Brazil's regulatory framework: predictability or uncertainty?

Este Trabalho Discute as Perspectivas da Regulação Econômica no Brasil. para Tanto, Primeiramente Apresenta-Se a Evolução Histórica da Regulação no País, Discutindo as Principais Questões Relacionadas Às Agências Reguladoras Federais. em Segundo Lugar, os Marcos Regulatórios de Cinco Diferentes Setores (Telecomunicações, Eletricidade, Saneamento Básico, Petróleo e Gás Natural) são Analisados. em Terceiro Lugar, a Questão do Financiamento de Investimentos em Infra-Estrutura é Tratada, Enfatizando o Papel das Parcerias Público-Privadas (Ppps). uma Seção Final Cont~Em um Possível Agenda para a Regulação no Brasil

Essays on regulatory risk issues

Most studies around that try to verify the existence of regulatory risk look mainly at developed countries. Looking at regulatory risk in emerging market regulated sectors is no less important to improving and increasing investment in those markets. This thesis comprises three papers comprising regulatory risk issues. In the first Paper I check whether CAPM betas capture information on regulatory risk by using a two-step procedure. In the first step I run Kalman Filter estimates and then use these estimated betas as inputs in a Random-Effect panel data model. I find evidence of regulatory risk in electricity, telecommunications and all regulated sectors in Brazil. I find further evidence that regulatory changes in the country either do not reduce or even increase the betas of the regulated sectors, going in the opposite direction to the buffering hypothesis as proposed by Peltzman (1976). In the second Paper I check whether CAPM alphas say something about regulatory risk. I investigate a methodology similar to those used by some regulatory agencies around the world like the Brazilian Electricity Regulatory Agency (ANEEL) that incorporates a specific component of regulatory risk in setting tariffs for regulated sectors. I find using SUR estimates negative and significant alphas for all regulated sectors especially the electricity and telecommunications sectors. This runs in the face of theory that predicts alphas that are not statistically different from zero. I suspect that the significant alphas are related to misspecifications in the traditional CAPM that fail to capture true regulatory risk factors. On of the reasons is that CAPM does not consider factors that are proven to have significant effects on asset pricing, such as Fama and French size (ME) and price-to-book value (ME/BE). In the third Paper, I use two additional factors as controls in the estimation of alphas, and the results are similar. Nevertheless, I find evidence that the negative alphas may be the result of the regulated sectors premiums associated with the three Fama and French factors, particularly the market risk premium. When taken together, ME and ME/BE regulated sectors diminish the statistical significance of market factors premiums, especially for the electricity sector. This show how important is the inclusion of these factors, which unfortunately is scarce in emerging markets like Brazil.

Is enterprise value affected by political nominations for a regulatory agency's presidency?

Economists have argued that regulation is the appropriate approach to maintain output in its economically efficient level in a natural monopoly, and that can be achieved by submitting these companies to regulatory agencies’ decisions. The autonomous agencies are, however, not free in an absolute sense, and it is important to ask what the priorities of the new administration are. One answer is that it is designed to give leeway and powers of discretion to unbiased professionals with expertise in their field. In practice, however, professional experts might often be politically motivated. The objective of this study is to investigate whether political nominations to the presidency of regulatory agencies, rather than technical appointments, affect the level of regulatory risk. In order to achieve this purpose, an event study was performed, where the regulatory risk in a political nomination will be compared to a technical nomination, in terms of abnormal return.

Share bidding auctions, sliding scale royalty rates and the new brazilian regulatory framework for the pre-salt areas

O governo brasileiro recentemente aprovou uma legislação instituindo um novo marco regulatório para as reservas petrolíferas do pré-sal. Segundo as novas regras, estas áreas deverão ser licitadas mediante um leilão de partilha de lucro. Motivado por esta mudança, apresentamos um modelo de leilão de partilha sob afiliação, demonstrando a existência de um equilíbrio monótono em estratégias puras e caracterizando a solução. Alem disso, provamos que este mecanismo gera receita esperada maior ou igual a um leilão de primeiro preço usual. Em seguida, introduzimos no modelo uma função representando taxas de royalties que dependem do valor do objeto. Este instrumento permite uma elevação na receita esperada de ambos os modelos, fazendo com que a diferença entre eles encolha. Finalmente, analisando o novo marco regulatório sob o ponto de vista dos resultados obtidos, concluímos que o antigo modelo de concessão utilizado pelo governo brasileiro é mais adequado e lucrativo.

Regulatory reform in the brazilian railway sector and concession valuation: a preliminary assessment

Trabalho apresentado na 4th Conference on the Regulation of Infrastructures

Regulatory reform in the brazilian railway sector and its potential effects

Trabalho apresentado no Law and Society Annual Conference, 2015

Regulatory reform in the brazilian railway sector: a preliminary assesment

Escola de Direito do Rio de Janeiro da Fundação Getulio Vargas