Pablo Rogers

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.

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.

Effects of the regulation of the financial and capital market on corporative governance: an empirical study of the revision of Law 6.404/76

Este trabalho tem como objetivo principal o estudo dos efeitos do novo marco regulatorio sobre a governanca corporativa. Assim sendo, o estudo consubstancia-se na apresentacao do principal regulamento do mercado financeiro e de capitais, utilizado como instrumento de politica microeconomica no Brasil, que visa criar o aparato necessario para a minimizacao de conflitos de interesses peculiares a estes mercados, proporcionando maior transparencia e confiabilidade aos mesmos, o que induz o investimento e reduz o custo de financiamento das empresas. Esta politica microeconomica sera avaliada mediante a analise da reforma da Lei 6.404/76, efetivada pela sancao da Lei 10.303/01, tendo como foco as questoes relativas a protecao aos acionistas minoritarios. Como instrumento de coleta de dados, utilizou-se um questionario de pesquisa de campo, cuja avaliacao final e fundamentada pela aplicacao do coeficiente de correlacao de Spearman (rs), que busca estudar se ha uma correlacao de concordância dos respondentes entre algumas questoes aplicadas e os blocos de questoes. De forma geral, a pesquisa comprova alguns padroes de concordância em relacao as questoes levantadas, embora nao se possa precisar ate que ponto os respondentes se manifestam apenas de forma pragmatica ou segundo seus proprios interesses. Nao obstante esta objecao, os resultados mostram que nao ocorreram grandes mudancas no comportamento das empresas apos este novo marco regulatorio, indicando apenas que alteracoes ventiladas durante a discussao e elaboracao do projeto de lei que originou a Lei 10.303/01 teriam grandes repercussoes sobre o mercado. Alem disso, a protecao ao acionista minoritario nao avancou o suficiente para alterar as relacoes de poder entre estes e os controladores das empresas, ressalva feita em relacao ao novo paragrafo 4o do artigo 141 da Lei 10.303/01, que foi considerado uma medida de avanco. Palavras-chave: governanca corporativa, marco regulatorio, politicas microeconomicas, Lei 6.404/76, Lei 10.303/01.