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

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.

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

Eficiência técnica dos produtores familiares no Projeto de Irrigação do Baixo Açu/RN

SILVA, Jorge Luiz Mariano da. Eficiência técnica dos produtores familiares no projeto de irrigação do Baixo Açu/RN.In: CONGRESSO SA SOCIEDADE BRASILEIRA DE ECONOMIA E SOCIOLOGIA RURAL,42., 2004, Cuiabá - MT. Dinâmcias Setorias e Desevolvimento Regional, 2004.

Previsão do índice bovespa por meio de redes neurais artificiais: uma análise comparada aos métodos tradicionais de séries de tempo

Forecast is the basis for making strategic, tactical and operational business decisions. In financial economics, several techniques have been used to predict the behavior of assets over the past decades.Thus, there are several methods to assist in the task of time series forecasting, however, conventional modeling techniques such as statistical models and those based on theoretical mathematical models have produced unsatisfactory predictions, increasing the number of studies in more advanced methods of prediction. Among these, the Artificial Neural Networks (ANN) are a relatively new and promising method for predicting business that shows a technique that has caused much interest in the financial environment and has been used successfully in a wide variety of financial modeling systems applications, in many cases proving its superiority over the statistical models ARIMA-GARCH. In this context, this study aimed to examine whether the ANNs are a more appropriate method for predicting the behavior of Indices in Capital Markets than the traditional methods of time series analysis. For this purpose we developed an quantitative study, from financial economic indices, and developed two models of RNA-type feedfoward supervised learning, whose structures consisted of 20 data in the input layer, 90 neurons in one hidden layer and one given as the output layer (Ibovespa). These models used backpropagation, an input activation function based on the tangent sigmoid and a linear output function. Since the aim of analyzing the adherence of the Method of Artificial Neural Networks to carry out predictions of the Ibovespa, we chose to perform this analysis by comparing results between this and Time Series Predictive Model GARCH, developing a GARCH model (1.1).Once applied both methods (ANN and GARCH) we conducted the results' analysis by comparing the results of the forecast with the historical data and by studying the forecast errors by the MSE, RMSE, MAE, Standard Deviation, the Theil's U and forecasting encompassing tests. It was found that the models developed by means of ANNs had lower MSE, RMSE and MAE than the GARCH (1,1) model and Theil U test indicated that the three models have smaller errors than those of a naïve forecast. Although the ANN based on returns have lower precision indicator values than those of ANN based on prices, the forecast encompassing test rejected the hypothesis that this model is better than that, indicating that the ANN models have a similar level of accuracy . It was concluded that for the data series studied the ANN models show a more appropriate Ibovespa forecasting than the traditional models of time series, represented by the GARCH model

Avaliação da eficiência dos programas de pós-graduação acadêmicos em administração, contabilidade e turismo

The Triennial Evaluation of Coordination for the Improvement of Higher Education Personnel (CAPES) is made according to several indicators, divided into several issues and items, and their weights. In these it is evident the importance of scientific periodicals. This study aims to evaluate the relative efficiency of post-graduate students in Business Administration, Accounting and tourism evaluated by CAPES in Brazil. The methodology used the data envelopment analysis - DEA (Data Envelopment Analysis). The data were obtained from the site and organized by the CAPES Qualis score. The analysis was performed by the DEA variable returns to scale, product-oriented (BCC-O), with data from the three-year periods 2004-2006 and 2007-2009. Among the main results are the average increase significantly the relative efficiency of the programs in the period 2007-2009 compared to 2004-2006 period, the highest average efficiency of programs linked to public institutions in relation to private, doctoral programs with the present average efficiency sharply higher than those only with masters, and senior programs in general were more efficient. There is also moderate and significant correlation between the efficiency scores and concepts CAPES. The Malmquist index analysis showed that more than 85% of programs had increased productivity. It is noteworthy that the main effect that influences the increase of the Malmquist index is the displacement of the border (Frontier-shift)

Estudo clínico-laboratorial e histopatológico de cães naturalmente infectados por Leishmania chagasi com diferentes graus de manifestação física

