Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

Análise da eficiência de contratos de serviços de elevada especificidade terceirizados pela petrobras

The definition of the boundaries of the firms is subject that has occupied the organizational theorists long ago, being the seminal work of Coase (1937) indicated as the trigger for one theoretical evolution, with emphasis on governance structures, which led to a modern theory of incomplete contracts. The Transaction Cost Economics (TCE) and Agency Theory arise within this evolution, being widely used in studies related to the theme. Empirically, data envelopment analysis (DEA) has established itself as a suitable tool for analysis of efficiency. Although TCE argues that specific assets must be internalized, recent studies outside the mainstream of theory show that, often, firms may decide, for various reasons, hire them on the market. Researches on transaction costs face with the unavailability of information and methodological difficulties in measuring their critical variables. There`s still the need for further methodological deepening. The theoretical framework includes classic works of TCE and Agency Theory, but also more recent works, outside the mainstream of TCE, which warn about the existence of strategies in use of specific assets that aren`t necessarily aligned with the classical ideas of TCE. The Brazilian oil industry is the focus of this thesis, that aimed to evaluate the efficiency of contracts involving high specificity service outsourced by Petrobras. In order to this, we made the categorization of outsourced services in terms of specificity, as well the description of services with higher specificity. Then, we verified the existence of relationship between the specificity of services and a number of variables, being found divergent results than those that are preached by the mainstream of TCE. Then, we designed a DEA model to analyze the efficiency in the use of onshore drilling rigs, identified among the services of highest specificity. The next step was the application of the model to evaluate the performance of drilling rigs contracts. Finally, we verified the existence of relationship between the efficiency of contracts and a number of variables, being found, again, results not consistent with the theory mainstream. Regarding to analyze of efficiency of drilling rigs contracts, the model developed is compatible with what is found in academic productions in efficiency of drilling rigs. The results on efficiency show a wide range of scores, with efficiencies ranging from 31.79% to 100%, being low the sample efficiency average. There is consonance between the model results and the practices adopted by Petrobras. The results strengthen the DEA as an important tool in studies of efficiency with possibility to use for analysis other types of contracts. In terms of theoretical findings, the results reinforce the arguments that there are situations in which the strategies of the organizations, in terms of use of assets and services of high specificity, do not necessarily follow what is recommended by the mainstream of TCE

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda lina do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Eficiência e razão de hedge: uma análise dos mercados futuro brasileiros de boi, café, etanol, milho e soja

This research aims to investigate the Hedge Efficiency and Optimal Hedge Ratio for the future market of cattle, coffee, ethanol, corn and soybean. This paper uses the Optimal Hedge Ratio and Hedge Effectiveness through multivariate GARCH models with error correction, attempting to the possible phenomenon of Optimal Hedge Ratio differential during the crop and intercrop period. The Optimal Hedge Ratio must be bigger in the intercrop period due to the uncertainty related to a possible supply shock (LAZZARINI, 2010). Among the future contracts studied in this research, the coffee, ethanol and soybean contracts were not object of this phenomenon investigation, yet. Furthermore, the corn and ethanol contracts were not object of researches which deal with Dynamic Hedging Strategy. This paper distinguishes itself for including the GARCH model with error correction, which it was never considered when the possible Optimal Hedge Ratio differential during the crop and intercrop period were investigated. The commodities quotation were used as future price in the market future of BM&FBOVESPA and as spot market, the CEPEA index, in the period from May 2010 to June 2013 to cattle, coffee, ethanol and corn, and to August 2012 to soybean, with daily frequency. Similar results were achieved for all the commodities. There is a long term relationship among the spot market and future market, bicausality and the spot market and future market of cattle, coffee, ethanol and corn, and unicausality of the future price of soybean on spot price. The Optimal Hedge Ratio was estimated from three different strategies: linear regression by MQO, BEKK-GARCH diagonal model, and BEKK-GARCH diagonal with intercrop dummy. The MQO regression model, pointed out the Hedge inefficiency, taking into consideration that the Optimal Hedge presented was too low. The second model represents the strategy of dynamic hedge, which collected time variations in the Optimal Hedge. The last Hedge strategy did not detect Optimal Hedge Ratio differential between the crop and intercrop period, therefore, unlikely what they expected, the investor do not need increase his/her investment in the future market during the intercrop

