What is the role of bookbuilding in bond allocation ? : evidence from Brazil

A dissertação tem como objetivo analisar dois aspectos do processo de bookbuilding nas emissões de debêntures no mercado brasileiro. O primeiro aspecto é verificar se o underwriter utiliza, a exemplo do que ocorre no Initial Public Offering (IPO) de ações, o poder discricionário nas alocações das debêntures entre os investidores. O segundo consiste em encontrar as características, tanto do emissor quanto do investidor, que influenciam na eficiência do bidder no processo de bookbuilding. Para realizar os testes empíricos foi utilizada uma base de dados composta por 40 books1 (totalizando 727 bids) fornecidos por um banco de investimento.Verifica-se que o underwriter não beneficia nenhum investidor na alocação final das debêntures. Essa afirmação fica evidenciada quando se calcula a diferença entre alocação final (efetivamente recebida pelo investidor) e alocação teórica (estimada com base no método pro-rata) para os 27 books (totalizando 557 bids) que apresentam demanda superior a oferta. A diferença é nula para 96.6% da amostra, sendo que das 19 observações não nulas, 15 possuem diferença absoluta de uma debênture entre a alocação teórica e a final, resultado explicado em função do arredondamento das alocações.Contrariando a teoria de leilão de titulos públicos, onde autores, como Scott and Wolf (1979), defendem que os investidores devem utilizar o step bid como estratégia ótima de bid, este trabalho verificou que no caso de bookbuilding de debêntures no mercado brasileiro, os investidores usuários de step bid posssuem menos chances de ter seu bid atendido plenamente pelo underwriter. Quando o investidor é um gestor de recursos de terceiros (asset management), aumenta-se a possibilidade de ter sua demanda atendida. O maior sucesso do asset management no bookbuilding deve-se às peculiaridades do mercado brasileiro: (i) somente investidores locais participam dos bookbuilding, já que investidores estrangeiros possuem preferência e incentivos por títulos públicos; (ii) gestores de recursos de terceiros representam 75% da demanda por debêntures; (iii) o mercado de gestão de recursos é concentrado: os 5 maiores gestores concentram 60% da indústria. Com isso os gestores de recursos podem desenvolver uma expertise própria, já que são os principais demandadores e frequentemente participam dos bookbuilding. As características do emissor também influenciam no desempenho dos bidders: as debêntures de baixo e médio risco aumentam a possibilidade do bidder ter seu pedido atendido na íntegra. Além disso, como era esperado, quanto maior for a demanda do título, mais dificil é para o investor conseguir a quantidade desejável.

Empirical essays on IPOS: the Brazilian case

The purpose of this study is to empirically analyze the main factors that determine the first-day return and the Flipping activity in Brazilian IPOs, taking into account expected results according to national and international researches. The data base encompasses IPOs that took place between May 2004 and February 2011, summing up to 129 IPOs and approximately R$ 128 billion offering. The first-day return, which means the “money left on the table”, was on average 4.6% taking into consideration the issue price, while the Flipping activity totalized R$ 7.2 billion, meaning 5.6% of the offering. The first-day return was analyzed before and after the first trade, and evidences were found supporting (a) the exogenous determination of the issue price, (b) the opening price dependence of prospectus disclosure and of other variables, observable previously to the bookbuilding process, and (c) the cascade behavior of investors in the pricing after the first trade, particularly driven by the underwriter behavior. In regards to the Flipping, it was notorious depending on how much the IPO succeeded, being concentrated in and homogeneous along the first-day, despite the intense negotiation in the first minute. As a general contribution to literature, it was concluded that Information Asymmetry Theory arguments are not sufficient to explain the first-day Underpricing and the Flipping, being necessary arguments based on Behavioral Finance adapted to an intraday perspective.

A responsabilização do coordenador líder de ofertas públicas de ações por infração ao dever de informar: como indenizar os danos dos investidores?

O presente trabalho analisa a aplicabilidade dos regimes de responsabilidade civil para indenizar os investidores por danos decorrentes de infrações do coordenador líder de oferta pública de ações. A responsabilização desse agente tem por base o dever de agir com elevado padrão de diligência para: (i) assegurar a qualidade das informações; (ii) divulgar informações de forma que permita o investidor tomar uma decisão fundamentada; e (iii) atuar em conformidade com o princípio da boa-fé. Para tanto, serão estudados os regimes de responsabilidade civil subjetiva, fundado na conduta culposa do coordenador líder, e de responsabilidade objetiva, com base no Código de Defesa do Consumidor e no risco da atividade de intermediação financeira em ofertas públicas de ações. Pretende-se, por fim, identificar o regime mais apropriado para a reparação de danos dos investidores.

