Firm Market Performance and Volatility in a National Real Estate Sector

We present empirical evidence using daily data for stock prices for 17 real estate companies traded in the Sao Paulo, Brazil stock exchange. from August 26, 2006 to March 31, 2010. We use the U.S. house price bubble, financial crisis and risk measures to instrument for momentums and reversals in the domestic real estate sector. We find evidence of conditional premium persistence and conditional volatility persistence in the market. We find that the conditional risk-return relationship in the sector is consistent with the prospect theory of risk attitudes in this period. Certain companies seem to be operating on a perceived potential industry return above the target, while most others are below the target, and the whole sector is below target on average. (C) 2011 Elsevier Inc. All rights reserved.

Unconfined shear strength of compacted unsaturated plastic soils

A central goal in unsaturated soil mechanics research is to create a smooth transition between traditional soil mechanics approaches and an approach that is applicable to unsaturated soils. Undrained shear strength and the liquidity index of reconstituted or remoulded saturated soils are consistently correlated, which has been demonstrated by many studies. In the liquidity index range from 1 (at w(l)) to 0 (at w(p)), the shear strength ranges from approximately 2 kPa to 200 kPa. Similarly, for compacted soil, the shear strength at the plastic limit ranges from 150 kPa to 250 kPa. When compacted at their optimum water content, most soils have a suction that ranges from 20 kPa to 500 kPa; however, in the field, compacted materials are subjected to drying and wetting, which affect their initial suction and as a consequence their shear strength. Unconfined shear tests were performed on five compacted tropical soils and kaolin. Specimens were tested in the as-compacted condition, and also after undergoing drying or wetting. The test results and data from prior literature were examined, taking into account the roles of void ratio, suction, and relative water content. An interpretation of the phenomena that are involved in the development of the undrained shear strength of unsaturated soils in the contexts of soil water retention and Atterberg limits is presented, providing a practical view of the behaviour of compacted soil based on the concept of unsaturated soil. Finally, an empirical correlation is presented that relates the unsaturated state of compacted soils to the unconfined shear strength.

Interannual variation in commercial oyster (Crassostrea gigas) farming in the sea (Florianopolis, Brazil, 27 degrees 44 ' S; 48 degrees 33 ' W) in relation to temperature, chlorophyll a and associated oceanographic conditions

Aquaculture of filter-feeding bivalve mollusks involves the fruitful conversion of marine particulate organic matter into premium protein of high nutritive value. Culture performance of bivalves is largely dependent on hydrological conditions and directly affected by e. g. temperature and chlorophyll levels. Accordingly, these parameters may be related with seasonality but also with oceanographic features combined with climate events. Yields of Pacific cupped oyster (Crassostrea gigas) reared at commercial procedures in suspended structures (long-lines) in a sheltered bay in Southern Brazil (Santa Catarina State, 27S 43'; 48 W 30') were evaluated in relation to local environmental conditions: sea surface temperature, chlorophyll a concentration, and associate effects of cold fronts events and El Nino and La Nina periods. Outputs from four consecutive commercial crop years were analyzed (2005/06, 2006/07, 2007/08, 2008/09) in terms of oyster survival and development time during the following grow-out phases of the culture cycle: seed to juvenile, juvenile to adult, adult to marketable. Since culture management and genetics were standardized significant differences verified among crop performance could be mostly related to environmental effects. Time series of temperature and chlorophyll a (remote sensing data) from crop periods displayed significant seasonal and interannual variation. As expected, performance during initial grow-out stages (seed to juvenile) was critical for final crop yield. Temperature was the main factor affecting survival in these initial stages with a trend of negative correlation, though not statistically significant. On the other hand, oyster development rate was significantly and positively affected by chlorophyll a concentration. Chlorophyll a values could be increased by upwelled cold nutrient-rich South Atlantic Central Water (SACW, related to predominant Northern winds) though further dependent on occurrence of Southern winds (cold fronts) to assist seawater penetration into the sheltered farming area. Lower salinity nutrient-rich northward drifted waters from La Plata River discharge may also result in chlorophyll a rise in the farming area. The El Nino period (July 2006 to February 2007) coincided with lower chlorophyll a levels in the farming site that may be related to both decreased number of cold fronts as well as predominance of Northern winds that retain northward spreading of La Plata River discharge waters. In contrast, the La Nina period (August 2007 to June 2008) corresponded to higher chlorophyll a values in the farming area by both upwelling of SACW and penetration of La Plata River discharge water assisted by increased occurrence of Southern winds and cold fronts. The recognition of the potentially changing climate and effects upon the environment will be an important step in planning future development of bivalve aquaculture.

Impactos Operacionais das Alterações no Contrato Futuro de Milho da BM&F-Bovespa na Mitigação de Risco

O mercado de milho possui importante participação no cenário agropecuário nacional, pela relevância dentro da indústria de carnes. Destacam-se as estratégias de comercialização do grão, em especial as relacionadas à mitigação do risco de preço com o uso de contratos futuros. Objetiva-se identificar e interpretar os efeitos causados pela modificação no contrato futuro do milho negociado na BM&F-Bovespa, que em setembro de 2008 passou de entrega física para liquidação financeira, sobre o desempenho do mercado futuro do grão comercializado. Avaliam-se a liquidez dos contratos, a volatilidade dos preços futuros e físico do milho, bem como a convergência da base. Identificaram-se como possíveis efeitos da alteração contratual o aumento da liquidez do contrato futuro de milho e a redução da volatilidade dos preços, além da melhoria na convergência da base. Os resultados alinham-se com a teoria e evidenciam impacto positivo da implementação da liquidação financeira no contrato futuro de milho.

Are sustainable companies less risky and more profitable?

The purpose of this study was to determine whether there were significant differences in accounting indicators when comparing sustainable enterprises to other similar companies that are not considered as sustainable. The Corporate Sustainability Index of BM (São Paulo Stock, Commodities and Futures Exchange) was the criterion selected to break down the samples into sustainable and non-sustainable enterprises. The accounting indicators were separated into two kinds: risk (dividend payout, percentage growth of assets, financial leverage, current liquidity, asset size, variability of earnings, and accounting beta) and return (ROA, ROE, asset turnover, and net margin). We individually analyzed the companies in the energy sector, followed by those in the banking sector, as well as the entire ISE portfolio as of 2008/2009, including all the sectors. Mann-Whitney tests were performed in order to verify the difference of the means between the groups (ISE and non-ISE). The results, considering the method chosen and the time span covered by the study, indicate that there are no differences between sustainable companies and the others, when they are assessed by the accounting indicators used here.