Análise do custo-benefício de sistemas de cobertas em edificações comerciais para o clima de Natal/RN visando eficiência energética

This research consists in studying the influence of the various type of construction systems of roofs with their energy efficiency as well as on the cost benefit for the commercial buildings on the temperatures condition of the city of Natal/RN. The main goal of this research is to analyze the cost benefit of the construction systems of roofs available on the market, taking into consideration the energy efficiency of the commercial buildings artificially air conditioned in order to be used by the projectors and to be adequated to the temperatures condition of the city of Natal/RN. The method of valuation of the cost benefit of roof systems consists in six steps: Features and simulation of the reference building; Analyze of sensitivity; Analyzes, features and simulation of alternatives of roof construction systems; Analyze of the cost of implementation; Analyze of the benefits of the alternatives comparing to the base case; And finally the analyze of the cost benefit. The model type chosen as reference was stores with pre molded buildings and system of roof with fiber ciment and ceiling . The thermal results showed the influence of the roof system on the energy efficiency of the building. The Final results of the simulations of the alternatives comes to a conclusion that the absortance is the variable that presents the best cost benefit relation and the reduction on the thermal transmittance still has limitations because of the high cost

Uma avaliação política da política de avaliação da educação superior brasileira

We had as the problem of analysis in this research: what are the assumptions, principles and general content that based the Sistema Nacional de Avaliação da Educação Superior (SINAES). We started from the hypothesis that the general content of SINAES is essentially based on the assumptions and principles of a control/regulatory perspective of evaluation and a summative epistemology, objectivist and quantitativist, constituted by members who prioritize testing and classification of courses and institutions based on market values. The overall goal was to make a political evaluation of SINAES and the specific objectives were: a) apply the concepts of politics evaluation and meta-evaluation, b) identify the role of international organizations in education reform in the 1990s and its impact on superior education in Brazil c) redeem the concept of evaluation, especially in the field of studies in education; and d) investigate the evaluation policies of Brazilian superior education leading to SINAES. As for the technical procedures for collecting and analyzing data, the research was made with bibliography and documents, considering that it was developed by bibliographic sources and official publications. It was developed by crossing sources: texts or documents remitted to others; it was also concentrated: on the role of international organizations in educational and State reforms (in the 1990s); on the policies of evaluation of the Brazilian superior education (1980s and 1990s); on the proposal of the Comissão Especial de Avaliação (CEA); on the Law No. 10.861/2004; on the documents of CONAES; on the Decree No. 5.773/2006, and the MEC Regulatory Ordinances No. 4/2008 and No. 12/2008. It did not stop in the so called purely technical aspects, but in the ideological field itself. The research found that international organizations, notably the World Bank, played a political, intellectual and financial role determinant to the field of education, a fact that reflects in the legal framework. It was also found that the politics of evaluation of the superior education is historically marked by conflict, represented by two distinct perspectives of different natures and emphases. On one hand, the focus is on control / regulation, favoring efficiency, productivity and competitiveness benchmarking and prioritizing the punctual performance and measurement. On the other, it seeks to transform academic perspective in primarily formative / emancipatory, in order to support more institutional improvement. It was concluded that the CEA presented a conception evaluation predominantly formative and emancipatory, which emphasized the idea of system, centered around the institution and repudiated the rankings practices. In the post-formulation period, however, some of its principles were fragmenting and, gradually, the institution was giving way to the courses and the Exame Nacional de Desempenho de Estudantes (ENADE) grew in prominence. With the creation of the Conceito Preliminar de Cursos superiores (CPC) and of the Índice Geral de Cursos da Instituição de Educação Superior (IGC), it was redemeed the practice of evaluation as measurement and control, under the principles of efficiency and productivity. So, SINAES that seemed like a progressive evaluation method has assumed a setting that close resembles the Exame Nacional de Cursos (ENC-Provão). Nevertheless, the survival of institutional formative evaluation, in the superior education evaluation policies, still an issue in dispute

