Analysis of multi-scale systemic risk in Brazil's financial market

This work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique allows to analyze the relationship between different time horizons, since the short-term ones (2 to 4 days) up to the long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. As the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, it would be expected this relationship to be positive. That is, higher systematic risk should result in higher excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. The scales that proved to be most significant to the risk-return relation were the first three, which corresponded to short-term time horizons. When treating differently, year-by-year, and consequently separating positive and negative premiums, some relevance is found, during some years, in the risk/return relation predicted by the CAPM. However, this pattern did not persist throughout the years. Therefore, there is not any evidence strong enough confirming that the asset pricing follows the model.

Relationship between the price of fish and its quality attributes: a study within a community at the University of São Paulo, Brazil

The aim of this study was to evaluate the associations between the products' market price and attributes related to fish purchase and consumption within a university community in Brazil. A structured questionnaire consisting of a five-point Likert scale was used. It was previously tested and made available to the university community via the Internet. The sample comprised 1966 voluntaries including university students and faculty and staff members. A descriptive analysis of data was performed using Spearman's correlation analysis. The results showed that the majority of the respondents (56%) consume fish at home; some consume fish at restaurants (39%), and 5% at family or friends' houses, reinforcing the idea that variables such as culture and reference groups are fundamental determinants of purchase and consumption behavior. It was identified a significant (p < 0.001) and very strong correlation between the attributes price and nutritional value (r = 0.92); price and availability at the usual places of purchase (r = 0.92); price and packaging (r = 0.92); price and brand name (r = 0.91); and price and of the Federal Inspection stamp (r = 0.91) and a low positive correlation (p < 0.001) between the price variable and the initiative for fish traceability (r = 0.16). This study demonstrated that the price of fish is associated with the quality of the product and the attributes related to it such as packaging, nutritional value, and availability of the product in the market.

The tale of a Trojan horse or the quest for market access? China and the World Trade Organization

In 2001, China finally joined the WTO. The accession of China was looked forward to by many WTO members and China itself. However, observers had some fears that the Chinese accession would prove to be a Trojan horse, disrupting the working of the WTO. This paper looks into the Chinese accession and its involvement in the WTO Dispute Settlement and argues that these fears seem so far to be unfounded.

Relationship between fruit traits of custard apple trees (Annona squamosa L.)

The objective of this study was to estimate simple and partial coefficients of correlation, as well as to divide their effects into direct and indirect using path analysis for custard apple tree traits. Twenty half-sibling progenies were evaluated in a randomized block design with five replicates, and plots consisting of four plants. Six traits were evaluated in the first cropping season (mean number of seeds per fruit and mean weight of the pericarp, pulp, pedicel, seeds per fruit, and the whole fruit), while five traits were evaluated in the first three cropping seasons (mean fruit length and width, total number of fruits ha-1, mean fruit weight (in both types of analyses), and fruit yield in kg ha-1). The results of this work led to the conclusion that doing selection based on simple correlation estimates may not be convenient, since not always a cause and effect relationship can be verified between two traits. Positive correlations were obtained between number of seeds and seed weight, and between number of fruits and yield. The greatest direct effects were those obtained for pulp weight on fruit weight and for mean number and weight of fruits on fruit yield. The most important indirect effects were obtained for number of seeds and pericarp weight, obtained via pulp weight, on fruit weight, and for fruit length and width, obtained via mean fruit weight, on fruit yield.

Options listing and the volatility of the underling asset: a study on the derivative market function

There are basic misunderstandings on derivative markets. Some professionals believe that they are a kind of casinos and have no utility for the investors. This work looks at the effects of options introduction in the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk leveI. Our results are the same found in the US and other markets: the options introduction reduces the stocks volatility. We also found that there is a slight indication that the volatility becames more stochastic with this alternative.

An optimal level of technology reliance on foreign partners in a global sourcing partnership: components procurement, technology management and market performance

Existing studies on global sourcing strategy have implicitly adopted a cJosed-systems perspective in which sourcing activities are managed within a multinational company across national boundaries. Produd and process innovations and components procurement that are jointly managed by a consortium of cooperating firms have not been examined. In this paper, we empiricallyexamine the issues concerning sourcing partnerships in an open-systems perspective. Findings suggest that even in a sourcing partnership arrangement with a foreign supplier, the principal firm's ability to procure and control the supply of major components has a positive bearing on its market performance.

Market timing e avaliação de desempenho dos fundos brasileiros

Este trabalho avalia o desempenho de fundos de investimento brasileiros pelo seu market timing, ou seja, pela capacidade de os gestores anteciparem diferenças de retorno das ações em relação a um ativo de renda fixa. Utilizam-se testes - paramétrico e não-paramétrico - desenvolvidos por Henriksson e Merton para a análise do desempenho de 243 fundos, no período de setembro de 1998 a outubro de 2003. Encontra-se evidência de habilidade de market timing para uma minoria de gestores de fundos, resultado que aparentemente se deve à maior facilidade de se preverem grandes diferenças de retorno entre o mercado acionário e a taxa de juros livre de risco.

