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.

Análise de métricas de risco na otimização de portfolios de ações

RESUMOOs trabalhos de Markowitz e Sharpe formaram as bases da chamada Moderna Teoria do Portfolio. Com o passar dos anos, os trabalhos desses autores foram revisados e medidas alternativas para formação de carteiras foram propostas. Diante disso, há necessidade de avaliar quais as diferenças entre tais medidas. Segundo Roman e Mitra, esse problema constitui uma nova fase de estudos, denominada de Teoria do Portfolio Pós-Moderna. Neste artigo, o objetivo é comparar os modelos de otimização com a utilização das medidas de risco desvio padrão (DP), momento parcial inferior (LPM) e valor em risco condicional (CVaR), para o estudo de suas diferentes formas de alocações em carteiras de ações negociadas na BM&FBovespa. A realização do artigo foi dividida em duas etapas: na primeira, houve a seleção das medidas de risco e a definição do período de análise; na segunda, houve a divisão dos ativos de acordo com a forma da distribuição de probabilidade dos retornos, um grupo composto por ações com retornos normalmente distribuídos e outro grupo por ações com retornos que não possuem distribuição normal. Quanto às medidas de risco, os testes apresentaram características similares entre os modelos; em relação aos retornos, os modelos que minimizaram o LPM e o CVaR demonstraram resultados superiores em comparação ao DP. Esses resultados são relevantes porque põem em contraposição os trabalhos que defendem não existir diferenças significativas entre os modelos.

Biogeographic analysis of Crocidiinae (Diptera, Bombyliidae): finding congruence among morphological, molecular, fossil and paleogeographical data

Biogeographic studies dealing with Bombyliidae are rare in the literature and no information is available on its origin and early diversification. In this study, we found evidence from molecular phylogeny and from fossil record supporting a Middle Jurassic origin of the Bombylioidea, taken as a starting point to discuss the biogeography and diversification of Crocidiinae. Based on a previously published phylogenetic hypothesis, we performed a Brooks Parsimony Analysis (BPA) to discuss the biogeographical history of Crocidiinae lineages. This subfamily is mostly distributed over arid areas of the early components of the Gondwanaland: Chile and southern Africa, but also in southwestern Palaearctic and southwestern Nearctic. The vicariant events affecting the Crocidiinae biogeography at the generic level seems to be related to the sequential separation of a Laurasian clade from a Gondwanan clade followed by the splitting of the latter into smaller components. This also leads to a hypothesis of origin of the Crocidiinae in the Middle Jurassic, the same period in which other bombyliid lineages are supposed to have arisen and irradiated.

Biogeographical aspects of drosophilids (Diptera, Drosophilidae) of the Brazilian savanna

Some species of drosophilids have been intensely studied, especially in the areas of genetics and molecular biology. However, little is known about their ecology and biogeography. Here, we revise the records of Drosophilidae species in the Cerrado domain, in order to organize the available information and to recognize patterns of geographic distribution and endemism. The 43 sampled sites in this domain reveal 100 species of drosophilids (10 of them exotic to the Neotropical region), distributed in eight genera. The collections were concentrated mainly in the States of Goiás (including the Federal District) and Minas Gerais. Serra do Cipó is the site with the highest richness of these insects. Of the 90 neotropical species found in the Cerrado, 77 also occur outside this domain, most of which are in the Atlantic Forest. Since extensive areas of this domain were poorly sampled for drosophilids and most studies used only baited traps to collect the flies, this absence of endemism should be carefully considered. It is recommended new inventories in poorly sampled regions, especially in the northeastern part of the domain. Also diversification of collection methods and improvement in the taxonomy of these flies are proposed. These directions should provide a significant increase in the list of species of drosophilids of the Cerrado; and thus, increase our knowledge about its biodiversity.

