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.

Extraction of soil water by plants: development and validation of a model

A quantitative model of water movement within the immediate vicinity of an individual root is developed and results of an experiment to validate the model are presented. The model is based on the assumption that the amount of water transpired by a plant in a certain period is replaced by an equal volume entering its root system during the same time. The model is based on the Darcy-Buckingham equation to calculate the soil water matric potential at any distance from a plant root as a function of parameters related to crop, soil and atmospheric conditions. The model output is compared against measurements of soil water depletion by rice roots monitored using γ-beam attenuation in a greenhouse of the Escola Superior de Agricultura "Luiz de Queiroz"/Universidade de São Paulo(ESALQ/USP) in Piracicaba, State of São Paulo, Brazil, in 1993. The experimental results are in agreement with the output from the model. Model simulations show that a single plant root is able to withdraw water from more than 0.1 m away within a few days. We therefore can assume that root distribution is a less important factor for soil water extraction efficiency.

Method of numerical correction of errors occasioned by delay of records during the monitoring of environmental variables of interest for animal production

Thermal and air conditions inside animal facilities change during the day due to the influence of the external environment. For statistical and geostatistical analyses to be representative, a large number of points spatially distributed in the facility area must be monitored. This work suggests that the time variation of environmental variables of interest for animal production, monitored within animal facility, can be modeled accurately from discrete-time records. The aim of this study was to develop a numerical method to correct the temporal variations of these environmental variables, transforming the data so that such observations are independent of the time spent during the measurement. The proposed method approached values recorded with time delays to those expected at the exact moment of interest, if the data were measured simultaneously at the moment at all points distributed spatially. The correction model for numerical environmental variables was validated for environmental air temperature parameter, and the values corrected by the method did not differ by Tukey's test at 5% significance of real values recorded by data loggers.

Early detection of metabolic and energy disorders by thermal time series stochastic complexity analysis

Maintenance of thermal homeostasis in rats fed a high-fat diet (HFD) is associated with changes in their thermal balance. The thermodynamic relationship between heat dissipation and energy storage is altered by the ingestion of high-energy diet content. Observation of thermal registers of core temperature behavior, in humans and rodents, permits identification of some characteristics of time series, such as autoreference and stationarity that fit adequately to a stochastic analysis. To identify this change, we used, for the first time, a stochastic autoregressive model, the concepts of which match those associated with physiological systems involved and applied in male HFD rats compared with their appropriate standard food intake age-matched male controls (n=7 per group). By analyzing a recorded temperature time series, we were able to identify when thermal homeostasis would be affected by a new diet. The autoregressive time series model (AR model) was used to predict the occurrence of thermal homeostasis, and this model proved to be very effective in distinguishing such a physiological disorder. Thus, we infer from the results of our study that maximum entropy distribution as a means for stochastic characterization of temperature time series registers may be established as an important and early tool to aid in the diagnosis and prevention of metabolic diseases due to their ability to detect small variations in thermal profile.

Fundos de pensão como financiadores da atividade econômica

A geração de poupança interna e a ampliação do investimento produtivo é condição para alcançar e manter taxas de crescimento econômico compatíveis com o desenvolvimento social. Os fundos de pensão, com os recursos disponíveis para investir, possibilitam alavancar o desenvolvimento de um país na medida em que canalizam esses recursos para o setor produtivo. Diante dessa perspectiva, este estudo propõe analisar o desempenho das aplicações em renda variável desses fundos, aqui considerados investimento produtivo, por meio do Capital Asset Pricing Model (CAPM) e dos índices de Sharpe e M² . Estes se prestam a avaliar o investimento realizado em relação ao risco e ao retorno da carteira. A partir da metodologia proposta, verificou-se que os investimentos em ações incorreram em retornos superiores aos esperados, garantindo eficiência na remuneração pelo risco, gerando, por um lado, maior valor agregado ao fundo e, por outro, um incremento da poupança interna do país, respaldado pela aplicação de recursos no setor produtivo.

Teste do CAPM condicional dos retornos de carteiras dos mercados brasileiro, argentino e chileno, comparando-os com o mercado norte-americano

Nas últimas décadas, o modelo Capital Asset Pricing Model (CAPM) tem despertado grande interesse por parte da comunidade científica. Apesar das críticas, o aprimoramento do CAPM estático deu origem a novos modelos dinâmicos que trazem maior segurança para o investidor ao longo do ciclo de negócios. Atualmente, encontramos adaptações mais complexas do modelo CAPM, as quais nos permitem ter respostas sobre questões em finanças que por muito tempo permaneceram não solucionadas. Diante desse panorama e considerando todo o debate acerca da validade do CAPM, este trabalho tem como objetivo testar o modelo CAPM condicional de Jagannathan e Wang (1996), incorporando variáveis macroeconômicas e financeiras, para o mercado brasileiro, argentino, chileno, e norte americano.

Instituições financeiras públicas de fomento: exagero de conservadorismo da política de investimentos?