Transaction costs: an empirical analysis of their relationship with investment and foreign direct investment

As stated by the New Institutional Economics theory, transaction costs play a relevant role in economics and, according to the extent of such costs, agents make investment decisions. Actually, transaction costs may represent a disincentive to entrepreneurship. This work aims to verify whether transaction costs are related to investment rate and foreign direct investment rate (FDI) in different business environments. The results suggest that foreign investors do not have precise information about other countries as domestic investors do; as it is observed, only the relation between transaction costs and investment rate is significant. Furthermore, there is evidence that the business environments of BRIC countries are less developed when compared to business environments of other countries in the study

Key factors in working capital management in the Brazilian market

Many studies have been conducted in corporate finance regarding long-term investment and financing decisions. However, short-term asset investments play a significant role in the balance sheet of companies. Moreover, financial managers dedicate significant amounts of time and effort to the subject of working capital management, balancing current assets and liabilities. This paper provides insights regarding the key factors of working capital management by exploring the internal variables of a number of companies. This study used data from 2,976 Brazilian public companies from 2001 to 2008, and found that debt level, size and growth rate can affect the working capital management of companies.

Is category management in small supermarkets worth the effort?

Category management (CM) is an important tool to strengthen the relationship between manufacturers and retailers. This process has been associated with large corporate retailers; however, some recent researches show that CM is open to companies of any type or size. This possibility is important in emerging markets, where neighborhood supermarkets are still representative and are often considered an alternative for manufacturers to achieve higher margins compared to big chains. In this context, the aim of this research was to analyze the results of a CM initiative in small neighborhood supermarkets from a manufacturer perspective. Data for the study comes from a food manufacturer in Brazil that implemented a CM process with 180 small retailers. A quantitative analysis was conducted in order to analyze the effect of the program on the food manufacturer' s sales and market share. Our analysis suggests an overall positive effect of the program on both, sales and market share.

Earnings management and economic crises in the brazilian capital market

The 2008 economic crisis challenged accounting, either demanding recognition and measurement criteria well adjusted to this scenario or even questioning its ability to inform appropriately entities' financial situation before the crisis occurred. So, our purpose was to verify if during economic crises listed companies in the Brazilian capital market tended to adopt earnings management (EM) practices. Our sample consisted in 3,772 firm-years observations, in 13 years - 1997 to 2009. We developed regression models considering discretionary accruals as EM proxy (dependent variable), crisis as a macroeconomic factor (dummy variable of interest), ROA, market-to-book, size, leverage, foreign direct investment (FDI) and sector as control variables. Different for previous EM studies two approaches were used in data panel regression models and multiple crises were observed simultaneously. Statistics tests revealed a significant relation between economic crisis and EM practices concerning listed companies in Brazil in both approaches used.

O efeito da distribuição sobre o market share em diferentes canais

Apesar dos avanços nos estudos sobre os efeitos das estratégias de canais de distribuição, a relação entre distribuição e participação de mercado é ainda um tópico pouco explorado, especialmente em mercados emergentes. Por essa razão, a proposta central deste artigo é investigar a relação entre a variáveis de distribuição e market share no mercado brasileiro, especificamente no setor de bebidas, comparando dois importantes tipos de canais do mercado de consumo: grandes e pequenos supermercados. Para tanto, foi conduzida uma pesquisa empírica com base em um banco de dados contando com mais de 180 Stock Keeping Unit (SKUs) comercializados por três fabricantes na região sudeste do Brasil. Por meio de análises estatísticas, os resultados indicam existir uma relação convexa e crescente entre as variáveis estudadas, ou seja, existe um ponto de inflexão no qual o crescimento do market share é mais acentuado em razão da distribuição. Além disso, verificou-se que as curvas que descrevem essas variáveis apresentam efeitos diferentes quando comparados grandes e pequenos supermercados.

Dependence relationship between the critical quality factors and social impact

This paper shows the results of the empirical study conducted in 186 tourist accommodation businesses in Spain certified under the "Q for Tourist Quality", own System Quality Management. It was raised with the purpose of analyzing the structure of the relationship between critical quality factors and results-social impact, how they operate and the level of their influence on obtaining these results within the company. Starting from a deep theoretical revision we propose a theoretical model together with the hypotheses to be tested, and we proceed to validation using the technique of Structural Equation Models. The results obtained show that companies wishing to improve their social impact should take into account that leadership is the most important factor to achieve it. Leadership indirectly affects the social impact through its influence on alliances and resources, quality policy/planning, personnel management and learning.

CORPORATE SOCIAL RESPONSIBILITY AND FINANCIAL PERFORMANCE: THE SPANISH CASE

ABSTRACT The enormous interest aroused by corporate social responsibility both in the academic and the business worlds forms the background for this study. Its objective is to analyze the relationship between corporate social responsibility and financial performance in view of the debate in the literature on the subject. The study focuses on a sample of Spanish companies taken from the IBEX 35 stock market index, using panel data methodology, which offers advantages in comparison to methodologies used in other studies. We analyzed the period from 2003 to 2010. Our findings suggest that there is no obvious relationship between corporate social responsibility and financial results, at least in the case of Spain.