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.

Are price limits on futures markets that cool?: evidence from the Brazilian Mercantile and Futures Exchange

This paper investigates the impact of price limits on the Brazilian futures 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 S˜ao Paulo stock index futures traded on the Brazilian Mercantile and Futures Exchange from January 1997 to December 1999. The results indicate that the conditional mean features a floor cool-off effect, whereas the conditional variance significantly increases as the price approaches the upper limit. We then build a trading strategy that accounts for the cool-off effect in the conditional mean so as to demonstrate that the latter has not only statistical, but also economic significance. The in-sample Sharpe ratio indeed is way superior to the buy-and-hold benchmarks we consider, whereas out-of-sample results evince similar performances.

On the limits of cheap talk for public good provision

This article studies a model where, as a consequence of private information, agents do not have incentive to invest in a desired joint project, or a public good, when they are unable to have prior discussion with their partners. As a result, the joint project is never undertaken and inefficiency is observed. Agastya, Menezes and Sengupta (2007) prove that with a prior stage of communication, with a binary message space, it is possible to have some efficiency gain since "all ex-ante and interim efficient equilibria exhibit a simple structure". We show that any finite message space does not provide efficiency gain on the simple structure discussed in that article. We use laboratory experiments to test these results. We find that people do contribute, even without communication, and that any kind of communication increases the probability of project implementation. We also observed that communication reduces the unproductive contribution, and that a large message space cannot provide efficiency gain relative to the binary one.

Estado, política cultural e manifestações populares: a influência dos governos locais no formato dos carnavais brasileiros

Apesar das controvérsias sobre a forma como as festas populares têm sido tratadas, é fundamental reconhecer que, além das questões econômicas, elas envolvem um componente social muito importante. Fatores como o fortalecimento de identidade e do sentimento de pertencimento, reforço de laços comunitários, participação popular na formulação e implementação das políticas e ocupação de espaços públicos têm íntima relação com essas festas. Dentro desse cenário está inserida a maior das festas populares brasileiras, o carnaval. Os festejos carnavalescos são estudados nesta Dissertação. A idéia é analisar como o a Administração Pública e o Carnaval estiveram sempre muito próximos, em relações que por vezes eram consensuais e, em outros momentos, bastante conflitantes. Para a realização desta dissertação foram coletados diversos dados públicos, que compõem a parte quantitativa da pesquisa. Os dados qualitativos foram obtidos através de várias entrevistas, com atores governamentais e não-governamentais ligados à festa. Além do aspecto descritivo sobre a atuação dos governos locais em relação aos carnavais citados, este trabalho pretende ampliar uma dimensão pouco explorada nas pesquisas sobre a cultura em geral e sobre o carnaval em especial: a Economia do Carnaval. Os dias de realização da festa geram grandes ganhos financeiros e é fundamental analisar quem, de fato, são os beneficiários através de uma pergunta básica, mas de crucial importância: Carnaval para quem? Esta dissertação visa colaborar com a discussão sobre o papel que os governos locais podem, com algumas medidas, melhorar as condições socioeconômicas dos trabalhadores, criando mecanismos capazes de desconcentrar a renda, reduzindo assim as desigualdades socioeconômicas do país.

Crisis communication: organization's reactions to unexpected events

A reputação é considerada o ativo mais importante das empresas. Ela permite o estabelecimento de relações comerciais e garante um bom funcionamento da organização. Quando um evento inesperado surge, a reputação pode ser ameaçada. Os gerentes, líderes da organização, têm então que demonstrar reatividade e capacidade em responder as necessidades dos stakeholders, e capacidade de detectar e consertar as falhas dentro da organização através de um processo de aprendizagem, para evitar conseqüências negativas que poderiam danificar a reputação e impactar o desenvolvimento operacional da empresa. Através da comunicação de crise, observamos que depois da queda do avião AF 447, a companhia Air France adotou diferentes posturas adaptadas ao pedido dos stakeholders e ao grau de ameaça sofrido. Logo depois do acidente, a empresa decidiu adotar a estratégia do reconhecimento, assumindo uma responsabilidade simbólica e comunicando prioritariamente para as famílias das vitimas e para a mídia. Nas seguintes semanas ela utilizou a estratégia do silêncio que consiste em não comunicar diretamente a mídia. Finalmente, ela usou a estratégia do “bode expiatório” quando ela foi sujeita a ataques diretos. As reações da empresa somadas ao avanço das investigações judiciais revelaram falhas organizacionais “históricas” dentro da própria empresa, como por exemplo, a falta de comunicação entre pilotos e gerentes ou uma falha de sensibilidade técnica e operacional da parte dos gerentes. Apesar de problemas interno e externo, a Air France demonstrou que uma comunicação de crise bem gerenciada limita os impactos financeiros e de reputação. As conseqüências negativas sofridas pela companhia Air France foram limitadas.