Canine Visceral Leishmania (CVL) is an important zoonotic disease that has a world wide distribution and has a large impact on public health on the American Continent, especially in Brazil, where the nature of endemic diseases in humans affects a large part of the nation. The influence of the prevalence of CVL in the increased rate of human cases in endemic areas and in the unleashing of epidemic outbreaks shows the need for a more profound understanding, that would generate significant advances in the current measures used to control the reservoirs of sickness that are practiced by the Programa Nacional de Vigilância e Controle da Leishmaniose Visceral. The present work describes and compares the clinical-laboratorial and histopathological findings of twenty-three dogs that were naturally infected by Leishmania chagasi, from endemic areas in metropolitan Natal, Rio Grande do Norte, Brazil. These animals, that were selected and given physical and serological exams (IFI and ELISA rK-39), were classified according to the degree of clinical severity and had blood samples drawn (whole blood and serum) for a complete hemogram and a coagulogram to be done as well as biochemical tests for kidney and liver function. The confirmation of infection by L. chagasi was done after the euthanasia of the animals, through the direct demonstration of the parasite in the impression of the spleen and liver crowned with GIEMSA and through a cultivation by means of NNN/Schneider. According to the clinical evaluation, the animals were classified as asymptomatic (7), oligosymptomatic (7) and polysymptomatic (9). Among the animals that were chosen to be autopsied, there were 2 asymptomatic, 3 oligosymptomatic and 3 polysymptomatic, for the purpose of studying their histopathology, having collected fragments of the spleen, liver, kidneys and skin and were fixed in 10% tamponed formol. The comparison between the average parameters of the clinical-laboratory tested animals in the groups was done through the Student t test (a<0.05). The main clinical signals observed were lymphadenomegaly, alopecy, dermatitis, exfoliation, cutaneous ulcers, onicogriphosis and emaciation. The main clinical-laboratorial alterations established, mainly in the polysymptomatic group, were anemia, hyperproteinemia, hyperglobulinemia, alterations in the albumin/globulin ratio and increased ALT activity. Renal alterations were not verified (urea and creatinine levels were normal). Thrombocytopenia was observed in three clinical groups. However, the other indicators of coagulation function (TAP and TTPA) did not have abnormal variations. There were inflammatory infiltrations and leishmania amastigotes in the skin of polysymptomatic dogs, however, they were not found in the skin of asymptomatic animals. Hypertrophy and hyperplasia of the phagocyte mononuclear system, leishmania amastigote parasites were found in the macrophages, extramedullary hematopoiesis and degenerative alterations were detected in the spleen and liver of 8 of the animals submitted to histopathological exams. In accord with these results, it was demonstrated that the expected alterations in the hematological and biochemical parameters in function of their viscerotropic nature of CVL are mainly observed in the more advanced stages of the disease. The absence of inflammatory infiltration and parasite load in the skin suggest that infected animals without symptoms may have an importance irrelevant to the infectiousness of the vector

Eficiência nos gastos públicos em educação fundamental: uma análise nos municípios do estado do Rio Grande do Norte, 2007 e 2011

This paper aims to measure the degree of efficiency in the allocation of public resources in education from the FUNDEB in elementary education in the towns of Rio Grande do Norte in 2007 and 2011. To do so, we must determine to evaluate the efficiency in the allocation of public resources in municipal education in the early and last grades of elementary education; verify that the towns that achieved higher levels of efficiency that were allocated the largest volumes of resources in primary education and analyze which towns reached the worst and the best levels of efficiency in the allocation of public resources in education. This is on the assumption that the relation between the educational policies of local governments and concern for efficiency in the allocation of resources in education is limited only to increase spending on education. It is intended from the model of Data Envelopment analysis, (DEA), with Variable Returns to Scale (VRS), estimate the efficiency of spending on education and municipal pubic purging the problem of outliers. Estimations show that the municipalities of Rio Grande do Norte do not allocate their resources in public elementary education efficiently