Distributional patterns of the Neotropical genus Thecomyia Perty (Diptera, Sciomyzidae) and phylogenetic support

Distributional patterns of the Neotropical genus Thecomyia Perty (Diptera, Sciomyzidae) and phylogenetic support. The distributional pattern of the genus Thecomyia Perty, 1833 was defined using panbiogeographic tools, and analyzed based on the phylogeny of the group. This study sought to establish biogeographical homologies in the Neotropical region between different species of the genus, based on their distribution pattern and later corroboration through its phylogeny. Eight individual tracks and 16 generalized tracks were identified, established along nearly the entire swath of the Neotropics. Individual tracks are the basic units of a panbiogeographic study, and correspond to the hypothesis of minimum distribution of the organisms involved. The generalized tracks, obtained from the spatial congruence between two or more individual tracks, are important in the identification of smaller areas of endemism. Thus, we found evidence from the generalized tracks in support of previous classification for the Neotropical region. The Amazon domain is indicated as an area of outstanding importance in the diversification of the group, by the confluence of generalized tracks and biogeographic nodes in the region. Most of the generalized tracks and biogeographical nodes were congruent with the phylogenetic hypothesis of the genus, indicating support of the primary biogeographical homologies originally defined by the track analysis.

Carbon stock and its compartments in a subtropical oxisol under long-term tillage and crop rotation systems

Soil organic matter (SOM) plays a crucial role in soil quality and can act as an atmospheric C-CO2 sink under conservationist management systems. This study aimed to evaluate the long-term effects (19 years) of tillage (CT-conventional tillage and NT-no tillage) and crop rotations (R0-monoculture system, R1-winter crop rotation, and R2- intensive crop rotation) on total, particulate and mineral-associated organic carbon (C) stocks of an originally degraded Red Oxisol in Cruz Alta, RS, Southern Brazil. The climate is humid subtropical Cfa 2a (Köppen classification), the mean annual precipitation 1,774 mm and mean annual temperature 19.2 ºC. The plots were divided into four segments, of which each was sampled in the layers 0-0.05, 0.05-0.10, 0.10-0.20, and 0.20-0.30 m. Sampling was performed manually by opening small trenches. The SOM pools were determined by physical fractionation. Soil C stocks had a linear relationship with annual crop C inputs, regardless of the tillage systems. Thus, soil disturbance had a minor effect on SOM turnover. In the 0-0.30 m layer, soil C sequestration ranged from 0 to 0.51 Mg ha-1 yr-1, using the CT R0 treatment as base-line; crop rotation systems had more influence on soil stock C than tillage systems. The mean C sequestration rate of the cropping systems was 0.13 Mg ha-1 yr-1 higher in NT than CT. This result was associated to the higher C input by crops due to the improvement in soil quality under long-term no-tillage. The particulate C fraction was a sensitive indicator of soil management quality, while mineral-associated organic C was the main pool of atmospheric C fixed in this clayey Oxisol. The C retention in this stable SOM fraction accounts for 81 and 89 % of total C sequestration in the treatments NT R1 and NT R2, respectively, in relation to the same cropping systems under CT. The highest C management index was observed in NT R2, confirming the capacity of this soil management practice to improve the soil C stock qualitatively in relation to CT R0. The results highlighted the diversification of crop rotation with cover crops as a crucial strategy for atmospheric C-CO2 sequestration and SOM quality improvement in highly weathered subtropical Oxisols.

Soil uses in the sugarcane fallow period to improve chemical and physical properties of two latosols (oxisols)

Sugarcane production should be integrated with crop diversification with a view to competitive and sustainable results in economic, social and environmental aspects. The purpose of this study was to assess the influence of different soil uses during the sugarcane fallow period on the chemical and physical properties of eutroferric Red Latosol - LVef (Oxisol) and Acric Latosol - LVw (Acric Oxisol), in Jaboticabal, São Paulo State, Brazil (21º14'05'' S, 48º17'09'' W, 600 m asl). A randomized block design was used with five replications and four treatments, consisting of different soil uses (crops) in the sugarcane fallow period: soybean only, soybean/fallow/soybean, soybean/millet/soybean, and soybean/sunn hemp/soybean. After two soybean crops, the LVef chemical properties remained at intermediate to high levels; while those of the LVw, classified as intermediate to high in the beginning, increased to high levels. Thus, the different soil uses during the sugarcane fallow period allowed the maintenance of LVef fertility levels and the improvement of those of the LVw. Two soybean crops increased macroporosity in the 0.0-0.1 m layer of the LVef; reduced soil aggregates in the 0.0-0.1 and 0.1-0.2 m layers of both soils, and reduced aggregate stability in these two layers of the LVw. Planting pearl millet or sunn hemp between the two soybean growing seasons promoted the formation of larger soil aggregates in the surface layer (0.0-0.1 m) of the LVw.

