O uso de derivativos e gerenciamento de riscos em empresas brasileiras não-financeiras

Este artigo apresenta os resultados de uma pesquisa sobre uso de derivativos junto a 50 empresas não-financeiras brasileiras. A proporção de empresas que usam derivativos no Brasil não é significativamente diferente da de outros países que foram objeto de pesquisa, com exceção dos EUA. A exemplo do que foi verificado internacionalmente, as evidências sugerem que os gestores de empresas não-financeiras brasileiras usam derivativos principalmente com o propósito de gerenciar risco, e não com fins especulativos. O uso de derivativos por classes de risco no Brasil segue os padrões internacionais, ou seja, o tipo de exposição mais comumente gerenciada com derivativos é a cambial, seguido pelo risco de taxas de juros, de commodities e de patrimônio. Apesar da alta volatilidade dos mercados brasileiros, as preocupações principais dos gestores de risco brasileiros parecem estar mais ligadas às questões do arcabouço legal e institucional do que aos aspectos econômico-financeiros diferentemente do encontrado em outros países.

Responsabilidade social das empresas e valores humanos: um estudo sobre a atitude dos gestores brasileiros

In the last decades of the 21st century, Corporate Social Responsibility (CSR) has become one of the most widely debated issues in business management, concerning researchers, politicians, managers and society at large. With multilateral implications in economic and social life, CSR refers, essentially, to the discussion about the boundaries of business intervention in society and the ethical limits that should regulate that intervention. It questions the impact of business practices in social well-being, the role left for corporations and for the State in attending to community needs, and which are, at last, the responsibilities that tie enterprises to society. In this research, CSR is approached from the perspective of its ethical foundations, based on the moral reasoning of the business manager, as a key organizational leader with relevant decision power. Specifically, the research aims to understand how the personal human value system and the ethical orientation of managers influence their attitude towards CSR, considering this attitude as an indicator of managerial behavior that translates into corporate performance. Theoretically, CSR concept is discussed and presented as a set of social commitments, based on a strict interpretation of its meaning. As to human values, its philosophical roots are briefly analyzed and Schwartz modern motivational theory is addressed as main reference for studying the personal value system of managers in this research. Concerning ethics, based on classical theory from moral philosophy, references are seek in John Stuart Mill¿s utilitarianism, Immanuel Kant¿s deontological absolutism, John Rawls¿s theory of justice and the ethics of virtue inspired by Aristotle¿s moral thoughts. Based on an extended literature review, research hypothesis are proposed as part of a theoretical model of analysis named Individual Attitude Towards Social Responsibility Model. In order to test the theory¿s empirical validity, it was conducted a field study with 252 Brazilian managers, mainly from the metropolitan areas of São Paulo and Rio de Janeiro. Results show that managerial attitude aligned with CSR principles is favored by conservative personal values, protectors of stability and centered on collective will, and by an ethical orientation based on egalitarianism as postulated by distributive justice principles. However, results also show that the influence of values and personal ethics on managerial attitude towards CSR only occur in managers younger than 30 years old. Findings and their meanings are discussed, as well as summarized in the Axiological and Ethical Determinants of Managers¿ Social Commitment Model. Finally, methodological limitations are evaluated and clues for further research are suggested.

A complexidade da gestão em processos de internacionalização: como a cultura Nacional impacta o processo decisório de gestores brasileiros expatriados - o caso de uma empresa estatal do setor de energia

In a world where the companies are trying to compete on a global scale, the positioning strategies direct them to go beyond the geographical boundaries of their base countries, seeking for other markets, as a way to keep globally competitive. These conditions make crucial the roles performed by their managers, exposed to different contexts, mainly economical, political, social and cultural and to face the task to manage enterprises like a challenge, probably bigger than the one found on their base countries. This speech tries to examine how much expatriated Brazilian managers feel the influence of local cultural factors in their decisional processes, taking into consideration that they are embedded in their cultural home countries, and they can suffer an impact by the culture of other countries. With this research it is intended to gather empirical material that will supply clues and allow to advance on studies that will make a relationship between decisional process and local culture, through a case study in a Brazilian state-owned energy company and its subsidiaries in South American countries, hoping that the mentioned studies will somehow contribute to a better understanding of the problems that have been stressed in the last decades. Also considering that the vast majority of the theoretical and empirical material about this matter has its own source on the western developed countries and are, in this way, culture-bounded, we hope to increase the production of studies and researches applied to the Latin American reality, mainly the Brazilian one.