Public debt and the limits of fiscal policy to increase economic growth

Research that seeks to estimate the effects of fiscal policies on economic growth has ignored the role of public debt in this relationship. This study proposes a theoretical model of endogenous growth, which demonstrates that the level of the public debt-to-gross domestic product (GDP) ratio should negatively impact the effect of fiscal policy on growth. This occurs because government indebtedness extracts part of the savings of the young to pay interest on the debts of the older generation, who are no longer saving. Therefore, the payment of debt interest assumes an allocation exchange role between generations that is similar to a pay-as-you-go pension system, which results in changes in the savings rate of the economy. The major conclusions of the theoretical model were tested using an econometric model to provide evidence for the validity of this conclusion. Our empirical analysis controls for timeinvariant, country-specific heterogeneity in the growth rates. We also address endogeneity issues and allow for heterogeneity across countries in the model parameters and for cross-sectional dependence.

Voice over IP 2.0: an analysis of limits and potential of IP2IP telecommunication

Internet Telephony (VoIP) is changing the telecommunication industry. Oftentimes free, VoIP is becoming more and more popular amongst users. Large software companies have entered the market and heavily invest into it. In 2011, for instance, Microsoft bought Skype for 8.5bn USD. This trend increasingly impacts the incumbent telecommunication operators. They see their main source of revenue – classic telephony – under siege and disappear. The thesis at hand develops a most-likely scenario in order to determine how VoIP is evolving further and it predicts, based on a ten-year forecast, the impact it will have on the players in the telecommunication industry.The paper presents a model combining Rogers’ diffusion and Christensen’s innovation research. The model has the goal of explaining the past evolution of VoIP and to isolate the factors that determine the further diffusion of the innovation. Interviews with industry experts serve to assess how the identified factors are evolving.Two propositions are offered. First, VoIP operators are becoming more important in international, corporate, and mobile telephony. End-to-end VoIP (IP2IP) will exhibit strong growth rates and increasingly cannibalize the telephony revenues of the classic operators. Second, fix-net telephony in SMEs and at home will continue to be dominated by the incumbents. Yet, as prices for telephony fall towards zero also they will implement IP2IP in order to save costs. By 2022, up to 90% of the calls will be IP2IP. The author recommends the incumbents and VoIP operators to proactively face the change, to rethink their business strategies, and to even be open for cooperation.

Integrating open innovation in the social innovation process: an exploratory study

Inovação tem se tornado um fenômeno cada vez mais complexo e dinâmico, com a mudança de um paradigma focado na inovação industrial, onde a inovação acontecia no produto ou no processo de fabricação, para outro baseado no conhecimento, muito mais amplo. Além disso, o conhecimento e a competência técnica não são mais considerados como um monopólio do departamento de pesquisa e desenvolvimento. Isto trouxe mudanças nas práticas de inovação, que se tornaram mais abertas e levaram as empresas a interagir cada vez mais com o seu ambiente. Por outro lado, a inovação tecnológica, cujo primeiro objetivo é de criar valor para a empresa, tem experimentado alguns limites para resolver problemas sociais, como o aquecimento global. As novas tecnologias têm a capacidade de melhorar a qualidade de vida de muita gente, mas não é suficiente. É nesse contexto que surge outro tipo de inovação, cujo objetivo é de maximizar o impacto positivo na sociedade: a inovação social. Estes dois paradigmas de inovação, mais adequados aos desafios atuais, têm alguns pontos em comum na sua integração com o ambiente externo: a sociedade e outros atores da inovação. No entanto, praticamente não existem estudos integrando inovação aberta e inovação social. Este trabalho estuda a integração destes dois modelos a partir de uma pesquisa exploratória, realizando entrevistas em profundidade com 11 dirigentes de organizações sociais. As iniciativas sociais parecem atrair mais organizações externas para colaborar do que empresas com fins lucrativos, já que são mais altruístas. Parecem integrar essas pessoas e procurar por mais ajuda, especialmente no momento de escalar o negócio. Ainda que algumas organizações têm como prioridade institucionalizar a inovação aberta, outras veem isto como secundário ou simplesmente não sabem como fazer. Isto resulta em uma colaboração mais informal, que não é focada em atividades de pesquisa e desenvolvimento, prática ausente nas empresas da nossa amostra.