Análise empírica da presença de "Market timing" no mercado acionário brasileiro

Este trabalho objetiva verificar a existência de “Market Timing” no mercado acionário brasileiro. Os nossos estudos foram divididos em três análises distintas. Primeiro verificamos a presença de “market-timing” nos IPOs e posteriormente expandimos para as ofertas subseqüentes de ações (OSAs). Por último verificamos a persistência dos efeitos do “Market Timing” sobre a estrutura de capital das empresas. Os resultados dos nossos estudos mostram que as empresas brasileiras tendem a emitir mais capital quando o mercado está aquecido. Essas emissões acontecem através de IPOs e de OSAs e alteram a estrutura de capital dessas empresas. Com o passar do tempo essa alteração na estrutura de capital tende a diminuir.

Análise do desempenho de longo prazo dos IPOs de empresas com participação prévia de fundos de private equity e venture capital de 2004 a 2011 na BM&F Bovespa

O mercado brasileiro de ofertas públicas iniciais a partir de 2004 passou por um reaquecimento. O período até 2008, segundo a Agência Brasileira de Desenvolvimento Industrial – ABDI (2009) foi marcado pela aceleração das saídas de investidores em Private Equity e Venture Capital (PE/VC) via mercado de ações. Esses fundos são bem ativos nas empresas investidas e buscam ter acesso e influenciar as decisões dos administradores, exigem um volume grande de informações gerenciais, se preocupam com a profissionalização da gestão da empresa além de impor práticas de governança e transparência. Por serem investidores ativos espera-se que as empresas que tiveram participação desses veículos de investimento no momento anterior a abertura do capital apresentem retornos melhores do que outras sem essa participação. Assim objetivo desse estudo é verificar se há evidencias de que a presença de fundos de private equitiy ou venture capital no capital social da empresa antes de seu lançamento afeta o desempenho de longo prazo de suas ações, no presente estudo estabelecido como até 3 anos. Foi utilizada a metodologia de estudo de eventos para a investigação dos retornos de uma amostra de 126 IPOs ocorridos entre 2004 e 2011 no Brasil. A metodologia empregada tem como base o trabalho de Ritter (1991) com as recomendações de Khotari e Warner (2006), Ahern (2009) e Mackinlay (1997). Para o cálculo dos retronos anormais acumulados, ou cummulative abnormal returns – CAR utilizou-se o retorno ajustado pelo mercado, ou Market Adjusted Returns Equaly Wheighted, MAREW, utilizando como benchmark o Ibovespa e tendo como base um portifólio com pesos iguais. Verificou-se que há um retorno anormal médio de 3,47% no dia do lançamento que com o passar do tempo o retorno se torna negativo, sendo -15,27% no final do primeiro ano, -37,32% no final do segundo ano e chegando a -36,20% no final do terceiro ano. Para verificar o que influencia o CAR no longo prazo, foram relizadas regressões para os períodos de 1, 6, 12, 24 e 36 com as variáveis de controle Tamanho da Empresa, Tamanho da Oferta, Proporção da Oferta Primária, Idade, Quantidade de Investidores e Underprice para medir qual a influência de um fundo de Private Equity no retorno excedente acumulado das ações. A presença de um fundo de Private Equity ou Venture Capital se mostrou significativa apenas depois de seis meses do lançamento.

Market timing as a motive for IPOs: evidence from IPOs of Japanese keiretsu firms

This paper examines the relevance of market timing as a motive for initial public offerings (IPOs) by comparing IPOs of firms that are members of Japanese keiretsu industrial groups with IPOs of independent Japanese firms. We argue that Japanese keiretsu-linked IPOs form a favorable sample to find evidence of the market timing motive. Instead, the data provide strong evidence for a restructuring motive and little evidence for market timing. We find that long run returns to keiretsu and independent IPOs are not negative, contrary to U.S. evidence, and are indistinguishable from each other; initial returns to keiretsu-linked IPOs are significantly higher than to independent firms; and a significant number of keiretsu IPO firms adjust their linkages with the group following the IPO, with both increases and decreases.

