Implica����es monot��nicas das teorias de finan��as : uma aplica����o no mercado brasileiro

Muitas teorias de finan��as implicam em rela����es monot��nicas nos retornos esperados em fun����o de vari��veis financeiras, tais como a hip��tese de prefer��ncia por liquidez e o Capital Asset Pricing Model (CAPM). No entanto, estudos emp��ricos que testam este tipo de rela����o n��o s��o muitos explorados, principalmente no mercado brasileiro. A contribui����o cient��fica neste trabalho �� utilizar ativos dom��sticos e verificar se no mercado nacional estas implica����es monot��nicas das teorias de finan��as s��o sustentadas empiricamente. Fizemos uma revis��o dos testes presentes na literatura para verificar a monotonicidade: os testes t, Bonferroni utilizado por Fama (1984), Wolak (1989) e o teste MR, de Patton e Timmermann (2010). Utilizamos a t��cnica de bootstrap e inclu��mos na an��lise dos resultados os testes ���Up��� e ���Down���. No teste para verificar a hip��tese de prefer��ncia por liquidez foram utilizadas as s��ries da taxa referencial de swaps DI pr��-fixada para vencimentos de at�� 1 ano. Os testes convergem e encontram evid��ncias estat��sticas de rela����o monot��nica entre os retornos e os prazos de vencimento. No caso do teste no CAPM, foram utilizadas as s��ries hist��ricas do pre��o das a����es que compuseram o ��ndice IBrX. Contr��rio ao esperado, para os dados amostrados, os testes n��o sustentaram a implica����o te��rica de monotonicidade entre os retornos m��dios dos portf��lios e os betas de mercado ordenados crescentemente. Este resultado �� de grande relev��ncia para o mercado brasileiro.

Aggregate uncertainty, disappointment aversion and the business cycle

We investigate the eff ect of aggregate uncertainty shocks on real variables. More speci fically, we introduce a shock in the volatility of productivity in an RBC model with long-run volatility risk and preferences that exhibit generalised disappointment aversion. We find that, when combined with a negative productivity shock, a volatility shock leads to further decline in real variables, such as output, consumption, hours worked and investment. For instance, out of the 2% decrease in output as a result of both shocks, we attribute 0.25% to the e ffect of an increase in volatility. We also fi nd that this e ffect is the same as the one obtained in a model with Epstein-Zin- Weil preferences, but higher than that of a model with expected utility. Moreover, GDA preferences yield superior asset pricing results, when compared to both Epstein-Zin-Weil preferences and expected utility.

Conditional alphas and realized betas

This paper proposes a two-step procedure to back out the conditional alpha of a given stock using high-frequency data. We rst estimate the realized factor loadings of the stocks, and then retrieve their conditional alphas by estimating the conditional expectation of their risk-adjusted returns. We start with the underlying continuous-time stochastic process that governs the dynamics of every stock price and then derive the conditions under which we may consistently estimate the daily factor loadings and the resulting conditional alphas. We also contribute empiri-cally to the conditional CAPM literature by examining the main drivers of the conditional alphas of the S&P 100 index constituents from January 2001 to December 2008. In addition, to con rm whether these conditional alphas indeed relate to pricing errors, we assess the performance of both cross-sectional and time-series momentum strategies based on the conditional alpha estimates. The ndings are very promising in that these strategies not only seem to perform pretty well both in absolute and relative terms, but also exhibit virtually no systematic exposure to the usual risk factors (namely, market, size, value and momentum portfolios).