Essays in corporate risk management

This research investigates the factors that lead Latin American non-financial firms to manage risks using derivatives. The main focus is on currency risk management. With this purpose, this thesis is divided into an introduction and two main chapters, which have been written as stand-alone papers. The first paper describes the results of a survey on derivatives usage and risk management responded by the CFOs of 74 Brazilian non-financial firms listed at the São Paulo Stock Exchange (BOVESPA), and the main evidence found is: i) larger firms are more likely to use financial derivatives; ii) foreign exchange risk is the most managed with derivatives; iii) Brazilian managers are more concerned with legal and institutional aspects in using derivatives, such as the taxation and accounting treatment of these instruments, than with issues related to implementing and maintaining a risk management program using derivatives. The second paper studies the determinants of risk management with derivatives in four Latin American countries (Argentina, Brazil, Chile and Mexico). I investigate not only the decision of whether to use financial derivatives or not, but also the magnitude of risk management, measured by the notional value of outstanding derivatives contracts. This is the first study, to the best of my knowledge, to use derivatives holdings information in emerging markets. The use of a multi-country setting allows the analysis of institutional and economic factors, such as foreign currency indebtedness, the high volatility of exchange rates, the instability of political and institutional framework and the development of financial markets, which are issues of second-order importance in developed markets. The main contribution of the second paper is on the understanding of the relationship among currency derivatives usage, foreign debt and the sensitivity of operational earnings to currency fluctuations in Latin American countries. Unlikely previous findings for US firms, my evidence shows that derivatives held by Latin American firms are capable of producing cash flows comparable to financial expenses and investments, showing that derivatives are key instruments in their risk management strategies. It is also the first work to show strong and robust evidence that firms that benefit from local currency devaluation (e.g. exporters) have a natural currency hedge for foreign debt that allows them to bear higher levels of debt in foreign currency. This implies that firms under this revenue-cost structure require lower levels of hedging with derivatives. The findings also provide evidence that large firms are more likely to use derivatives, but the magnitude of derivatives holdings seems to be unrelated to the size of the firm, consistent with findings for US firms.

Gestão intercultural: a experiência de executivos brasileiros no México

O presente trabalho tem por objetivo levantar quais as dificuldades que os executivos brasileiros, caracterizados por um estilo gerencial brasileiro, enfrentam ao fazer negócios e trabalhar no México. Escolhemos Brasil e México por dois motivos: o primeiro é que atualmente estes dois países representam as duas maiores economias da América Latina, sendo responsáveis por mais de 60% do PIB da região. O segundo é nosso interesse pessoal, devido nossa própria experiência de trabalho, iniciada em 2002 (e que continua acontecendo até o presente momento) quando começamos a interagir com o México no nosso trabalho cotidiano dentro de uma empresa privada. Para alcançar o nosso objetivo primeiramente definimos o que é cultura, cultura nacional, e como ela afeta o estilo gerencial. Estudamos na bibliografia os estilos gerenciais brasileiro e mexicano, e utilizamos o modelo de comparação de estilos gerenciais de Hofstede para identificar as diferenças entre eles, pois acreditamos que as dificuldades se relacionam com as diferenças entre os dois estilos. Posteriormente, fizemos uma pesquisa de campo, entrevistando de forma semi-estruturada sete executivos brasileiros que trabalharam no México para confirmar as diferenças nos estilos gerenciais e levantar quais foram as dificuldades que eles tiveram por conta das mesmas. Finalmente, apresentamos essas diferenças e concluímos que, ainda que os estilos gerenciais de ambos os países sejam próximos – e isso se reflete nos rankings que ambos ocupam nas quatro dimensões de Hofstede – as diferenças trazem sim dificuldades que precisam ser levadas em conta para facilitar a adaptação e o sucesso nos desafios profissionais que os executivos brasileiros venham a empreender no México.

