Pascal Louvet

The day-of-the-week effect: The international evidence

Abstract We re-examine the day-of-the-week effect for eleven indexes from nine countries during the 1969–1992 period. The standard methodology as well as the moving average methodology are used and we find returns to be lower at the beginning of the week (but not necessarily on Monday) for the full period. As in Chang et al. (International evidence on the robustness of the day-of-the-week effect, Journal of Financial and Quantitative Analysis 28 (1993), 497–514), the anomaly disappears for the most recent period in the USA. However, the effect is still strong for European countries, Hong-Kong and Toronto.

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.