Ensaios em Finan��as

Esta tese se dedica a estudos na ��rea de finan��as. Os estudos se subdividem nas sub��reas de microestrutura e apre��amento de ativos, mas h�� uma inser����o do trabalho em finan��as corporativas, uma vez que trato da governan��a corporativa das empresas. No primeiro cap��tulo estimo o coeficiente de assimetria de informa����o embutido no spread de compra e venda de a����es brasileiras. Al��m disso, verifico se h�� padr��es para esse coeficiente e para o pr��prio spread em rela����o ao tamanho da transa����o e �� hora de negocia����o. No cap��tulo dois, eu investigo quais caracter��sticas ligadas ��s empresas t��m rela����o com as vari��veis estimadas no cap��tulo 1, o coeficiente de assimetria de informa����o embutido no spread de compra e venda de a����es brasileiras e o pr��prio spread. A governan��a corporativa das empresas �� uma das caracter��sticas examinadas. No terceiro cap��tulo, eu observo quais mecanismos de governan��a corporativa fazem com que haja uma rela����o antag��nica entre os retornos das a����es brasileiras e o ��ndice de governan��a corporativa, conforme mostrado por Carvalhal e Nobili (2011). Nesta investiga����o, dou ��nfase �� concentra����o acion��ria das empresas brasileiras que, em compara����o com pa��ses mais desenvolvidos, �� extremamente alta.

Pr��mio de risco de investimento estrangeiro

Este estudo estima o pr��mio de risco de investimento estrangeiro. N��s testamos se a����es com maior covari��ncia entre seus retornos e per��odos ruins (quando o investimento estrangeiro em carteira na Bovespa �� negativo) s��o mais caras e, portanto, apresentam menores retornos. A metodologia consiste num procedimento de dois passos: as sensibilidades aos fatores de risco s��o estimadas a partir de regress��es em s��ries de tempo, ent��o, estes coeficientes estimados s��o utilizados como vari��veis explicativas na regress��o em dados em painel. �� utilizado o fator excesso de retorno do mercado, previsto pelo modelo CAPM (Capital Asset Pricing Model), como vari��vel de controle. Os resultados indicam que o pr��mio de risco de investimento estrangeiro �� nulo quando a participa����o do investidor estrangeiro no estoque de a����es listadas na Bovespa est�� em torno de 25%. Entretanto, �� medida que aumenta a participa����o desse tipo de investidor, o pr��mio de risco passa a ser significativo e positivo, atingindo 6,8% ao ano, quando a participa����o do investidor estrangeiro alcan��a metade do estoque de a����es.

Testing consumption optimality using aggregate data

The objective of this paper is to test for optimality of consumption decisions at the aggregate level (representative consumer) taking into account popular deviations from the canonical CRRA utility model rule of thumb and habit. First, we show that rule-of-thumb behavior in consumption is observational equivalent to behavior obtained by the optimizing model of King, Plosser and Rebelo (Journal of Monetary Economics, 1988), casting doubt on how reliable standard rule-of-thumb tests are. Second, although Carroll (2001) and Weber (2002) have criticized the linearization and testing of euler equations for consumption, we provide a deeper critique directly applicable to current rule-of-thumb tests. Third, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Asset-Pricing Equation, since the latter is a linear function of individual returns. Fourth, aggregation of the nonlinear euler equation forms the basis of a novel test of deviations from the canonical CRRA model of consumption in the presence of rule-of-thumb and habit behavior. We estimated 48 euler equations using GMM, with encouraging results vis-a-vis the optimality of consumption decisions. At the 5% level, we only rejected optimality twice out of 48 times. Empirical-test results show that we can still rely on the canonical CRRA model so prevalent in macroeconomics: out of 24 regressions, we found the rule-of-thumb parameter to be statistically signi cant at the 5% level only twice, and the habit �� parameter to be statistically signi cant on four occasions. The main message of this paper is that proper return aggregation is critical to study intertemporal substitution in a representative-agent framework. In this case, we fi nd little evidence of lack of optimality in consumption decisions, and deviations of the CRRA utility model along the lines of rule-of-thumb behavior and habit in preferences represent the exception, not the rule.