Strenghthening long-term growth in Brazil

This paper is devoted to an examination of the main issues identified with Brazil’s barriers to growth in the long term. It begins with a decomposition of per capita and total GDP long term growth to identify the main proximate sources of Brazil’s growth deceleration. Most of the analysis in this part concentrates on factors affecting aggregate supply. The reason for this approach is that, within certain limits past experience reveals that it is easy to stimulate aggregate demand via fiscal and monetary stimuli in Brazil. The risk is on bumping into production capacity barriers, i.e., supply constraints. Five substantially diversified but interconnected issues have been raised in the literature as supply constraints, many of which associated to a rate of savings lower than deemed necessary for sustaining faster growth: the tax burden, institutional factors, infrastructure, finance and education. Accordingly, the paper also deals with the issues of a high an increasing tax burden, institutional shortcomings and policy settings, insufficient investment in infrastructure, insufficient long term financing, and educational shortcomings, as growth impediments. A survey of policies aimed at removing the barriers to growth thus identified is presented next. The paper concludes by bringing again to the fore the need to increase savings and investment for growth resumption and by speculating on the growth potential of Brazil, conditional on productivity and investment growth.

Enforcing international financial standards in Brazil: limits and possibilities for adoption of IOSCO principles

Foreign capital and institutional investors play a key role in the Brazilian capital and financial markets. Internationally promoted regulatory patterns, especially IOSCO principles, have been increasingly influencing administrative rule making by the Brazilian Securities and Exchange Commission (CVM) as well as the adoption of transnational rules in Brazil by means of self-regulatory activity. Even though there is a certain level of convergence of market regulatory standards at the transnational level, implementation and enforcement of rules remains essentially domestic. We analyze two case studies regarding the transposition of international standards into the Brazilian legal system, which illustrate this tension between the transnational and domestic dimensions of financial markets regulation. The first case concerns a CVM rule on disclosure of executive compensation and the its interpretation by local courts. The second case refers to the adoption of suitability rules.

The impact of property rights and its limits

The empirical evaluation of the effect of land property rights typically suffers from selection problems. The allocation of property rights across households is usually not random but based on wealth, family characteristics, political clientelism, or other mechanisms built on differences between the groups that acquire property rights and the groups that do not. In this paper, we address this selection concern exploiting a natural experiment in the allocation of property rights. Twenty years ago, a homogenous group of squatters occupied a piece of privately owned land in a suburban area of Buenos Aires, Argentina. When the Congress passed an expropriation law transferring the land from the former owners to the squatters, some of the former owners surrendered the land (and received a compensation), while others decide to sue in the slow Argentine courts. These different decisions by the former owners generated an allocation of property rights that is exogenous to the characteristics of the squatters. We take advantage of this natural experiment to evaluate the effect of the allocation of urban land property rights. Our preliminary results show significant effects on housing investment, household size, and school attrition. Contradicting De Soto's hypotheses, we found nonsignificant effects on labor income and access to credit markets.

Does absorptive capacity affect project performance? A study based on project management practices, organization learning, and knowledge

The literature has emphasized that absorptive capacity (AC) leads to performance, but in projects its influences still unclear. Additionally, the project success is not well understood by the literature, and AC can be an important mechanism to explain it. Therefore, the purpose of this study is to investigate the effect of absorptive capacity on project performance in the construction industry of São Paulo State. We study this influence through potential and realized absorptive capacity proposed by Zahra and George (2002). For achieving this goal, we use a combination of qualitative and quantitative research. The qualitative research is based on 15 interviews with project managers in different sectors to understand the main constructs and support the next quantitative phase. The content analysis was the technique used to analyze those interviews. In quantitative phase through a survey questionnaire, we collected 157 responses in the construction sector with project managers. The confirmatory factor analysis and hierarchical linear regression were the techniques used to assess the data. Our findings suggest that the realized absorptive capacity has a positive influence on performance, but potential absorptive capacity and the interactions effect have no influence on performance. Moreover, the planning and monitoring have a positive impact on budget and schedule, and customer satisfaction while risk coping capacity has a positive impact on business success. In academics terms, this research enables a better understanding of the importance of absorptive capacity in the construction industry and it confirms that knowledge application in processes and routines enhances performance. For management, the absorptive capacity enables the improvements of internal capabilities reflected in the increased project management efficiency. Indeed, when a company manages project practices efficiently it enhances business and project performance; however, it needs initially to improve its internal abilities to enrich processes and routines through relevant knowledge.

The Limits of political compromise: debt ceilings and political competition

We study the desirability of limits on the public debt and of political competition in an economy where political parties alternate in office. Due to rent-seeking motives, incumbents have an incentive to set public expenditures above the socially optimal level. Parties cannot commit to future policies, but they can forge a political compromise where each party curbs excessive spending when in office if it expects future governments to do the same. In contrast to the received literature, we find that strict limits on government borrowing can exacerbate political-economy distortions by rendering a political compromise unsustainable. This tends to happen when political competition is limited. Conversely, a tight limit on the public debt fosters a compromise that yields the efficient outcome when political competition is vigorous, saving the economy from immiseration. Our analysis thus suggests a legislative tradeoff between restricting political competition and constraining the ability of governments to issue debt.