Rafael Felipe Schiozer

Depositors’ Perception of “Too-Big-to-Fail”*

The goal of this study is to examine if the perception of a too big to fail policy affects depositor behavior. We exploit a shock to the Brazilian banking system during the international turmoil following Lehman’s demise in September 2008. Anecdotal evidence shows that an extensive amount of deposits flew from smaller banks to the largest banks of Brazil triggered by the bad news from the global banking industry. We investigate if depositor behavior is better explained by banks’ fundamentals or by the perception of an implicit too big to fail policy. Our empirical strategy allows us to disentangle the continuous benefits of size from the discontinuous benefit of being perceived as too big to fail. Our unique database allows us to compare the behavior of uninsured depositors versus the total set of depositors. In addition, information on the type of holder of certificates of deposit allows us to identify differences in behavior of institutional investors, individual investors and non financial firms. Taken together, our results are consistent with the idea that depositors ran from smaller banks to the largest banks because they believed the largest banks were too big to fail. We also find that banks that had relatively more certificates of deposits held by institutional investors suffered more deposit outflows throughout the crisis. The evidence suggests that banks perceived as too big to fail have an important competitive advantage during a liquidity crisis because of the inflow of deposits they receive.

Bank Dividends and Signaling to Information-Sensitive Depositors

This study investigates whether banks use dividends to signal asset quality and liquidity to their debtholders. We exploit an exogenous shock to the asset opaqueness and perception of risks of Brazilian banks caused by the global financial turmoil of 2008. Our empirical identification takes advantage of the cross-sectional heterogeneity of types of depositors in Brazilian banks and the existence of several owner-managed banks (for which shareholder-targeted signaling is implausible) to identify that information-sensitive depositors (institutional investors) are targets of dividend signaling by banks. These costly signaling efforts are particularly strong during financial crises when asset opaqueness, informational asymmetry and depositors’ concerns regarding bank liquidity are exacerbated. From a policy perspective, our results favor the imposition of limits on bank dividends during financial crises, because the banks’ need to signal their financial health through dividends during crises intensifies the pro-cyclical effects of bank capital on lending.

Uso de derivativos em empresas não-financeiras listadas em bolsa no Brasil

Neste artigo sao apresentados os resultados de uma pesquisa sobre o uso de derivativos realizada em 74 das principais empresas brasileiras nao-financeiras de capital aberto. A proporcao de empresas que usam derivativos no Brasil nao e significativamente diferente da que foi observada em paises como Estados Unidos, Reino Unido, Hong Kong, Cingapura e Suecia, mas e menor do que a observada na Alemanha. A exemplo do que foi verificado nos Estados Unidos e na Alemanha, as evidencias sugerem que os gestores de empresas nao-financeiras brasileiras usam derivativos principalmente com o proposito de gerenciar risco, e nao com fins especulativos. Foram verificados efeitos de economia de escala no uso de derivativos, e o uso de derivativos por classes de risco no Brasil segue os padroes internacionais, ou seja, a classe de exposicao mais comumente gerenciada com derivativos e a cambial, seguida pelo risco de taxas de juros, de commodities e outros. Apesar da alta volatilidade dos mercados brasileiros, as preocupacoes principais dos gestores de risco brasileiros estao mais ligadas as questoes do arcabouco legal e institucional do que aos aspectos economico-financeiros, diferentemente do encontrado em outros paises.

Atuação de bancos estrangeiros no Brasil: mercados de crédito e derivativos de 2005 a 2011