Essays on illiquidity premium

This dissertation is composed of three related essays on the relationship between illiquidity and returns. Chapter 1 describes the time-series properties of the relationship between market illiquidity and market return using both yearly and monthly datasets. We find that stationarized versions of the illiquidity measure have a positive, significant, and puzzling high premium. In Chapter 2, we estimate the response of illiquidity to a shock to returns, assuming that causality runs from returns to illiquidity and find that an increase in firms' returns lowers illiquidity. In Chapter 3 we take both effects into account and account for the endogeneity of returns and illiquidity to estimate the liquidity premium. We find evidence that the illiquidity premium is a smaller than the previous evidence suggests. Finally, Chapter 4 shows topics for future research where we describe a return decomposition with illiquidity costs.

A consumption CAPM with a reference level

We study an intertemporal asset pricing model in which a representative consumer maximizes expected utility derived from both the ratio of his consumption to some reference level and this level itself. If the reference consumption level is assumed to be determined by past consumption levels, the model generalizes the usual habit formation specifications. When the reference level growth rate is made dependent on the market portfolio return and on past consumption growth, the model mixes a consumption CAPM with habit formation together with the CAPM. It therefore provides, in an expected utility framework, a generalization of the non-expected recursive utility model of Epstein and Zin (1989). When we estimate this specification with aggregate per capita consumption, we obtain economically plausible values of the preference parameters, in contrast with the habit formation or the Epstein-Zin cases taken separately. All tests performed with various preference specifications confirm that the reference level enters significantly in the pricing kernel.

Macroeconomic announcements, price discovery, and order flow efects in the stock market: evidence from incomplete data and multiple financial markets

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous fundamental news im- pacts consistent with the asset pricing view of symmetric information, and permanent order ow e��ects consistent with a microstructure view of asymmetric information related to heterogeneous interpretation of public news. Theoretical motivation and empirical evidence for the operation of both mechanisms are presented. Signi cant in- stantaneous news impacts are detected for news related to real activity (including em- ployment), investment, in ation, and monetary policy; however, signi cant order ow e��ects are also observed on employment announcement days. A multi-market analysis suggests that these asymmetric information e��ects come from uncertainty about long term interest rates due to heterogeneous assessments of future Fed responses to em- ployment shocks.

Do equity and foreign currency risk premiums display common patterns?

In da Costa et al. (2006) we have shown how a same pricing kernel can account for the excess returns of the S&:P500 over the US short term bond and of the uncovered over the covered trading of foreign government bonds. In this paper we estimate and test the overidentifying restrictiom; of Euler equations associated with "ix different versions of the Consumption Capital Asset Pricing I\Iodel. Our main finding is that the same (however often unreasonable) values for the parameters are estimated for ali models in both nmrkets. In most cases, the rejections or otherwise of overidentifying restrictions occurs for the two markets, suggesting that success and failure stories for the equity premium repeat themselves in foreign exchange markets. Our results corroborate the findings in da Costa et al. (2006) that indicate a strong similarity between the behavior of excess returns in the two markets when modeled as risk premiums, providing empirical grounds to believe that the proposed preference-based solutions to puzzles in domestic financiaI markets can certainly shed light on the Forward Premium Puzzle.

Impondo mais restri����es ao modelo de apre��amento vetorial com s��ries temporais

Este Trabalho se Dedica ao exerc��cio emp��rico de gerar mais restri����es ao modelo de apre��amento de ativos com s��ries temporais desenvolvido por Hansen e Singleton JPE 1983. As restri����es v��o, desde um simples aumento qualitativo nos ativos estudados at�� uma extens��o te��rica proposta a partir de um estimador consistente do fator estoc��stico de desconto. As estimativas encontradas para a avers��o relativa ao risco do agente representativo est��o dentro do esperado, na maioria dos casos, j�� que atingem valores j�� encontrados na literatura al��m do fato destes valores serem economicamente plaus��veis. A extens��o te��rica proposta n��o atingiu resultados esperados, parecendo melhorar a estima����o do sistema marginalmente.

