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.

Discriminação de fitofisionomias de floresta de várzea a partir do algoritmo Iterated Conditional Modes aplicado aos dados SAR/R99 (QUAD-POL/Banda L)

Utilizando-se dados do sensor aerotransportado SAR R99, adquiridos na banda L (1,28 GHz) em amplitude e com quatro polarizações (HH, VV, HV e VH), avaliou-se a distinção de fitofisionomias de floresta de várzea existentes nas Reservas de Desenvolvimento Sustentável Amanã e Mamirauá e áreas adjacentes, com a aplicação do algoritmo Iterated Conditional Modes (ICM) de classificação polarimétrica pontual/contextual. Os resultados mostraram que o uso das distribuições multivariadas em amplitude, conjuntamente com uma banda de textura, produziu classificações de qualidade superior àquelas obtidas com dados polarimétricos uni/bivariados. Esta abordagem permitiu a obtenção de um índice Kappa de 0,8963, discriminando as três classes vegetacionais de interesse, comprovando assim o potencial dos dados do SAR R99 e do algoritmo ICM no mapeamento de florestas de várzea da Amazônia.

Contact with friction using the augmented Lagrangian Method: a conditional constrained minimization problem

This work presents a formulation of the contact with friction between elastic bodies. This is a non linear problem due to unilateral constraints (inter-penetration of bodies) and friction. The solution of this problem can be found using optimization concepts, modelling the problem as a constrained minimization problem. The Finite Element Method is used to construct approximation spaces. The minimization problem has the total potential energy of the elastic bodies as the objective function, the non-inter-penetration conditions are represented by inequality constraints, and equality constraints are used to deal with the friction. Due to the presence of two friction conditions (stick and slip), specific equality constraints are present or not according to the current condition. Since the Coulomb friction condition depends on the normal and tangential contact stresses related to the constraints of the problem, it is devised a conditional dependent constrained minimization problem. An Augmented Lagrangian Method for constrained minimization is employed to solve this problem. This method, when applied to a contact problem, presents Lagrange Multipliers which have the physical meaning of contact forces. This fact allows to check the friction condition at each iteration. These concepts make possible to devise a computational scheme which lead to good numerical results.

Comparison of Pavlovian serial conditional discrimination in rats and hamsters in the same experimental situation

The present study compares behavioral changes between two distinct rodent groups, hamsters (Mesocricetus auratus) and Wistar rats, when submitted in the same homogeneous experimental situations to a serial conditional discrimination procedure which involves water deprivation and the processing of temporal variables. Both hamsters and rats acquired serial positive conditional discrimination as indicated by higher frequencies of magazine-oriented behavior during the tone followed by reinforcement (T+) and preceded by the feature stimulus light (L) and during the empty interval, than during the tone alone not followed by reinforcement (T-). Rats' frequencies of magazine-oriented behavior were high during T+ and T-, initially during training, and decreased during T- as the training progressed. However, the hamsters' frequencies of magazine-oriented behavior started very low and increased only during T+ as the training progressed. Comparison of the frequencies of magazine-oriented behavior during the empty interval in relation to the frequencies during the preceding L period showed that rats' frequencies remained very high and hamsters' frequencies increased during training. These results suggest that rats and hamsters have different behavioral strategies for the acquisition of a conditional discrimination. The results of the comparisons made in these experiments support the view of the importance of an ecological psychology approach to the understanding of complex learning in animals.

Operant serial feature-positive conditional discrimination with composite features and different topography responses

In a serial feature-positive conditional discrimination procedure the properties of a target stimulus A are defined by the presence or not of a feature stimulus X preceding it. In the present experiment, composite features preceded targets associated with two different topography operant responses (right and left bar pressing); matching and non-matching-to-sample arrangements were also used. Five water-deprived Wistar rats were trained in 6 different trials: X-R®Ar and X-L®Al, in which X and A were same modality visual stimuli and the reinforcement was contingent to pressing either the right (r) or left (l) bar that had the light on during the feature (matching-to-sample); Y-R®Bl and Y-L®Br, in which Y and B were same modality auditory stimuli and the reinforcement was contingent to pressing the bar that had the light off during the feature (non-matching-to-sample); A- and B- alone. After 100 training sessions, the animals were submitted to transfer tests with the targets used plus a new one (auditory click). Average percentages of stimuli with a response were measured. Acquisition occurred completely only for Y-L®Br+; however, complex associations were established along training. Transfer was not complete during the tests since concurrent effects of extinction and response generalization also occurred. Results suggest the use of both simple conditioning and configurational strategies, favoring the most recent theories of conditional discrimination learning. The implications of the use of complex arrangements for discussing these theories are considered.

