Optimal Mirrleesian taxation in non-competitive labor markets

We study optimal labor income taxation in non-competitive labor markets. Firms offer screening contracts to workers who have private information about their productivity. A planner endowed with a Paretian social welfare function tries to induce allocations that maximize its objective. We provide necessary and sufficient conditions for implementation of constrained efficient allocations using tax schedules. All allocations that are implementable by a tax schedule display negative marginal tax rates for almost all workers. Not all allocations that are implementable in a competitive setting are implementable in this noncompetitive environment.

Coffee voluntary standards systems a study of the states of Minas Gerais and São Paulo

In order to adapt to new markets, the coffee supply chain has gone through numerous changes during the last years, which led to the creation of the voluntary standard systems. Adopting a Voluntary Standard System (VSS) consists of becoming a member of a certifier or verifier, in which an independent third party sets specific criteria to ensure a product complies with standards. Yet, the segment is still relatively new and raises some doubts about the economic and financial advantages of investing in sustainability-related certification. This study analyzes the perception of coffee producers about VSS – whether it brings economic benefits. The literature review covers various VSS in the coffee sector, the brief history of the commodity in Brazil, as well as the description of the supply chain. Certified and non-certified producers in the States of Sao Paulo and Minas Gerais, answered questionnaires to indicate the perceived advantages of certification. The results show that, despite some added value that certification can bestow, the quality is what really matter, since it allows producers to sell the product at higher prices and to gain advantage over competitors.

Revamping asset quality to maximize income in office markets

We use a unique dataset of c. 2200 commercial towers located in the city of Sao Paulo from 2005:Q3 to 2014:Q3 to study the relationship between asset quality and potential income in different niches of the office market. Our evidence suggests a rent premium in the market for larger office space (corporate) and that building quality is more relevant in this segment. We hypothesize such difference is due to larger competition and commoditization in the market for smaller office space (office) as income in this segment tends to be insensible to different levels of asset quality when we control for spatial variation. We also find that rent premiums associated with building class are monotonically increasing, but not strictly positive across certain quality thresholds. Thus, landlords and developers should take into consideration the market niche and acceptable target building class levels when designing their investment plans in order to maximize income .

Valuing emerging markets companies : new approaches to determine the effective exposure to country risk

The aim of this paper is to propose new methods to measure the effective exposure to country risk of emerging-market companies. Starting from Damodaran (2003), we propose seven new approaches and a revised CAPM for emerging markets companies. The “Prospective Lambda” represents the effective exposure according to analysts’ estimates of growth. The “Relative Lambda” relies on the firm value estimated through a relative valuation. The “Retrospective Lambda” represents the ex-post effective exposure to country risk. The “Company Effective Risk Premium” is a generalization of the Retrospective Lambda, and expresses the premium effectively requested by investors to invest in that specific company in the past year. “The Actual Lambda” and the “Company Actual Risk Premium” represent, respectively, the actual exposure to country risk of a company and the actual premium requested by investors to invest in that specific company. The “Industry Lambda” reflects the median exposure to country risk of the industry in which the company belongs. We tested our new measures of exposure to country risk on the Latin American emerging markets companies according to the classification of the MSCI Emerging Markets Latin America Index. The results confirm that the new approaches can be effectively applied by financial analysts to stable-growth companies that operate in emerging markets and to mature markets companies that operate in emerging markets, providing with a more reliable estimate of both the premium effectively requested by investors in the past and the actual premium. Applying the new approaches, the cost of equity reflects the effective exposure of a company to country risk without being over- or underestimated, as is the case with other existing approaches.

Learning in peer-to-peer markets: evidence from Airbnb

Peer-to-peer markets are highly uncertain environments due to the constant presence of shocks. As a consequence, sellers have to constantly adjust to these shocks. Dynamic Pricing is hard, especially for non-professional sellers. We study it in an accommodation rental marketplace, Airbnb. With scraped data from its website, we: 1) describe pricing patterns consistent with learning; 2) estimate a demand model and use it to simulate a dynamic pricing model. We simulate it under three scenarios: a) with learning; b) without learning; c) with full information. We have found that information is an important feature concerning rental markets. Furthermore, we have found that learning is important for hosts to improve their profits.

Pricing the cost of an election: the impact of the 2014 elections on stock markets

Qual o efeito de eleições em ativos reais? É possível mensurar diretamente a diferença de preços mesmo que só possamos enxergar um dos resultados potenciais? Essa dissertação estima esses efeitos utilizando metodologia baseada em opções sobre ações. O modelo aqui desenvolvido adaptção tradicional Black-Scholes para incorporar dois novos parâmetros: um salto no preço do ativo perfeitamente antecipado e uma série de probabilidades diárias refletindo as crenças sobre quem venceria a corrida eleitoral. Aplicamos esse método para o caso brasileiro das Eleições Presidenciais de 2014 e a Petrobras - uma importante companhia do setor petrolífero do país -utilizando dados de bolsa do segundo turno das eleições. Os resultados encontrados mostram uma diferença de 65-77% para o valor da companhia, dependendo de quem vencesse nas urnas. Isso é equivalente a aproximadamente 2.5% do PIB de 2014 do país.