Female senior managers in the Brazilian finance industry: a journey towards success

No nível global, a representação de líderes de sexo feminino nas empresas muitas vezes ainda se dá em números baixos em termos de percentagem. Particularmente em finanças, esses registros estão abaixo da média da indústria, e a forte concorrência e o ambiente de trabalho dominado pelos homens tornam difícil para as mulheres atingir o topo da pirâmide corporativa (Torres et al., 2013; OECD Better Life Index 2015). Isto pode ser devido a uma falta de equilíbrio trabalho-vida, diferentes estilos de liderança, as mulheres sendo intimidadas, ou a conformidade com estruturas familiares convencionalmente englobadas. No Brasil, os códigos de comportamento tradicionais são muito palpáveis na sociedade do país, embora esta também tenha se beneficiado de uma forte presença de movimentos feministas na segunda metade do século passado (Tate and Yang, 2015; Bowles et al. 2007; Niederle and Vesterlund, 2007). Nos últimos anos, o setor financeiro brasileiro tem crescido, oferecendo maiores oportunidades de emprego e desenvolvimento de carreira nas corporações nacionais e internacionais (Chiang et al., 2013; Bruschini, 2007). Esta dissertação aborda os desafios enfrentados por líderes de sexo feminino do mercado financeiro brasileiro e as suas trajetórias de carreira. Este objetivo será atingido por meio de uma análise de mídia social, focando nos anos de experiência de trabalho das mulheres analisadas, a posição atual delas e se elas têm filhos, bem como com 10 entrevistas semiestruturadas realizadas com executivas no setor financeiro no Brasil. Estas medidas irão abranger lacunas na literatura e consequentes recomendações para pesquisas futuras.

Speak now or forever hold your peace: an empirical investigation of whistleblowing in Brazilian organizations

À medida que ajudam as organizações a prevenir condutas irregulares e a manter um ambiente de trabalho mais éticos, as denúncias (whistleblowing) são frequentemente apontadas pela literatura como um benefício à sociedade como um todo. Entretanto, pouco se sabe a respeito de muitos aspectos associados à decisão de denunciar uma irregularidade. No Brasil, em especial, onde o assunto permanece sendo negligenciado por pesquisadores, elementos culturais específicos podem obstruir o caminho da denuncia, além de impor restrições à generalização dos resultados de pesquisas anteriores, quase sempre voltadas para a realidade anglo-saxônica. Com base nesses pressupostos, este estudo busca identificar os antecedentes do whistleblowing interno nas organizações brasileiras. De modo geral, os resultados da pesquisa empírica realizada com uma ampla amostra de profissionais oriundos de empresas púbicas e privadas dão suporte ao modelo proposto e reforçam a noção de que o ato de denunciar é o resultado complexo da interação entre fatores da organização, do indivíduo da situação observada. Em particular, os resultados sugerem que os indivíduos são mais propensos a realizar a denúncia quando a irregularidade observada é percebida como grave e quando a própria denuncia é vista como um curso de ação ético. Por outro lado, os indivíduos podem optar pelo silêncio se o alvo da denúncia for alguém com alto status na organização, se eles não sentirem apoio da organização ou se temerem retaliações. A influência negativa do medo de retaliação sobre a intenção de denunciar, contudo, pode ser atenuada se o indivíduo está convencido de que o correto a fazer é denunciar. Por fim, os resultados também sugerem que profissionais em posição gerencial são mais propensos a denunciar irregularidades do que os demais membros de uma organização. As implicações desses resultados, bem como as limitações e contribuições do estudo para a teoria e para a prática são discutidas em detalhe, juntamente com sugestões para pesquisas futuras.