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.

O modelo de precificação de ativos de capital: teoria e evidências

Distante quatro décadas de seu aparecimento, o modelo de precificação de ativos de capital proposto pelo Nobel William Sharpe e por John Lintner, conhecido como CAPM, é ainda o modelo mais amplamente utilizado na estimativa do custo de capital de empresas e na avaliação de carteiras. O fato se deve às poderosas previsões permitidas pelo modelo sobre a medida do risco e a relação entre risco e retorno. O objetivo deste artigo é mostrar que o CAPM apresenta algumas falhas empíricas associadas a simplifi cações teóricas e difi culdades de implementação de testes que sejam válidos para o modelo. A conclusão do artigo é que as limitações do CAPM representam desafi os a serem explicados por modelos alternativos.

STOCK EXCHANGE LISTING INDUCES SOPHISTICATION OF CAPITAL BUDGETING

This article compares capital budgeting techniques employed in listed and unlisted companies in Brazil. We surveyed the Chief Financial Officers (CFOs) of 398 listed companies and 300 large unlisted companies, and based on 91 respondents, the results suggest that the CFOs of listed companies tend to use less simplistic methods more often, for example: NPV and CAPM, and that CFOs of unlisted companies are less likely to estimate the cost of equity, despite being large companies. These findings indicate that stock exchange listing may require greater sophistication of the capital budgeting process.

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.

Risk factors for basal cell carcinoma: a case-control study

A controlled trial was performed with the purpose of investigating which factors could be considered of significant risk for the development of basal cell carcinoma. A total of 259 cases of basal cell carcinoma diagnosed from July 1991 to July 1992 were compared with 518 controls matched for age and sex. All subjects in both groups were white. Protocol data were submitted to statistical analysis by the chi-square test and by multiple conditional logistic regression analysis and the following conclusions were reached: 1) light skin color (types I and II of the Fitzpatrick classification), odds ratio of 2.8; outdoor work under constant sunlight, odds ratio of 5.0; the presence of actinic lesions due to exposure to the sun, odds ratio of 4.9, are risk factors perse. 2) Type III skin in the Fitzpatrick classification only represents a risk factor when the patient reports a history of intense sunburns, but not in the absence of such a history. 3) Sunburns per se do not represent a risk factor althorig the point made in item 2 of these conclusions is valid. 4) Other suspected risk factors whose significance was not confirmed by multiple conditioned logistic regression analysis were: residence in rural areas, light eyes and blond hair color, extent of the awareness of the "sun x skin cancer" relationship, familial occurrence of skin cancer, excessive exposure to the sun, and freckles appearing in childhood.

Reproductive outcomes in an area adjacent to a petrochemical plant in southern Brazil

OBJECTIVE: To evaluate possible adverse reproductive outcomes in an area adjacent to a petrochemical plant in southern Brazil. METHODS: A review of 17,113 birth records of the main hospital of the municipality of Montenegro, southern Brazil, from 1983 to 1998 was carried out. Three groups of cases were selected: (1) newborns with major congenital malformations; (2) newborns with low birth weight (<2,500 g); and (3) stillborns (>500 g). A control was assigned to each case. Controls were the first newborns weighing > or = 2,500 g without malformations and of case-matching sex. Mother's residence during pregnancy was used as an exposure parameter. Statistical analyses were performed using Chi-square test or Fisher test, odds ratio, 0.05 significance level, and 95% confidence interval. RESULTS: For unadjusted analysis, it was found a correlation between low birth weight and geographical proximity of mother's residence to the petrochemical plant (OR = 1.66; 95% CI = 1.01--2.72) or residence on the way of preferential wind direction (OR = 1.62; 95% CI = 1.03--2.56). When other covariates were added in the conditional logistic regression (maternal smoking habits, chronic disease and age), there was no association. CONCLUSIONS: Despite final results were negative, low birth weight could be a good parameter of environmental contamination and should be closely monitored in the studied area.