Fostering innovation and entrepreneurship in Brazil through private equity and venture capital public policies

It is well documented the positive impact of the Private Equity and Venture Capital (PE/VC) industry on the creation and development of highly successful innovative companies in a few countries, mainly in the United States. PE/VC firms provide not only capital to startups and small and medium enterprises (SMEs) that usually have financing gap, especially in emerging markets, but also strategic resources that enable these enterprises to commercialize innovation. As consequence, government incentive and nurture of local PE/VC industries would be expected in emerging economies due to innovation‟s importance to economic growth. This paper aims to identify if the Brazilian government has supported local PE/VC industry throughout the years in order to foster favorable conditions to creating and developing successful innovative businesses. It also analyzes Brazil‟s main public policies towards PE/VC and if they encompass all the three stages of its cycle – fundraising, investing and exiting. I conducted an empirical research which collected primary data from a sample of 127 PE/VC firms (90% of the population) operating in Brazil as of June, 2008. All firms answered a webbased questionnaire that collected quantitative data regarding their investment vehicles, portfolio companies, investments and exits. I compared the data obtained from the survey with the main local governmental PE/VC support programs. First, I confirmed the hypothesis that the Brazilian government has been using the PE/VC industry as a public policy towards entrepreneurship and innovation. Second, I identified that although PE/VC public policies in Brazil are mostly concentrated in fundraising phase, they have been able to positively impact the whole cycle. Third, it became clear that the Brazilian government became more concerned about Seed and Venture Capital (VC) Early stages due to their importance to the entire PE/VC value chain. As consequence, I conclude that those public policies have been very important to build a dynamic and strong local PE/VC industry, whose committed capital grew 50% per year between 2005 and 2008 to achieve US$27 billion, which invested US$ 11 billion, which employs 1,400 professionals (75% with postgraduate degrees) and maintains 482 portfolio companies, mostly SMEs. In addition, PE/VCbacked companies represented one third of the Initial Public Offerings (IPOs) that occurred in Brazil between 2004 and 2008 (approximately US$15 billion).

Teoria e prática na proteção aos acionistas minoritários: um olhar sobre o direito de retirada nas reorganizações societárias

This paper analyzes the evolution of the protection to the minority stockholders of the stock market, through their right to withdrawal when the society is reorganized. Thus, a triple study was done: In the first place, it analyzes the evolution of legal protection for the minority stockholders with relation to possible abuses that can be committed by the majority stockholders of public traded corporations when there is a Public Offering for Stocks Acquisition (POSAs). In the second place, it studies opinions about this legal protection of portfolio managers and lawyers who deal with corporate law. Finally, it verified the POSAs which occurred in recent periods, comparing the values used by the majority stockholders to reimburse the stocks from minority shareholders in those POSAs. Comparing the results of these three above studies, we conclude that: A) The current legislation does not protect adequately the minority stockholders; B) There is a great dispersion of opinions among the two categories of professionals, concerning their approval or not of important details of the current legislation, and also of the old legislation; C) A great dispersion also exists about the suggestions concerning what should be modified in the legislation to improve it; D) The Brazilian Securities Commission (Comissão de Valores Mobiliários ¿ CVM) did not prevent the distortions observed in the POSAs studied; E) The legislation is not always well known by these professionals, and this suggests that the knowledge of small investors must be precarious. This insecurity and ignorance of the legal protection become obstacles for nonspecialized persons to invest in stocks, resulting in an important limitation for the development and popularization of the Brazilian stock market.

High-growth SMEs and the availability of private equity and venture capital in Brazil

This chapter discusses private equity and venture capital (PE/VC) in Brazil. Firstly, it is shown that PE/VC has a strong impact in the Brazilian capital markets, with PE/VC-backed companies representing close to half the amount raised by initial public offerings (IPOs) in the stock exchanges. By examining two of these deals, which involved small and mediumsized enterprises (SMEs), it is argued that PE/VC managers have acted as catalysts of the impressive growth rates experienced before these companies entered the stock markets. Indeed, PE/VC firms represent an important segment of the capital market, with specialization to invest in high-growth innovative SMEs. PE/VC managers exercise superior selection, monitoring and governance that mitigate the uncertainty and risks of investing in such companies. Despite its successes in Brazil, PE/VC is still very much restrained by the challenging local economic and institutional environment. Thus, changes in the legal and fiscal system, simplification in bureaucratic procedures, and other such improvements will most likely result in a sensible growth in the Brazilian PE/VC industry, with positive impact in the SME access to finance in Brazil. Since most countries in Latin America share similar economic and institutional traits with Brazil, the path followed by the local PE/VC industry can serve as an example for other countries to learn with its successes and failures.