Neww challenges in the luxury universe: an exploratory study of the concept of luxury experience in the Brazilian market from the perspective of brands and consumers: a case study of Pati Piva.

Luxury has evolved over the centuries; new challenges have created questions of appropriate strategies for brands. Experience and authenticity became important aspects in the field: consumers are enjoying more material comfort and there is a trend of a cultural shift for personal fulfillment and aspiration through experience. The biggest challenge for today's luxury marketers is to not only talk to the target, but to understand how the target is shifting, while not alienating consumers and damaging the brand´s image. Considering managers and consumers perspectives separately, it would be possible to conclude that their perceptions are congruent, as many studies have presented. However, if perspectives are put together and compared, different realities could emerge. This exploratory research is based on a case study that describes both perspectives of their perception on luxury experience, consumer behavior and consumption motivations, and luxury retailing. It was developed interviews with the brand owner and 10 brand´s consumers, and also indirect observations in the brands distribution formats. In the brand perspective, the case study has shown that luxury experience involves the construction of brand experience strategy based on products, multiple retail channels, consumer engagement, personal activity, exploration of five senses and other forms. In the consumer´s perspective, results revealed that brand consumers interviwed have different luxury experience perceptions and expectations; however, what is common is that service and quality must be maintained and they reflected the overall experience. Additionally, luxury retailing influences directly the consumer´s perception that must integrate multiple channels to fulfill personal demands. The research makes contributions for both actors - brand and consumer, in the sense that translates theoretical concepts of the experience itself and tries to clarify aspects that are still unknown and explored through the exploration of ways to detect the alignment between brand and consumer expectations of the experience.

A pension manager’s view of exchange traded funds from São Paulo to Santiago

This paper examines the current Chilean and Brazilian pension markets, how these pension markets are structured, how they have historically invested their portfolios in ETFs and how they utilize Exchange Traded Funds (ETFs). This investigation will give an overview of the current pension landscape in each country, ETFs and ETF managers in the region, as well as distribution allowances and regulations for ETF providers within the region. Finally it will offer insights throughout that will be useful to those building a business or creating an expansion plan in Brazil or Chile.

Brazilian equity mutual funds: A general outlook based on performance

This dissertation main goal is to overview the Brazilian equity mutual funds returns. We find that active management is not effective for Ibovespa index, since Ibovespa active funds do not outperform the Ibovespa referenced funds. However, for IBrX index, active management do outperform the passive strategy. We found that Sustainable funds returns do not outperform the market, Endowment funds show poor performance, which could indicate strong regulation imposition over endowment funds portfolios. The size of a fund shows positive correlation to mean average returns and alphas. A fund’s lifetime is positively correlated to returns and to alphas, which could be related to more risk-taking by younger managers in order to pursue higher expected returns and, consequently, bigger inflows. Younger funds tend to have lower performance probably because, in taking more risks, they do not perform as expected. In addition, we find that the decreasing trend of the alpha evolution along the time is a sign of the industry decreasing returns of scale, which entails that managers have more difficulties to beat the market portfolio. Top 10s rankings show that funds appear more than once on the top 10s, which shows persistence of funds’ performance. Finally, concerning the deciles and quartiles rankings, the frequency of appearances changes among performance measures. There are measures which, when compared to others, strongly change the top and bottom for the decile and quartile members.

In cash we trust: cash holdings in the brazilian equity fund industry

We study cash allocation ability as a possible explanatory factor that allows equity fund managers to produce high levels of adjusted returns (not explained by the risk factors they are exposed to). In order to do so, we explore the non-indexed Brazilian equity fund industry during the period of January 2006 to February 2015, evaluating cash allocation ability by level and effectiveness of cash deployment using return-based and holding-based approaches to explore a database of monthly invested assets and returns. We found that even though market timing is a rare skill in the industry, the flexibility to hold high levels of cash played a significant role in the result of over performing managers.