Avaliação de economias de escala e escopo no desempenho de equipes de serviços 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 economies of scale and economies of scope in the performance of service teams involved with installation of data communication circuits, based on the study of a major telecommunication company in Brazil. Data was collected from the company s Operational Performance Division. Initial analysis of a data set, including nineteen installation teams, was performed considering input oriented methods. Subsequently, the need for restrictions on weights is analyzed using the Assurance Region method, checking for the existence of zero-valued weights. The resulting returns to scale are then verified. Further analyses using the Assurance Region Constant (AR-I-C) and Variable (AR-I-V) models verify the existence of variable, rather than constant, returns to scale. Therefore, all of the final comparisons use scores obtained through the AR-I-V model. In sequence, we verify if the system has economies of scope by analyzing the behavior of the scores in terms of individual or multiple outputs. Finally, conventional results, used by the company in study to evaluate team performance, are compared to those generated using the DEA methodology. The results presented here show that DEA is a useful methodology for assessing team performance and that it may contribute to improvements on the quality of the goal setting procedure.

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.

Modelo de covariância bayesiana para seleção de protfólios de investimentos

The portfolio theory is a field of study devoted to investigate the decision-making by investors of resources. The purpose of this process is to reduce risk through diversification and thus guarantee a return. Nevertheless, the classical Mean-Variance has been criticized regarding its parameters and it is observed that the use of variance and covariance has sensitivity to the market and parameter estimation. In order to reduce the estimation errors, the Bayesian models have more flexibility in modeling, capable of insert quantitative and qualitative parameters about the behavior of the market as a way of reducing errors. Observing this, the present study aimed to formulate a new matrix model using Bayesian inference as a way to replace the covariance in the MV model, called MCB - Covariance Bayesian model. To evaluate the model, some hypotheses were analyzed using the method ex post facto and sensitivity analysis. The benchmarks used as reference were: (1) the classical Mean Variance, (2) the Bovespa index's market, and (3) in addition 94 investment funds. The returns earned during the period May 2002 to December 2009 demonstrated the superiority of MCB in relation to the classical model MV and the Bovespa Index, but taking a little more diversifiable risk that the MV. The robust analysis of the model, considering the time horizon, found returns near the Bovespa index, taking less risk than the market. Finally, in relation to the index of Mao, the model showed satisfactory, return and risk, especially in longer maturities. Some considerations were made, as well as suggestions for further work

Avaliação da eficiência dos investimentos do programa Inova-RN em micro e pequenas empresas Uma integração da análise envoltória de dados e índice Malmquist

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior

Aprendizado por Reforço com Valores deInfluência em Sistemas Multi-Agente

We propose a new paradigm for collective learning in multi-agent systems (MAS) as a solution to the problem in which several agents acting over the same environment must learn how to perform tasks, simultaneously, based on feedbacks given by each one of the other agents. We introduce the proposed paradigm in the form of a reinforcement learning algorithm, nominating it as reinforcement learning with influence values. While learning by rewards, each agent evaluates the relation between the current state and/or action executed at this state (actual believe) together with the reward obtained after all agents that are interacting perform their actions. The reward is a result of the interference of others. The agent considers the opinions of all its colleagues in order to attempt to change the values of its states and/or actions. The idea is that the system, as a whole, must reach an equilibrium, where all agents get satisfied with the obtained results. This means that the values of the state/actions pairs match the reward obtained by each agent. This dynamical way of setting the values for states and/or actions makes this new reinforcement learning paradigm the first to include, naturally, the fact that the presence of other agents in the environment turns it a dynamical model. As a direct result, we implicitly include the internal state, the actions and the rewards obtained by all the other agents in the internal state of each agent. This makes our proposal the first complete solution to the conceptual problem that rises when applying reinforcement learning in multi-agent systems, which is caused by the difference existent between the environment and agent models. With basis on the proposed model, we create the IVQ-learning algorithm that is exhaustive tested in repetitive games with two, three and four agents and in stochastic games that need cooperation and in games that need collaboration. This algorithm shows to be a good option for obtaining solutions that guarantee convergence to the Nash optimum equilibrium in cooperative problems. Experiments performed clear shows that the proposed paradigm is theoretical and experimentally superior to the traditional approaches. Yet, with the creation of this new paradigm the set of reinforcement learning applications in MAS grows up. That is, besides the possibility of applying the algorithm in traditional learning problems in MAS, as for example coordination of tasks in multi-robot systems, it is possible to apply reinforcement learning in problems that are essentially collaborative

