of Brazilian firms. The models tested were developed to represent the Static Tradeoff Theory and the Pecking Order Theory. The sample consists of firms listed in the Sao Paulo (Brazil) stock exchange from 1995 through 2002. By using panel data econometric methods, we aimed at establishing which of the two theories has the best explanatory power for Brazilian firms. The analysis of the outcomes led to the conclusion that the pecking order theory provides the best explanation for the capital structure of those firms.

Reação do mercado à alavancagem operacional: um estudo empírico no Brasil

Studies evaluating the impact of financial reporting information on capital market variables have gained great importance in the accounting literature and became a tool for assessing the usefulness of accounting information. The present study follows the l path of earnings-return research, measuring operating leverage as a substitute for net income shown in the financial statements. It is based on data between the second quarter of 2001 and the third quarter of 2004 referring to firms listed on Bovespa (Sao Paulo Stock Exchange) and relating to the following sectors: petroleum and gas, basic materials, industrial goods, construction and transportation, non-cyclical consumption, and cyclical consumption. The hypothesis of the study is that since operating leverage, besides being related to earnings (operating earnings), is one of the factors determining the systematic risk of stocks, and since there is a relationship between risk and stock returns, it is possible to infer a positive relationship between the degree of operating leverage and stock returns. Empirical tests carried out using panel data methods suggest that the operating leverage is statistically relevant in explaining the behavior of stock returns and that this relationship is positive, as predicted by theory. The results also demonstrate that statistical relevance increases when stricter parameters are employed for analyzing the data and that the conclusions are not determined by outlier behavior. Unit root tests on the data series as well as autocorrelation and heteroskedasticity tests on the residuals ensure the robustness of the results obtained.

Order Flow and Exchange Rate Dynamics in Brazil

The paper presents results of empirical tests with hybrid nominal exchange rate models for the Brazilian foreign exchange market, using macroeconomic and market microstructure variables. The basic model was originally proposed and tested in the German (DM/US

Social Disclosure e Custo de Capital Próprio em Companhias Abertas no Brasil

) and the Japanese (Y/US

Testando a Existência de Efeitos Lead-Lag entre os Mercados Acionários Norte-Americano e Brasileiro

) foreign exchange markets by Evans and Lyons (2002). We applied the model to the Brazilian foreign exchange market (R

Emissões públicas de ações, volatilidade e insider information na Bovespa

/US

The Impact of the Degree of Operating Leverage on Stock Returns: An Empirical Study in the Brazilian Market

) and obtained significant and correctly signaled coefficients, but the regressions showed low R2s, suggesting the omission of relevant variable(s). The inclusion of an additional variable representing a country-risk premium results significant and increases R2. Estimation by GARCH further improves previous results obtained by OLS. The upshot indicates that the route proposed by Evans and Lyons is a promising explanation for the R