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.

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.

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.

Dynamics of the control of Aedes (Stegomyia) aegypti Linnaeus (Diptera, Culicidae) by Bacillus thuringiensis var israelensis, related with temperature, density and concentration of insecticide

The dynamics of the control of Aedes (Stegomyia) aegypti Linnaeus, (Diptera, Culicidae) by Bacillus thuringiensis var israelensis has been related with the temperature, density and concentration of the insecticide. A mathematical model for biological control of Aedes aegypti with Bacillus thuringiensis var israelensis (Bti) was constructed by using data from the literature regarding the biology of the vector. The life cycle was described by differential equations. Lethal concentrations (LC50 and LC95) of Bti were determined in the laboratory under different experimental conditions. Temperature, colony, larvae density and bioinsecticide concentration presented marked differences in the analysis of the whole set of variables; although when analyzed individually, only the temperature and concentration showed changes. The simulations indicated an inverse relationship between temperature and mosquito population, nonetheless, faster growth of populations is reached at higher temperatures. As conclusion, the model suggests the use of integrated control strategies for immature and adult mosquitoes in order to achieve a reduction of Aedes aegypti.

The hamster (mesocricetus auratus) as experimental model in chagas' disease: parasitological and histopathological studies in acute and chronic phases of Trypanosoma cruzi infection

This research characterizes the acute and chronic phases of Chagas ' disease in hamster through parasitological and histopathological studies. The acute phase was achieved with 44 young hamsters injected intraperitoneally with 100.000 blood trypomastigotes of Benedito and Y strains of T. cruzi. The chronic phase was induced in 46 hamsters injected intraperitoneally with 35.000 trypomastigotes ofVicentina, Benedito and Y strains. Animals were sacrificed at regular intervals of 24 hours of acute phase and from the 3rd to the 10th month of infection ofchronic phase. In the acute phase, parasites were easily recoveredfrom all animals and there was an inflammatory reaction characterized by mononuclear and polymorphous leukocyte infiltration of variable degree in the majority of tissues and organs, specially in the connective loose and fatty tissues, smooth muscle myocardium and skeletal muscle. In the chronic phase the lesions occurred in the same tissues and organs, but the inflammatory response was less severe and characterized by mononuclear infiltration mainly with focal or zonalfibrosis in the myocardiun. In 50% of infected animals parasites were found inmyocardiun and recoveredfrom pericardic, peritoneal and ascitic fluids in some animals. Signs of heart failure, sudden death and enlargement of bowel were observed regularly. We concluded that the hamster is an useful model for Chagas' disease studies.

Intestinal fibrovascular nodules caused by Schistosoma mansoni infection in Calomys callosus Rengger, 1830 (Rodentia: Cricetidae): a model of concomitant fibrosis and angiogenesis

Human schistosomiasis develops extensive and dense fibrosis in portal space, together with congested new blood vessels. This study demonstrates that Calomys callosus infected with Schistosoma mansoni also develops fibrovascular lesions, which are found in intestinal subserosa. Animals were percutaneously infected with 70 cercariae and necropsied at 42, 45, 55, 80, 90 and 160 days after infection. Intestinal sections were stained for brightfield, polarization microscopy, confocal laser scanning, transmission and scanning electron microscopies. Immunohistological analysis was also performed and some nodules were aseptically collected for cell culture. Numerous intestinal nodules, appearing from 55 up to 160 days after infection, were localized at the interface between external muscular layer and intestinal serosa, consisting of fibrovascular tissue forming a shell about central granuloma(s). Intranodular new vessels were derived from the vasculature of the external vascular layer and were positive for laminin, chondroitin-sulfate, smooth muscle alpha-actin and FVIII-RA. Fibroblastic cells and extracellular matrix components (collagens I, III and VI, fibronectin and tenascin) comprised the stroma. Intermixed with the fibroblasts and vessels there were variable number of eosinophils, macrophages and haemorrhagic foci. In conclusion, the nodules constitute an excellent and accessible model to study fibrogenesis and angiogenesis, dependent on S. mansoni eggs. The fibrogenic activity is fibroblastic and not myofibroblastic-dependent. The angiogenesis is so prominent that causes haemorrhagic ascites.