Processos de constituição de subjetividades em práticas discursivas institucionalizadas: entre a disciplina, a performatividade e a biopolítica

Esta es una pesquisa de naturaleza cualitativa de abordaje socio-histórico, con procedimientos etnográficos. Tiene como temática prácticas a constitución de subjetividades en relaciones interdiscursivas entre los discursos propalados por la Medicina Legal con prácticas discursivas de futuros(as) profesionales de la educación. En consecuencia de ese objeto de investigación, establecemos como cuestión central: ¿en qué medida prácticas discursivas producidas por la Medicina Legal producen sentidos en enunciados de alumnos y alumnas del curso de Pedagogía de UFRN, de modo a constituir subjetividades pautadas por el trastorno, por la anormalidad y por la enfermedad? En ese sentido, el objetivo de este trabajo es analizar prácticas discursivas institucionalizadas que constituyen subjetividades del género y sexualidad pautadas por efectos de sentidos que traducen las sexualidades disidentes como trastorno, perversión y anormalidad. Como herramientas teórico-analíticas actualizamos, principalmente, algunas reflexiones de Michel Foucault concernientes a la temática del biopoder y de la disciplina, algunas teorizaciones advenidas de los estudios Queer y nociones del Análisis del Discurso de línea francesa, como el discurso, memoria discursiva e interdiscurso. Los resultados de esta pesquisa demuestran que las subjetividades son constituidas en un proceso que alía el lenguaje de prácticas médicas, científicas, al habla de nuestros(as) colaboradores(as), en una relación interdiscursiva. Así, las subjetividades se constituyen pautadas por la anormalidad, por el trastorno, por la medicalización de las conductas y de los deseos. Todavía, percibimos el cruce de conductas biopolíticas y disciplinarizadoras en ese proceso de constitución de subjetividades, por medio de sanciones y posibles perjuicios que esos individuos anormales causan a la sociedad, justificadas tanto por los discursos de la Medicina Legal, como de los(as) colaboradores(as) de la pesquisa.

Eficácia do aconselhamento no tratamento das disfunções temporomandibulares

The aim of this controlled trial was to evaluate the effectiveness of counseling in pain, function and well-fare outcomes on the management of patients with temporomandibular disorder (TMD). Therefore, 51 consecutive patients were allocated to one of the research groups. In Group I, was instituted counseling therapy for Group II was conducted treatment as usual with occlusal splint. Patients were followed for returns at 7, 15, 30 and 60 days after baseline. At baseline, all patients were examined and assessed RDC/TMD form, which was administered by a single trained and calibrated examiner, in addition, the patients were referred for specific treatment according to the group to which belonged. The clinical and functional impairment was assessed at each visit through the Temporomandibular Index (TMI). In each session, the patients were also surveyed about pain intensity using a Visual Analogue Scale (VAS). To analyze the impact of pain on quality of life, OHIP-14 questionnaire was used. The results showed 26 patients in Group I with a mean age of 35.15 ± 10.79 years. 25 patients were allocated to Group II. The mean age was 27.36 ± 10.34 years. The counseling was effective in reducing the intensity of pain (VAS), with significant improvement observed at 7 day follow-up (p <0.001). The functional impairment (TMI) showed significant results at 15 days follow-up (p = 0.002). Counseling was also responsible for significant improvement in the impact of TMD on quality of life (OHIP-14) at all times of the analysis (p <0.001). When comparing research groups, no significant difference was observed for any of the analyzed indices (p> 0.05) nor in the short term (7 days) neither in long term (60 days). It was concluded therefore that, for the studied sample, counseling consisted in an effective treatment option for the control of signs and symptoms of TMD, with results in the short and long term similar to the usual treatment group.