Empirical evidence on real convergence across brazilian states

This paper examines the real convergence hypothesis across Brazilian states. In order to test for the existence of income convergence the or- der of integration of real Gross State Product (GSP) per capita series is examined as well as their di¤erences with respect to the São Paulo state which is used as a benchmark state. Both parametric and semiparametric methods are used and the results show that convergence is achieved in the cases of Alagoas, Amazonas, Bahia, Goiás, Mato Grosso, Minas Gerais, Pernambuco, Piauí, Rio Grande do Sul, Rio de Janeiro and Santa Cata- rina and convergence is weakly achieved in the cases of Ceará, Maranhao, Pará, Paraná and Sergipe .The states of Espírito Santo, Paraíba and Rio Grande do Norte show no convergence. O artigo examina a hipótese de convergência real entre os estados brasileiros. Para testar a existência ou não da convergência da renda a ordem da integração da série do produto real bruto do estado per capita é examinada assim como suas diferenças com respeito ao estado de São Paulo que é usado como base. Foram utilizados métodos paramétricos e semiparametric e os resultados mostram que ocorre convergência nos estados: Alagoas, Amazonas, Baía, Goiás, Mato Grosso, Minas Gerais, Pernambuco, Piauí, Rio Grande do Sul, Rio de Janeiro e Santa Catarina e ocorre convergência fraca nos estados: Ceará, de Maranhão, Pará, Paraná e Sergipe. Nos estado

Are price limits on futures markets that cool? evidence from the brazilian merchantile & futures exchange

This paper investigates the impact of price limits on the Brazil- ian future markets using high frequency data. The aim is to identify whether there is a cool-off or a magnet effect. For that purpose, we examine a tick-by-tick data set that includes all contracts on the São Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. Our main finding is that price limits drive back prices as they approach the lower limit. There is a strong cool-off effect of the lower limit on the conditional mean, whereas the upper limit seems to entail a weak magnet effect on the conditional variance. We then build a trading strategy that accounts for the cool-off effect so as to demonstrate that the latter has not only statistical, but also economic signifi- cance. The resulting Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider.

Brazilian international and inter-state trade flows: an exploratory analysis using the gravity model

Recent efforts toward a world with freer trade, like WTO/GATT or regional Preferential Trade Agreements(PTAs), were put in doubt after McCallum's(1995) finding of a large border effect between US and Canadian provinces. Since then, there has been a great amount of research on this topic employing the gravity equation. This dissertation has two goals. The first goal is to review comprehensively the recent literature about the gravity equation, including its usages, econometric specifications, and the efforts to provide it with microeconomic foundations. The second goal is the estimation of the Brazilian border effect (or 'home-bias trade puzzle') using inter-state and international trade flow data. It is used a pooled cross-section Tobit model. The lowest border effect estimated was 15, which implies that Brazilian states trade among themselves 15 times more than they trade with foreign countries. Further research using industry disaggregated data is needed to qualify the estimated border effect with respect to which part of that effect can be attributed to actual trade costs and which part is the outcome of the endogenous location problem of the firm.

Tests of conditional asset pricing models in the brazilian stock market

In this paper, we test a version of the conditional CAPM with respect to a local market portfolio, proxied by the Brazilian stock index during the period 1976-1992. We also test a conditional APT modeI by using the difference between the 3-day rate (Cdb) and the overnight rate as a second factor in addition to the market portfolio in order to capture the large inflation risk present during this period. The conditional CAPM and APT models are estimated by the Generalized Method of Moments (GMM) and tested on a set of size portfolios created from individual securities exchanged on the Brazilian markets. The inclusion of this second factor proves to be important for the appropriate pricing of the portfolios.