A alteração do tipo penal de adulteração de combustíveis: reflexo da constitucionalização do direito penal no mercado de combustíveis

The neoconstitutionalism led to a process of ethical revaluation of the normative systems and the process of constitutionalization of the many fields of law. This study examines the consequences of this process in criminal law, so important a Law field for the protection of the most valuable assets by the society, including the fundamental guarantees, thus emphasizing the necessity of protection of the collective and individual rights, which are guided by the observance of the defendants individual rights in the course of criminal proceedings and the search for the best efficiency of penal protection, according to the corollaries of defense against the state (prohibition of the excess or Übermassverbot) and the provision of rights by the state (prohibition of insufficient protection or Untermassverbot). The offense of fuel adulteration is taken as an object of study, since it is a vital market to a nation dependent of people and good s movement for their living, driven by fossil and biofuels. Such a crime affects essential legal interests to the development of society, interests such as the environment, consumer relations and economic order, particularly the principle of free competition. This paper seeks to analyze the need of a greater efficiency of this particular criminal protection, once concluded the conduct harm and social fear as a consequence by it as growing, and therefore having its former crime type, engraved in Article 1 of Law No. 8.176/1991, rewritten in compliance with the criminal law s principle of legality. Thus, the reformation proposals and legislative creation involving this crime were observed, with emphasis on the bill No. 2498/2003, which keeps it as blank heterogeneous criminal norm, kind of penal normative whose constitutionality is raised, including the forethought of criminal responsibility in the perpetrating of the offense as culpable and subsequently increasing the applicable minimum penalty, as well as the inclusion of new activities in the typical nucleus

Entre o mercado e a construção social: uma análise da experiência da implantação doPRONAF-infraestrutura e PRONAT nos territórios do Mato Grande-RN e sertão do Apodi-RN (1997 - 2010)

Analyzes the development experience in the Territories of Mato Grande and Sertão do Apodi in the state of Rio Grande do Norte, evaluating the actions of the National Program for Strengthening Family Agriculture, specifically the line of infrastructure (PRONAF-INFRA), and the National Program for Sustainable Development of Rural Territories (PRONAT) in these territories. Summarizes the various rural development approaches and takes the theoretical assumptions of territorial development, the concept of constructed territory and market-plan territory, further the cycle model to analyze public policies selected these experiences. Thus, we propose to test the hypothesis that most of the actions implemented would lead to the formation of market-plan territories, in other words, perceived only as a platform for the presentation of projects. The literature and documents, combined with case studies, interviews and direct observation of the meetings of committees, showed that, despite two boards are under the same laws, rules and formal regulations, have clear differences when considering the theory and concepts that were used as reference. The Apodi s territory is closer to a constructed space thus the search for a broader agenda, more autonomous and more appropriate to the reality experienced by local actors. On other hand the Territory of Mato Grande had the characteristics of a market-plan territory more present. As the result, the territory of Sertão do Apodi accesses not only as part of a greater number of policies and funding sources, ensuring a greater and more diverse investment volume than the territory of Mato Grande. Despite these differences, studies have shown that territorial boards surveyed are still far from becoming the main forum for managing the development from conception planning socially constructed. Showed, finally, that territorial development strategy is relevant, but requires a long walk and a deep and continuous learning process to be successfully implemented in rural areas of Northeast Brazil

Educação profissional: a expansão recente do IFRN e a absorção local dos egressos no mercado de trabalho