Análise espacial dos determinantes socioeconômicos dos homicídios no Estado de Pernambuco

OBJETIVO: Investigar a associação entre variáveis socioeconômicas e taxas de homicídio, considerando a localização espacial dos indicadores. MÉTODOS: Utilizou-se o método de estudo ecológico. A variável dependente foi taxa de homicídio da população masculina de 15 a 49 anos, residente nos municípios do Estado de Pernambuco, em 1995 a 1998. As variáveis independentes referem-se a: índice de condições de vida, renda familiar per capita, desigualdade de Theil, índice de Gini, renda média do chefe de família, índice de pobreza, taxa de analfabetismo, densidade demográfica.Utilizou-se teste de correlação espacial determinado pelo Índice de Moran, regressão múltipla, Conditional Auto Regressive (CAR) e a função Loess, como modelo de detecção de tendência especial. RESULTADOS: Os indicadores taxa de analfabetismo e índice de pobreza explicaram 24,6% da variabilidade total das taxas de homicídio, cuja associação foi inversa. O índice de Moran revelou autocorrelação espacial entre os municípios. O modelo de regressão espacial que melhor se adequou ao estudo foi o CAR, que confirmou a associação entre índice de pobreza, analfabetismo e homicídio. CONCLUSÕES: A relação inversa observada entre os indicadores socioeconômicos e homicídios pode expressar determinado processo que propicia melhoria das condições de vida, e está atrelado predominantemente a condições geradoras de violência, como a do tráfico de drogas.

Case-control study on infant mortality in Southern Brazil

OBJECTIVE: To identify risk factors associated with infant mortality and, more specifically, with neonatal mortality. METHODS: A case-control study was carried out in the municipality of Caxias do Sul, Southern Brazil. Characteristics of prenatal care and causes of mortality were assessed for all live births in the 2001-2002 period with a completed live-birth certificate and whose mothers lived in the municipality. Cases were defined as all deaths within the first year of life. As controls, there were selected the two children born immediately after each case in the same hospital, who were of the same sex, and did not die within their first year of life. Multivariate analysis was performed using conditional logistic regression. RESULTS: There was a reduction in infant mortality, the greatest reduction was observed in the post-neonatal period. The variables gestational age (<36 weeks), birth weight (<2,500 g), and 5-minute Apgar (<6) remained in the final model of the multivariate analysis, after adjustment. CONCLUSIONS: Perinatal conditions comprise almost the totality of neonatal deaths, and the majority of deaths occur at delivery. The challenge for reducing infant mortality rate in the city is to reduce the mortality by perinatal conditions in the neonatal period.

Risk factors for sudden infant death syndrome in a developing country

OBJECTIVE: To analyze whether previously identified risk factors for sudden death syndrome have a significant impact in a developing country. METHODS: Retrospective longitudinal case-control study carried out in Porto Alegre, Southern Brazil. Cases (N=39) were infants born between 1996 and 2000 who died suddenly and unexpectedly at home during sleep and were diagnosed with sudden death syndrome. Controls (N=117) were infants matched by age and sex who died in hospitals due to other conditions. Data were collected from postmortem examination records and questionnaires answers. A conditional logistic model was used to identify factors associated with the outcome. RESULTS: Mean age at death of cases was 3.2 months. The frequencies of infants regarding gestational age, breastfeeding and regular medical visits were similar in both groups. Sleeping position for most cases and controls was the lateral one. Supine sleeping position was found for few infants in both groups. Maternal variables, age below 20 years (OR=2, 95% CI: 1.1; 5.1) and smoking of more than 10 cigarettes per day during pregnancy (OR=3, 95% CI: 1.3; 6.4), significantly increased the risk for the syndrome. Socioeconomic characteristics were similar in both groups and did not affect risk. CONCLUSIONS: Infant-maternal and socioeconomic profiles of cases in a developing country closely resembled the profile described in the literature, and risk factors were similar as well. However, individual characteristics were identified as risks in the population studied, such as smoking during pregnancy and maternal age below 20 years.

Physical activity during pregnancy and fetal outcomes: a case-control study

OBJECTIVE: To investigate the relationship between physical activity during the second trimester pregnancy and low birth weight, preterm birth, and intrauterine growth restriction. METHODS: Case-control study including 273 low birth weight newborns and 546 controls carried out in the city of São Paulo, Southeastern Brazil, in 2005. Low birth weight cases were grouped into two subsamples: preterm birth (n=117) and intrauterine growth restriction (n=134), with their related controls. Information was collected by means of interviews with mothers shortly after birth and transcription of medical records. Data were analyzed using conditional multiple and hierarchical logistic regression. RESULTS: Light physical activity for over 7 hours per day was shown to be protective against low birth weight (adjusted OR=0.61; 95% CI 0.39-0.94) with a dose-response relationship (p-value for trend=0.026). A similar trend was found for intrauterine growth restriction (adjusted OR=0.51; 95% CI 0.26-0.97). Homemaking activities were associated as a protective factor for both low birth weight and preterm birth (p-value for trend=0.013 and 0.035, respectively). Leisure-time walking was found to be protective against preterm birth. CONCLUSIONS: Mild physical activity during the second trimester of pregnancy such as walking has an independent protective effect on low birth weight, preterm birth, and intrauterine growth restriction.