Tail risk in the hedge fund industry

The dissertation goal is to quantify the tail risk premium embedded into hedge funds' returns. Tail risk is the probability of extreme large losses. Although it is a rare event, asset pricing theory suggests that investors demand compensation for holding assets sensitive to extreme market downturns. By de nition, such events have a small likelihood to be represented in the sample, what poses a challenge to estimate the e ects of tail risk by means of traditional approaches such as VaR. The results show that it is not su cient to account for the tail risk stemming from equities markets. Active portfolio management employed by hedge funds demand a speci c measure to estimate and control tail risk. Our proposed factor lls that void inasmuch it presents explanatory power both over the time series as well as the cross-section of funds' returns.

A influ��ncia da alavancagem financeira na constru����o do custo de capital pr��prio: um estudo voltado para o mercado brasileiro

No contexto do Capital Asset Pricing Model (CAPM), este trabalho investiga a signific��ncia da alavancagem financeira na constru����o do risco sistem��tico. Testamos com dados brasileiros o procedimento de desalavancagem e realavancagem do beta comumente realizado por analistas financeiros para a constru����o do custo de capital pr��prio de empresas n��o negociadas em bolsa de valores. Os resultados apontam que a inclus��o do tax shield na f��rmula de desalavancagem/realavancagem e a utiliza����o de valores de mercado produzem resultados mais robustos, ao passo que as divis��es por setores possuem pouca capacidade como segmentadores de classe de risco sistem��tico.

Stochastic discount factor bounds and rare events: a review

We aim to provide a review of the stochastic discount factor bounds usually applied to diagnose asset pricing models. In particular, we mainly discuss the bounds used to analyze the disaster model of Barro (2006). Our attention is focused in this disaster model since the stochastic discount factor bounds that are applied to study the performance of disaster models usually consider the approach of Barro (2006). We ���rst present the entropy bounds that provide a diagnosis of the analyzed disaster model which are the methods of Almeida and Garcia (2012, 2016); Ghosh et al. (2016). Then, we discuss how their results according to the disaster model are related to each other and also present the ���ndings of other methodologies that are similar to these bounds but provide different evidence about the performance of the framework developed by Barro (2006).

The equity premium puzzle: um estudo de vi��s de sele����o dos ativos

As empresas de capital aberto, listadas em bolsa de valores, s��o naturalmente aquelas que vieram apresentando retornos superiores perante ��s demais empresas do seu setor. Assim, ser�� que o vi��s de sele����o desses ativos in uencia sigini cativamente no resultado do Equity Premium Puzzle, primordialmente lan��ado por Mehra and Prescott (1985)? �� essa pergunta que este trabalho investiga e conclui que, sim, de fato pode haver uma in u��ncia desse vi��s em explicar o Puzzle . Para isso, iremos gerar uma economia cujos ativos, por hip��tese, sejam preci cados de acordo com o fator estoc��stico de desconto (SDF) baseado em consumo, ou seja, os modelos conhecidos como CCAPM (Consumption Capital Asset Pricing Model). Assim, essa economia ser�� gerada via simula����o de Monte Carlo, de forma que iremos construir um ��ndice benchmark dessa economia, nos quais participariam apenas os ativos que foram historicamente mais rent��veis. Adota-se tal metodologia em paralelo �� forma como os reais benchmarks s��o construidos (S&P 500, Nasdaq, Ibovespa), em que neles participam, basicamente, as empresas de capital aberta mais negociadas em Bolsa de Valores, que s��o, comumente, as empresas historicamente mais rent��veis da economia. Em sequ��ncia, iremos realizar a estima����o via GMM (Generalized Method of Moments) de um dos par��metros de interesse de uma economia CCAPM: o coe ciente de avers��o relativa ao risco (CRRA). Finalmente, os resultados obtidos s��o comparados e analisados quanto ao vi��s de estima����o.