Este estudo insere-se no debate a respeito das consequencias da presenca de bancos estrangeiros em paises em desenvolvimento. Especificamente, e investigada a atuacao do conjunto de bancos de controle estrangeiro no Brasil de 2005 a 2011, com foco em sua participacao nos mercados de credito e de derivativos cambiais. Verificaram-se ainda os impactos da crise financeira internacional de 2008/2009 sobre o comportamento desses bancos. A motivacao para essa analise esta nos papeis que o credito e a gestao de riscos financeiros desempenham no desenvolvimento economico. O credito e um canal fundamental de atuacao pelo qual os bancos estrangeiros podem afetar o crescimento da economia domestica. Os derivativos cambiais fazem parte de importante conjunto de tecnologias para gestao de risco das empresas e investidores que sao mais comumente oferecidos pelos bancos estrangeiros e ajudam a explicar os efeitos beneficos da presenca desses tipos de banco em economias emergentes. No periodo amostral, os bancos estrangeiros respondem por pouco mais de um quarto das concessoes de credito livre. Embora os testes realizados nao permitam concluir relacoes de causa e efeito entre variaveis, observa-se que a crise financeira afetou negativamente os bancos estrangeiros, de forma mais intensa e longa do que os bancos privados nacionais. Essa observacao pode ser indicativa de uma transmissao do choque de liquidez ocorrido nos mercados desenvolvidos para a economia brasileira. Entretanto, no periodo pos-crise, a partir do terceiro trimestre de 2010 ate o final de 2011, a taxa de crescimento das concessoes dos estrangeiros foi superior as dos demais. No mercado de derivativos cambiais, os bancos estrangeiros, inclusive os de menor porte, tem papel importante no fornecimento desses instrumentos, especialmente para o setor nao financeiro. Os resultados mostram que, durante a crise, e, especialmente, no periodo pos-crise, os bancos privados nacionais diminuiram sua atuacao nesses mercados. Adicionalmente, mostra-se que esse mercado e menos concentrado que o de credito, o que evidencia a importância da existencia de instituicoes financeiras de menor porte.

Informed Depositors and Bank Dividends

This study investigates whether the composition of bank debt affects payout policy. We identify that information-sensitive depositors (institutional investors) are targets of dividend signaling by banks. We use a unique database of Brazilian banks, for which we are able to identify several types of debtholders, namely institutional investors, nonfinancial firms and individuals, which are potential targets of dividend signaling. We also exploit the features of the Brazilian banking system, such as the existence of several closely held banks, owned and managed by a small group of people, for which shareholder-targeted signaling is implausible, and find that banks that rely more on institutional depositors for funding pay larger dividends, controlling for other features. During the financial crisis, this behavior was even more pronounced. This relationship reinforces the role of dividends as a costly and credible signal on the quality of bank assets. We also find that payout is negatively related to the banks’ cost of funding (interest rates paid on certificates of deposits), that dividends have a positive relationship with size and past profitability and that closely held banks pay more dividends than publicly traded banks, which is also in line with the signaling purpose of dividends. Finally, we find a negative relationship between dividends and the capital adequacy ratio, which indicates that regulatory pressure may induce banks to pay less dividends, and that that payout is negatively related to the growth of the loan portfolio, consistent with the idea of banks retaining earnings to increase equity and consequently their lending capacity.

Financial health and customer satisfaction in private health care providers in Brazil

This paper analyzes the relationship between the financial health and organizational form of private health care providers in Brazil. It also examines the major determinants of customer satisfaction associated with the providers organizational form. An adjusted Altmans z-score is used as an indicator of financial health. A proxy variable based on customer complaints filed at the Brazilian National Agency for Supplementary Health is used as an indicator for customer satisfaction. The study uses a sample of 270 private health care providers and their operations over the period 2003-2005. Panel data analysis includes control variables related to market, operations, and management. Principal results indicate that: (1) private health care providers benefit from economies of scale; (2) self-funded health plans have better financial health; (3) spending on marketing does not have a significant impact on customer satisfaction in Brazil; (4) weak empirical evidence exists showing that good financial performance enhances customers satisfaction.

The Pitfalls of Capital Budgeting When Costs Correlate to Oil Price

This paper investigates the economic relationship that exists between oil price and operating costs in the E&P industry and its implications for the capital budgeting and decision-making processes. We present empirical evidence that there is a positive correlation between price and operating costs, and that overlooking this relationship has severe implications for the valuation of investment projects, both using a traditional Net Present Value (NPV) methodology or a Real Option approach. In the traditional NPV method, overlooking a price-cost correlation results in undervalued projects, and under Real Option Analysis, projects tend to be overvalued if such correlation is ignored.