Este artigo analisa a questão do conservadorismo no que concerne à gestão de recursos por tesourarias de instituições financeiras públicas, que incorrem em um trade-off por não ter essa gestão como prioridade, mas sim as atividades associadas ao desenvolvimento. Fazendo-se uso do capital asset pricing model (CAPM), as evidências para o Banco do Nordeste do Brasil, o maior banco de desenvolvimento regional da América Latina, sugerem que sejam viáveis as mudanças institucional e na legislação que restringe a política de investimentos dessas organizações.

Problemas de estimação de custo de capital de empresas concessionárias no Brasil: uma aplicação à regulamentação de concessões rodoviárias

Neste trabalho, discute-se a fixação de taxas de retorno de concessões no Brasil, com aplicação específica ao caso da metodologia da Agência Nacional de Transportes Terrestres (ANTT). Mostra-se a inadequação da regulamentação vigente, baseada no conceito de taxa interna de retorno (TIR), e não de custo de oportunidade do capital. A partir de um exemplo com dados referentes ao auge da crise financeira internacional (dezembro de 2008), evidencia-se também a falta de lógica decorrente da utilização de retornos e preços passados na estimação de taxas de retorno, um procedimento comum a toda a área de concessões de serviços públicos no Brasil. Propõe-se uma metodologia alternativa cujos resultados são sensíveis às condições correntes de mercado de capitais, que produz resultados coerentes com a situação então vigente.

Revisitando as estratégias de momento: o mercado brasileiro é realmente uma exceção?

RESUMONo artigo, reexaminam-se as estratégias de momento a fim de verificar se a falta de evidências quanto a sua lucratividade no mercado brasileiro pode estar relacionada às quebras que elas experimentam durante as crises, conforme reportado por Daniel e Moskowitz. Para tanto, utilizou-se o teste t-student com o intuito de comparar os retornos médios auferidos pela carteira de momento dentro e fora das crises financeiras entre janeiro de 1997 e março de 2014. A partir dos resultados, demonstra-se que, em linha com o reportado para outros mercados, a carteira experimenta quebras durante as crises, ao passo que proporciona retornos positivos e significativos nos demais períodos, mesmo após o controle para os fatores de risco dos modelos do Capital Asset Pricing Model (CAPM) e de Fama-French. Esses achados indicam que a falta de evidências quanto à lucratividade dessas estratégias não implica o entendimento do mercado brasileiro como uma exceção, mas pode ser explicada pela quebra das carteiras de momento durante as crises, que anulam grande parte dos retornos positivos auferidos por essa estratégia em outros períodos.

Caracterização ácido-base da superfície de espécies mistas da alga Spirulina através de titulação potenciométrica e modelo de distribuição de sítios discretos

Acid base properties of mixed species of the microalgae Spirulina were studied by potentiometric titration in medium of 0.01 and 0.10 mols L-1 NaNO3 at 25.0±0.10 C using modified Gran functions or nonlinear regression techniques for data fitting. The discrete site distribution model was used, permitting the characterization of five classes of ionizable sites in both ionic media. This fact suggests that the chemical heterogeneity of the ionizable sites on the cell surface plays a major role on the acid-base properties of the suspension in comparison to electrostatic effects due to charge-charge interactions. The total of ionizable sites were 1.75±0.10 and 1.86±0.20 mmolsg-1 in ionic media of 0.01 and 0.10 mols L-1 NaNO3, respectively. A major contribution of carboxylic groups was observed with an average 34 and 22% of ionizable sites being titrated with conditional pcKa of 4.0 and 5.4, respectively. The remaining 44% of ionizable sites were divided in three classes with averaged conditional pcKa of 6.9, 8.7 and 10.12, which may be assigned respectively to imidazolic, aminic, and phenolic functionalities.

Remoção de chumbo(II) em sistemas contínuos por carvão ativado com vapor

Fixed-bed column studies were undertaken to evaluate the performance of a commercial Brazilian activated carbon in removing Pb(II) from aqueous environment. Breakthrough points were found out for the metal adsorption by varying different operating parameters like feed concentrations (10 and 20 mg L-1) and bed heights (0.5, 1.5 and 2.8 cm). A good agreement was observed between the experimental data and the values predicted by the bed depth service time (BDST) model. Regeneration of the exhausted columns was possible with HCl, and the adsorption capacity was maintained after three adsorption-desorption cycles.

Climate trends in the municipality of Pelotas, state of Rio Grande do Sul, Brazil

ABSTRACTChanges in the frequency of occurrence of extreme weather events have been pointed out as a likely impact of global warming. In this context, this study aimed to detect climate change in series of extreme minimum and maximum air temperature of Pelotas, State of Rio Grande do Sul, (1896 - 2011) and its influence on the probability of occurrence of these variables. We used the general extreme value distribution (GEV) in its stationary and non-stationary forms. In the latter case, GEV parameters are variable over time. On the basis of goodness-of-fit tests and of the maximum likelihood method, the GEV model in which the location parameter increases over time presents the best fit of the daily minimum air temperature series. Such result describes a significant increase in the mean values of this variable, which indicates a potential reduction in the frequency of frosts. The daily maximum air temperature series is also described by a non-stationary model, whose location parameter decreases over time, and the scale parameter related to sample variance rises between the beginning and end of the series. This result indicates a drop in the mean of daily maximum air temperature values and increased dispersion of the sample data.