Institutional landmarks in Brazilian research on soil erosion: a historical overview

The problem of soil erosion in Brazil has been a focus of agricultural scientific research since the 19th century. The aim of this study was to provide a historical overview of the institutional landmarks which gave rise to the first studies in soil erosion and established the foundations of agricultural research in Brazil. The 19th century and beginning of the 20th century saw the founding of a series of institutions in Brazil, such as Botanical Gardens, executive institutions, research institutes, experimental stations, educational institutions of agricultural sciences, as well as the creation and diversification of scientific journals. These entities, each in its own way, served to foster soil erosion research in Brazil. During the Imperial period (1808-1889), discussions focused on soil degradation and conserving the fertility of agricultural land. During the First Republic (1889-1930), with the founding of various educational institutions and consolidation of research on soil degradation conducted by the Agronomic Institute of Campinas in the State of São Paulo, studies focused on soil depletion, identification of the major factors causing soil erosion and the measures necessary to control it. During the New State period (1930-1945), many soil conservation practices were developed and disseminated to combat erosion and field trials were set up, mainly to measure soil and water losses induced by hydric erosion. During the Brazilian New Republic (1945-1964), experiments were conducted throughout Brazil, consolidating soil and water conservation as one of the main areas of Soil Science in Brazil. This was followed by scientific conferences on erosion and the institutionalization of post-graduate studies. During the Military Regime (1964-1985), many research and educational institutions were founded, experimental studies intensified, and coincidently, soil erosion reached alarming levels which led to the development of the no-tillage system.

Soil quality indicators in a rhodic kandiudult under different uses in northern Parana, Brazil

Sustainable use of soil, maintaining or improving its quality, is one of the goals of diversification in farmlands. From this point of view, bioindicators associated with C, N and P cycling can be used in assessments of land-use effects on soil quality. The aim of this study was to investigate chemical, microbiological and biochemical properties of soil associated with C, N and P under different land uses in a farm property with diversified activity in northern Parana, Brazil. Seven areas under different land uses were assessed: fragment of native Atlantic Forest; growing of peach-palm (Bactrys gasipaes); sugarcane ratoon (Saccharum officinarum) recently harvested, under renewal; growing of coffee (Coffea arabica) intercropped with tree species; recent reforestation (1 year) with native tree species, previously under annual crops; annual crops under no-tillage, rye (Cecale cereale); secondary forest, regenerated after abandonment (for 20 years) of an avocado (Persea americana) orchard. The soil under coffee, recent reforestation and secondary forest showed higher concentrations of organic carbon, but microbial biomass and enzyme activities were higher in soils under native forest and secondary forest, which also showed the lowest metabolic coefficient, followed by the peach-palm area. The lowest content of water-dispersible clay was found in the soil under native forest, differing from soils under sugarcane and secondary forest. Soil cover and soil use affected total organic C contents and soil enzyme and microbial activities, such that more intensive agricultural uses had deeper impacts on the indicators assessed. Calculation of the mean soil quality index showed that the secondary forest was closest to the fragment of native forest, followed by the peach-palm area, coffee-growing area, annual crop area, the area of recent reforestation and the sugarcane ratoon area.

Soil uses during the sugarcane fallow period: influence on soil chemical and physical properties and on sugarcane productivity

The planting of diversified crops during the sugarcane fallow period can improve the chemical and physical properties and increase the production potential of the soil for the next sugarcane cycle. The primary purpose of this study was to assess the influence of various soil uses during the sugarcane fallow period on soil chemical and physical properties and productivity after the first sugarcane harvest. The experiment was conducted in two areas located in Jaboticabal, São Paulo State, Brazil (21º 14' 05'' S, 48º 17' 09'' W) with two different soil types, namely: an eutroferric Red Latosol (RLe) with high-clay texture (clay content = 680 g kg-1) and an acric Red Latosol (RLa) with clayey texture (clay content = 440 g kg-1). A randomized block design with five replications and four treatments (crop sequences) was used. The crop sequences during the sugarcane fallow period were soybean/millet/soybean, soybean/sunn hemp/soybean, soybean/fallow/soybean, and soybean. Soil use was found not to affect chemical properties and sugarcane productivity of RLe or RLa. The soybean/millet/soybean sequence improved aggregation in the acric Latosol.