William Eid Junior

Estimando o prêmio de mercado brasileiro

Risky investments assume that profits are on average higher than those obtained from risk-free assets; this difference is traditionally called an equity risk premium. Its importance is unequivocal: for investors, when deciding on being exposed to the stock markets risks; for corporation managers, in project selection and even for government agencies when regulating utility company returns and supervising pension funds. However, this applicability requires trustworthy values to be used in the models. This paper analyses estimates obtained by three different approaches covering the period of January of 1996 to December of 2008. In the historical approach, the results vary from 5% to 7% for the IBrX and FGV-100 indexes; in the prospective approach (which reflects the expected premium) the result was 3.35%; finally, in the indirect approach (by market models), negative equity premiums were found, an unexpected but significant result.Abstract Risky investments assume that profits are on average higher than those obtained from risk-free assets; this difference is traditionally called an equity risk premium. Its importance is unequivocal: for investors, when deciding on being exposed to the stock market’s risks; for corporation managers, in project selection and even for government agencies when regulating utility company returns and supervising pension funds. However, this applicability requires trustworthy values to be used in the models. This paper analyses estimates obtained by three different approaches covering the period of January of 1996 to December of 2008. In the historical approach, the results vary from 5% to 7% for the IBrX and FGV-100 indexes; in the prospective approach (which reflects the expected premium) the result was 3.35%; finally, in the indirect approach (by market models), negative equity premiums were found, an unexpected but significant result. Key words : market premium; risk premium; indexes; dividends; CAPM.

Exchange Traded Funds versus Fundos Indexados no Brasil

Exchange Traded Funds (ETFs) sao o novo fenomeno do mercado financeiro. Em pouco tempo esses fundos negociados em bolsa de valores ja representam mais de 5% de todos os fundos mutuos de investimento no mundo, e 50% dos fundos indexados nos EUA. Apesar do sucesso, os ETFs sao recentes e ainda carecem de pesquisa. Esse estudo se propoe a avaliar o desempenho dos ETFs em comparacao aos fundos mutuos indexados no Brasil, em termos de rentabilidade e aderencia. Por serem ainda mais recentes no Brasil e faltar historico, foram selecionados 3 ETFs para esse estudo: Ishares Bova CI (BOVA11), Ishares Brax CI (BRAX11) e Ishares Smal CI (SMAL11). De uma maneira geral, os ETFs brasileiros apresentaram rentabilidade superior a dos fundos indexados ao mesmo indice, o que esta em linha com as taxas de administracao reduzidas que os gestores de ETFs conseguem praticar, alem do fato dos custos de transacao dos ETFs ficarem por conta do investidor e nao serem incluidos nos precos, nao afetando sua rentabilidade. No que diz respeito a aderencia, os ETFs tiveram os piores resultados. Apenas quando se utilizam precos diarios medios em vez dos de fechamento, considerando que os precos medios sao mais representativos dado que os ETFs permitem negociacoes de compra e venda ao longo do dia, e que os ETFs tiveram melhor aderencia que os fundos indexados.

The Competitive Structure and Strategic Positioning of the Bank Industry in the Face of Major Environmental Disturbances: A Study of Brazilian Banks

This work looks into the dynamics of the competitive structure and strategic positioning of Brazilian banks. Over the eighteen years covered by the study, we saw periods of strategic instability in this industry and differing structures of strategic groups, with regard to not only their number, but also their composition. Our study therefore provides empirical evidence that we will hardly find periods of full strategic stability. These findings denote that, at some moment, there is a change in the strategic positioning of these firms and provides insight with regard to the competitive patterns of an industry over the period.