Modeling changes in organic carbon stocks for distinct soils in southeastern brazil after four eucalyptus rotations using the century model

Soil organic matter (SOM) plays an important role in carbon (C) cycle and soil quality. Considering the complexity of factors that control SOM cycling and the long time it usually takes to observe changes in SOM stocks, modeling constitutes a very important tool to understand SOM cycling in forest soils. The following hypotheses were tested: (i) soil organic carbon (SOC) stocks would be higher after several rotations of eucalyptus than in low-productivity pastures; (ii) SOC values simulated by the Century model would describe the data better than the mean of observations. So, the aims of the current study were: (i) to evaluate the SOM dynamics using the Century model to simulate the changes of C stocks for two eucalyptus chronosequences in the Rio Doce Valley, Minas Gerais State, Brazil; and (ii) to compare the C stocks simulated by Century with the C stocks measured in soils of different Orders and regions of the Rio Doce Valley growing eucalyptus. In Belo Oriente (BO), short-rotation eucalyptus plantations had been cultivated for 4.0; 13.0, 22.0, 32.0 and 34.0 years, at a lower elevation and in a warmer climate, while in Virginópolis (VG), these time periods were 8.0, 19.0 and 33.0 years, at a higher elevation and in a milder climate. Soil samples were collected from the 0-20 cm layer to estimate C stocks. Results indicate that the C stocks simulated by the Century model decreased after 37 years of poorly managed pastures in areas previously covered by native forest in the regions of BO and VG. The substitution of poorly managed pastures by eucalyptus in the early 1970´s led to an average increase of C of 0.28 and 0.42 t ha-1 year-1 in BO and VG, respectively. The measured C stocks under eucalyptus in distinct soil Orders and independent regions with variable edapho-climate conditions were not far from the values estimated by the Century model (root mean square error - RMSE = 20.9; model efficiency - EF = 0.29) despite the opposite result obtained with the statistical procedure to test the identity of analytical methods. Only for lower soil C stocks, the model over-estimated the C stock in the 0-20 cm layer. Thus, the Century model is highly promising to detect changes in C stocks in distinct soil orders under eucalyptus, as well as to indicate the impact of harvest residue management on SOM in future rotations.

LOSS OF EXTRACTION CAPACITY OF MEHLICH-1 AND MONOCALCIUM PHOSPHATE AS A VARIABLE OF REMAINING P AND ITS RELATIONSHIP TO CRITICAL LEVELS OF SOIL PHOSPHORUS AND SULFUR

The Mehlich-1 (M-1) extractant and Monocalcium Phosphate in acetic acid (MCPa) have mechanisms for extraction of available P and S in acidity and in ligand exchange, whether of the sulfate of the extractant by the phosphate of the soil, or of the phosphate of the extractant by the sulfate of the soil. In clayey soils, with greater P adsorption capacity, or lower remaining P (Rem-P) value, which corresponds to soils with greater Phosphate Buffer Capacity (PBC), more buffered for acidity, the initially low pH of the extractants increases over their time of contact with the soil in the direction of the pH of the soil; and the sulfate of the M-1 or the phosphate of the MCPa is adsorbed by adsorption sites occupied by these anions or not. This situation makes the extractant lose its extraction capacity, a phenomenon known as loss of extraction capacity or consumption of the extractant, the object of this study. Twenty soil samples were chosen so as to cover the range of Rem-P (0 to 60 mg L-1). Rem-P was used as a measure of the PBC. The P and S contents available from the soil samples through M-1 and MCPa, and the contents of other nutrients and of organic matter were determined. For determination of loss of extraction capacity, after the rest period, the pH and the P and S contents were measured in both the extracts-soils. Although significant, the loss of extraction capacity of the acidity of the M-1 and MCPa extractants with reduction in the Rem-P value did not have a very expressive effect. A “linear plateau” model was observed for the M-1 for discontinuous loss of extraction capacity of the P content in accordance with reduction in the concentration of the Rem-P or increase in the PBC, suggesting that a discontinuous model should also be adopted for interpretation of available P of soils with different Rem-P values. In contrast, a continuous linear response was observed between the P variables in the extract-soil and Rem-P for the MCPa extractor, which shows increasing loss of extraction capacity of this extractor with an increase in the PBC of the soil, indicating the validity of the linear relationship between the available S of the soil and the PBC, estimated by Rem-P, as currently adopted.

Simulating maize yield in sub‑tropical conditions of southern Brazil using Glam model

The objective of this work was to evaluate the feasibility of simulating maize yield in a sub‑tropical region of southern Brazil using the general large area model (Glam). A 16‑year time series of daily weather data were used. The model was adjusted and tested as an alternative for simulating maize yield at small and large spatial scales. Simulated and observed grain yields were highly correlated (r above 0.8; p<0.01) at large scales (greater than 100,000 km²), with variable and mostly lower correlations (r from 0.65 to 0.87; p<0.1) at small spatial scales (lower than 10,000 km²). Large area models can contribute to monitoring or forecasting regional patterns of variability in maize production in the region, providing a basis for agricultural decision making, and Glam‑Maize is one of the alternatives.