Derivatives Usage and Risk Management by Non Financial Firms: A Comparison between Brazilian and International Evidence

This paper presents evidence on derivatives usage by Brazilian non-financial firms, using a sample of 74 companies. The proportion of firms using derivatives in Brazil is comparable to that of other countries already researched. There are economies of scale for derivatives usage, and managers use derivatives for risk management purposes rather than speculation. Derivatives usage across risk classes in Brazil follows patterns observed internationally: companies use derivatives primarily to manage foreign exchange risk, followed by interest rates and commodities exposures. The main concerns of Brazilian managers are linked to taxation and accounting issues rather than to financial and economic aspects.

GARANTIAS GOVERNAMENTAIS E COMPETITIVIDADE NO SETOR FINANCEIRO

A maioria dos sistemas financeiros conta com algum tipo de garantia a passivos bancarios. Esses mecanismos foram criados com o objetivo de diminuir a incidencia de corridas bancarias e garantir a poupanca de pequenos investidores. Garantias governamentais (ou quase governamentais) dadas a passivos bancarios podem assumir varias formas. A mais comum e o que se costuma chamar de seguro-deposito: uma garantia aos depositantes, com valor limitado, em caso de falencia do banco. Essa garantia pode ser oferecida por meio de uma seguradora oficial, como a Federal Deposits Insurance Corporation (FDIC), nos EUA, ou por uma entidade privada, que funcione num mecanismo de cosseguro entre os participantes, como o Fundo Garantidor de Credito (FGC) no Brasil

Loan sales and capital constraint: a study on Brazilian banks

This study investigates the relation between capital restriction and credit assignment operations carried out by Brazilian banks. The analysis period, between June 2004 and June 2009 when credit assignments increased almost by 20 times, in face of a 162% growth in credit volume includes the 2008/2009 financial crisis, an exogenous shock to Brazilian financial system during which financial institutions faced difficulties due to the reduction in fund raising by means of free and inter-bank deposits. This also allows observing whether capital restriction effects on credit assignment are higher during financial crises. The results indicate that an increase in capital restriction – both equity and debt’ – is related to the expansion of credit assignment operations of Brazilian banks. KEY-WORDS | Loan sales, co-obligation, credit, capital constraint, bank liquidity. RESUMEN Este estudio investiga la relación entre restricción de capital y las operaciones de cesión de crédito realizadas por los bancos brasileños. El periodo de análisis, comprendido entre junio de 2004 y junio de 2009 – periodo donde las cesiones de crédito aumentaron casi 20 veces, frente a un crecimiento de 162% en volumen de crédito – incluye la crisis financiera de 2008/2009, choque exógeno al sistema financiero brasileño, durante el cual las instituciones financieras enfrentaron dificultades causadas por la disminución en la captación por medio de depósitos libres e interbancarios. Esto permite, también, verificar si los efectos de la restricción de capital sobre la cesión se exacerban frente a crisis financieras. Los resultados observados indican que un aumento en la restricción de capital – propio y de terceros – está relacionado a la expansión de las operaciones de cesión de crédito realizadas por los bancos brasileños. PALABRAS CLAVE | Cesión, coobligación, crédito, restricción de capital, liquidez de los bancos. RAE-Revista de Administração de Empresas | FGV-EAESP http://dx.doi.org/10.1590/S0034-759020140506This study investigates the relation between capital restriction and credit assignment operations carried out by Brazilian banks. The analysis period, between June 2004 and June 2009 - when credit assignments increased almost by 20 times, in face of a 162% growth in credit volume - includes the 2008/2009 financial crisis, an exogenous shock to Brazilian financial system during which financial institutions faced difficulties due to the reduction in fund raising by means of free and inter-bank deposits. This also allows observing whether capital restriction effects on credit assignment are higher during financial crises. The results indicate that an increase in capital restriction – own or third parties’ – is related to the expansion of credit assignment operations of Brazilian banks.