Rosemarie Bröker Bone

Eficiência fraca, efeito dia-da-semana e efeito feriado no mercado acionário brasileiro: uma análise empírica sistemática e robusta

The objetctive of this paper is to present evidence of weak efficiency in the Brazilian stock market. Contrary to other studies in the Brazilian literature on the topic, the statistical procedure always test the validity of the underlying hypotheses of the test statistics employed. Based on a sample of IBOVESPA index stocks for the recent period, the relevance of linear and non-linear autoregressive terms and day-of-the-week and holiday effects to the forecast of stock returns is studied. The results suggest that in most stocks some of the mentioned effects are present, in particular a Tuesday effect.

Petrobras’ Investment Projects in Brazil Under Checkmate: The Ghost Refineries Case

Brazil’s oil production has been growing steadily. In 2005/2006 it was publicly claimed that Brazil had reached its self-sufficiency. Currently, we know that it refers to volumetric self-sufficiency, considering the absolute figures of supply and demand. Broad self-sufficiency also requires the adjustment of Brazilian refineries to oil that is 100% national, and this is where the refining sector comes in. The main goal of this article is to analyze the alleged self-sufficiency regarding petroleum products for Brazil, considering a hypothetic scenario on which all of the investments planned by Petrobras in 2014 for the refining sector are 100% operational. Economic growth projections related to oil production and demand curves, in addition to the technical characteristics of the national refining park, allow us to evaluate the actual status of a wider self-sufficiency. On this hypothetical scenario, self-sufficiency is reached, in volumetric terms, by 2018, through projections made by OPEC and Petrobras. However, the start of operations of four huge investments announced in 2014 (Rnest, Comperj, Premium I and Premium II) is not enough to reach the self-sufficiency in oil derivatives, even in the most conservative scenario, with low economic growth rates. This shortcoming will affect mostly gasoline, which curiously has no part on the investments planned by the company on the coming years. The current outlook, added to the projections, suggests the possibility of the existence of a strong technological downgrade on the oil sector. We conclude with a warning about the urge for new investments on the national refining sector, aiming the production of high value-added products.

Stock Market Firm Value Effects of Research and Development Expenditures in the Oil and Gas Industry

This paper evaluates the market firm value response to research and development (R&D) expenditures in the Oil and Gas Industry (O&G). R&D projects are seen as key to long term firm survival in the Oil and Gas industry. But the uncertainty associated with R&D success may reduce firm value market when a firm expands R&D. Using a panel of O&G firms traded in the New York Stock Exchange, we econometrically estimate the market value effect of R&D. We conclude that R&D expenditures increase firm market value, but with a one year lag, even after controlling for firm differences in book value or earnings and oil and gas reserves.

Ratings soberanos e corporativos: mecanismos, fundamentos e análise crítica

Um rating e uma avaliacao feita por agencias de classificacao sobre a capacidade e determinacao de uma empresa ou governo em honrar os seus compromissos de divida. A partirdos anos 90, o rating tornou-se uma condicao indispensavel para que empresas e paises tenham acesso ao mercado financeiro internacional. O presente trabalho procura esclarecer varios aspectos que cercam o processo de classificacao de paises e empresas, partindo da documentacao das agencias de classificacao Standard & Poor’s e Moody’s , dentro de uma metodologia teorico analitica.Tambem, mostra a relacao existente entre o rating soberano e corporativo e as razoes que levam ao rompimento do teto soberano. As agencias de classificacao emitem os ratings com a certeza de que estao disponibilizando ao mercado das informacoes relevantes e, possivelmente, privilegiadas dos emitentes de divida no que diz respeito a sua capacidade e habilidade de pagar os compromissos financeiros dentro do prazo. Todavia, especialistas e pesquisadores, onde se destaca Partnoy, tem criticado as agencias alegando que os ratings nao sao informativos, pois apenas refletem o risco de mercado e nao possuem capacidade de antever crises e agravam as ja existentes. Apesar das inumeras criticas, as agencias de rating ainda detem forte poder sobre os emitentes de divida, uma vez que a SEC mantem a exigencia de classificacao para a insercao no mercado financeiro americano. Palavras-chave: agencia de rating , rating soberano e corporativo, teto soberano.