This study aims to analyze how IFRN s process of interiorization contributes to endogenization of local and territorial development, more precisely in terms of graduates absorption into the labor market, form of inclusion and increase of income and welfare. The research premise is that the policy of interiorization and expansion of professional and technology education, by decentralizing opportunities, create a differential for the educational and professional trajectory of part of the graduates. This training, however, retain a relative connection with the productive potentialities in the coverage territories. This study includes a review of the literature on education and labor market and a discussion about the role of technical and professional formation for the local development versus the logic of the free market, considering the expansion of public spending for this purpose. For this study two sets of information and data have been collected primarily, with qualitative and quantitative nature. The research with qualitative focus, entitled Pesquisa de Avaliação da Expansão (PAEX), is constituted by series of open interviews applied to institutional representatives, with the purpose of knowing aspects of the interiorization repercussion in the local development process. The research designed to quantity analysis, entitled of the Pesquisa de Acompanhamento de Egressos (PAE), have been put in practice by applying online questionnaire with closed questions to IFRN s former students, aiming to know the form of insertion of the graduates in the labor market and the formation capacity of increasing the welfare, among other things. Empirical data and information fully confirmed the hypothesis of this study, for they really demonstrated that the expansion policy decentralizes opportunities and constitutes an important differential for the professional trajectory of a significant portion of the graduates. However, the graduates employability in the labor market in their territories of coverage is below expectations, due to structural problems of the local economy related to scarcity of jobs, difficulty in wage growth and in professional development. Complementarily, it has been observed institutional difficulties related to the recent implantation process of the policy of professional and technical education in the various campuses of the Institution

Análise de retorno de escala e tamanho do mercado no desempenho de equipes de vendas aplicando análise de envoltória de dados DEA: um estudo em empresa de Telecomunicações no Brasil

This Master s Thesis proposes the application of Data Envelopment Analysis DEA to evaluate the performance of sales teams, based on a study of their coverage areas. Data was collected from the company contracted to distribute the products in the state of Ceará. Analyses of thirteen sales coverage areas were performed considering first the output-oriented constant return to scale method (CCR-O), then this method with assurance region (AR-O-C) and finally the method of variable returns to scale with assurance region (AR-O-V). The method used in the first approach is shown to be inappropriate for this study, since it inconveniently generates zero-valued weights, allowing that an area under evaluation obtain the maximal score by not producing. Using weight restrictions, through the assurance region methods AR-O-C and AR-O-V, decreasing returns to scale are identified, meaning that the improvement in performance is not proportional to the size of the areas being analyzed. Observing data generated by the analysis, a study is carried out, aiming to design improvement goals for the inefficient areas. Complementing this study, GDP data for each area was compared with scores obtained using AR-O-V analysis. The results presented in this work show that DEA is a useful methodology for assessing sales team performance and that it may contribute to improvements on the quality of the management process.

O princípio da eficiência administrativa na regulação da prestação do serviço de voz sobre internet - VoIP

The present work aims to demonstrate the link of the principle of efficiency - as expressed in the Constitution of 1988, by Constitutional Amendment No. 19 - with regulatory agencies, more specifically the ANATEL (National Telecommunications Agency). It also includes this principle’s importance to regulation - to monitor and manage public services - as well as when an activity will be considered efficient, keeping in mind that agencies are subjected to other principles of public administration. The increasing use of telephony has enabled further development of technologies that provide improvements in the provision of this service. The VoIP (Voice over IP), is nothing more than a technological breakthrough that directly targets the providers of conventional telephone service, both by modifying the business working for a long time with the same technology as the amount of new competitors’ dispute on market share. It also analyses the difficulty of understanding and definition of what is VoIP telephony, its growth and the threats that the traditional and mostly which is ANATEL’s role concerning this telephony technology. As regulator of the telecommunications service, ANATEL not yet regulated the voice telephony service using the IP protocol. What looks over the years is that ANATEL exercise its regulatory function to provide better conditions for competition among providers of VoIP and traditional telephone companies, obviously some difficulties are expected, given that VoIP is a technology that provides two services, through conventional telephony and using the internet.