Características e determinantes da primeira emissão de debêntures

As decisões de financiamento com dívida têm impacto na estrutura de capital através da alteração da alavancagem, da titularidade e da maturidade da dívida. As teorias mais populares sobre a composição da dívida, preveem um efeito negativo nas ações quando uma empresa emite debêntures. Os meus resultados não confirmam esse efeito, pelo menos diretamente. Contudo os determinantes da emissão são consistentes com as previsões, com algumas particularidades da economia Brasileira.

Public debt sustainability and endogenous seignorage in Brazil: time-series evidence from 1947-92

Using national accounts data for the revenue-GDP and expenditure GDP ratios from 1947 to 1992, we examine two central issues in public finance. First, was the path of public debt sustainable during this period? Second, if debt is sustainable, how has the government historically balanced the budget after hocks to either revenues or expenditures? The results show that (i) public deficit is stationary (bounded asymptotic variance), with the budget in Brazil being balanced almost entirely through changes in taxes, regardless of the cause of the initial imbalance. Expenditures are weakly exogenous, but tax revenues are not;(ii) a rational Brazilian consumer can have a behavior consistent with Ricardian Equivalence (iii) seignorage revenues are critical to restore intertemporal budget equilibrium, since, when we exclude them from total revenues, debt is not sustainable in econometric tests.

Growth, increasing returns, and public infrastructure : time series evidence

Initial endogenous growth models emphasized the importance of external effects and increasing retums in explaining growth. Empirically, this hypothesis can be confumed if the coefficient of physical capital per hour is unity in the aggregate production function. Previous estimates using time series data rejected this hypothesis, although cross-country estimates did nol The problem lies with the techniques employed, which are unable to capture low-frequency movements of high-frequency data. Using cointegration, new time series evidence confum the theory and conform to cross-country evidence. The implied Solow residual, which takes into account externaI effects to aggregate capital, has its behavior analyzed. The hypothesis that it is explained by government expenditures on infrasttucture is confIrmed. This suggests a supply-side role for government affecting productivity.

Banrisul: do PROES ao IPO com governança corporativa

The scene prevalecente, in this work was to analyze the capacity of BANRISUL - Bank of the State of the Rio Grande Do Sul, as bank of public control, was assumen of the continued increase of the profitability of the Brazilian banking sector, remaining itself as a brought up to date financial institution tecnologicamente and managemental structuralized by mechanisms of brought up to date taking of decision and permanently revised in compatibility with the increasing instabilidades imposed for the incited competition of the banking sector in adequacy with the macroeconomic volatillidades. On the basis of the extremely positive performance in the analyzed period enters 1997 the 2007, the commercial strategy remains focada in the constant improvement of the rendering of services and in the growth of the credit average small the physical people and the e companies. The abrangência of the attendance points and the ample base of customers are aggregate advantages to an exclusive differential: the Banricompras, the biggest card of proper mark of Latin America. Stronger and income-producing, with an adequate and transparent management, the BANRISUL follows in propósito de to gain position of prominence in the national economic-financial scene.

Public debt sustainability and endogenous seigniorage in Brazil: time-series evidence from 1947-92: revised version

Using national accounts data for the revenue-GDP and expenditureGDP ratios from 1947 to 1992, we examine three central issues in public finance. First, was the path of public debt sustainable during this period? Second, if debt is sustainable, how has the government historically balanced the budget after shocks to either revenues or expenditures? Third, are expenditures exogenous? The results show that (i) public deficit is stationary (bounded asymptotic variance), with the budget in Brazil being balanced almost entirely through changes in taxes, regardless of the cause of the initial imbalance. Expenditures are weakly exogenous, but tax revenues are not; (ii) the behavior of a rational Brazilian consumer may be consistent with Ricardian Equivalence; (iii) seigniorage revenues are critical to restore intertemporal budget equilibrium, since, when we exclude them from total revenues, debt is not sustainable in econometric tests.

Pré-ipo capital infusion and underwriting in Brazil: a study on conflicts of interests in the universal banking system

Mercados financeiros e finanças corporativas