Fusões e aquisições no Brasil: análise dos efeitos em mercado de capitais

This study investigated the impact caused by events horizontal mergers and acquisitions (M&As) horizontal, in the stock returns of the participating companies and competitors regarding the creation or destruction of value for those firms in Brazil, from 2001 to 2012. For this, first was used the event study methodology to estimate abnormal returns in stock prices; after was conducted an analysis multiple regression. The results of the event study showed that using sub-periods for the data, before and after the crisis period, the effects were different for the target-before negative, after positive. Regarding the acquirer and competitors, the results were constant. For acquirer firms, the returns were close to zero, while for the competitors were negative. Furthermore, the regression results regarding the bidder showed that firms invested in processes of M&As to obtain a further increase its efficiency. Furthermore, this study indicated that the leverage of the bidder plays is important for creating value in acquisitions, when they has a higher Tobin’s Q. The results of target firms showed that a small firm had a better return than large firm did.

Um olhar sobre a música gospel: a lógica simbólica e de mercado do Ministério de Louvor Diante do Trono

This study aims to understand how the gospel music genre - based on the gospel band Ministério de Louvor Diante do Trono - articulates itself to the logic of the market by its insertion in the music industry and use of symbolic logic in the available songs of their Cds and DVDs. Our research is a case study, methodologically being the descriptive analysis of the production process, distribution and broadcasting of the band's CDs and functional analysis of the music that permeates the entire thesis. The following songs are presented as an analytical corpus: Preciso de Ti,Quero me Apaixonar, Tua Visão, Creio, Tu Reinas e Tetelestai. Our hypothesis is that religious institutions - as a field responsible for the structure which maintains gospel artists - experiences a new dynamic that consists of a superficial modernity, ratified in the ways the symbolic goods produced communicate, that is, simulate a religious modernity maintaining traditional values regarding the dogmas of religion , but incorporate business and advertising procedures in the dissemination of its products The results point to gospel music as mediation, part of the religious ritual sometimes as prayer and other as preaching, stimulating consumption and entertainment, and performing as a device in the making of symbolic goods.

Análise da eficiência de contratos de serviços de elevada especificidade terceirizados pela petrobras

The definition of the boundaries of the firms is subject that has occupied the organizational theorists long ago, being the seminal work of Coase (1937) indicated as the trigger for one theoretical evolution, with emphasis on governance structures, which led to a modern theory of incomplete contracts. The Transaction Cost Economics (TCE) and Agency Theory arise within this evolution, being widely used in studies related to the theme. Empirically, data envelopment analysis (DEA) has established itself as a suitable tool for analysis of efficiency. Although TCE argues that specific assets must be internalized, recent studies outside the mainstream of theory show that, often, firms may decide, for various reasons, hire them on the market. Researches on transaction costs face with the unavailability of information and methodological difficulties in measuring their critical variables. There`s still the need for further methodological deepening. The theoretical framework includes classic works of TCE and Agency Theory, but also more recent works, outside the mainstream of TCE, which warn about the existence of strategies in use of specific assets that aren`t necessarily aligned with the classical ideas of TCE. The Brazilian oil industry is the focus of this thesis, that aimed to evaluate the efficiency of contracts involving high specificity service outsourced by Petrobras. In order to this, we made the categorization of outsourced services in terms of specificity, as well the description of services with higher specificity. Then, we verified the existence of relationship between the specificity of services and a number of variables, being found divergent results than those that are preached by the mainstream of TCE. Then, we designed a DEA model to analyze the efficiency in the use of onshore drilling rigs, identified among the services of highest specificity. The next step was the application of the model to evaluate the performance of drilling rigs contracts. Finally, we verified the existence of relationship between the efficiency of contracts and a number of variables, being found, again, results not consistent with the theory mainstream. Regarding to analyze of efficiency of drilling rigs contracts, the model developed is compatible with what is found in academic productions in efficiency of drilling rigs. The results on efficiency show a wide range of scores, with efficiencies ranging from 31.79% to 100%, being low the sample efficiency average. There is consonance between the model results and the practices adopted by Petrobras. The results strengthen the DEA as an important tool in studies of efficiency with possibility to use for analysis other types of contracts. In terms of theoretical findings, the results reinforce the arguments that there are situations in which the strategies of the organizations, in terms of use of assets and services of high specificity, do not necessarily follow what is recommended by the mainstream of TCE