Desempenho dos fundos de investimento de ações brasileiro : um estudo do período de 2000 a 2014

O objetivo primário deste trabalho é verificar se os fundos de investimento em ações brasileiros criaram valor, medido pelo alpha de Jensen, dentro do período selecionado. Em seguida, busca-se identificar os fatores determinantes dessa criação de valor. Utilizando a metodologia desenvolvida por Jensen (1968), inicialmente foram separados os fundos que geram alphas significativos dos que não geram. Os benchmarks de mercado utilizados foram Ibovespa e IBRx e as taxas livres de risco foram Taxa Selic, CDI e Poupança. A conclusão foi que os fundos de ações brasileiros, nos períodos estudados, não foram capazes de gerar alpha, independentemente do benchmark ou da taxa livre de risco. No entanto, os resultados foram piores quando comparados com o IBRx. Após esse processo, foi utilizada uma regressão cross section para encontrar quais as variáveis significativas para geração de alpha. Concluiu-se que quanto maior o fundo, maior o alpha gerado. No entanto, quanto mais velho o fundo e quanto maior a taxa de administração menor será o alpha gerado. Por fim, para gestores que geram alphas positivos, cada unidade adicional de risco gera valor e, para gestores com alpha negativo, cada unidade adicional de risco destrói valor

Múltiplos e seus determinantes: um estudo para o mercado de ações brasileiro

Esse trabalho tem como objetivo investigar a relação entre três múltiplos específicos (Preço/Lucro, Preço/Valor Patrimonial e Preço/Vendas) e seus determinantes (crescimento, payout ratio, risco, ROE e margem líquida), de acordo com a teoria apresentada por Aswath Damodaran. Para verificar essas relações, foram utilizadas duas metodologias econométricas distintas: A Regressão Linear Múltipla e o Modelo de Dados em Painel. Os dados coletados são referentes às empresas listadas no índice de ações da Bolsa de Valores de São Paulo – iBOVESPA. Os resultados apurados por ambos os métodos não foram os mesmos verificados na teoria, pois alguns dos determinantes não apresentaram o comportamento esperado, e também não foram estatisticamente significantes. A principal contribuição desse trabalho é a utilização da metodologia de Dados em Painel para obter os resultados.

Finanças corporativas: gestão de risco e abertura de capital

Este artigo examina quatro processos de bookbuilding no mercado brasileiro de ações executados por um banco de investimento, no período de 2003 a 2004. Em um processo de bookbuilding, o banco intermediário possui o poder de discricionariedade na fixação do preço de oferta e na alocação das ações aos investidores. Analisamos os determinantes da alocação e encontramos indícios da formação de mecanismos para induzir os investidores a revelarem informações superiores, porém fica claro que a preocupação com controle, liquidez do mercado secundário e com a participação de investidores de curto prazo (flippers) exercem influência mais intensa nesses critérios. Também encontramos diferenças entre resultados na alocação em (a) abertura de capital e (b) aumento de capital com emissão primária, mas em ambos os casos há uma tendência ao favorecimento a investidores de longo prazo.

Avaliação das teorias da liquidação ineficiente, monitoramento e risco moral no Brasil

O presente trabalho busca ir além da decisão, capital próprio ou terceiro, e verificar a decisão de qual tipo de recurso terceiro angariar, portanto, analisa a composição do endividamento da empresa com relação à fonte de financiamento: recursos privados ou públicos. Logo, foram construídos modelos econométricos com o intuito de investigar quais características, por parte da empresa, são relevantes na escolha de qual fonte recorrer para financiar suas atividades. Foram utilizados dados em painel de empresas brasileiras não pertencentes ao setor de Finanças e Seguros, cujas ações são negociadas na Bolsa de Valores de São Paulo (BOVESPA). Neste trabalho foram investigadas variáveis das empresas referentes à qualidade e credibilidade das informações contábeis, total de ativos imobilizados, lucratividade, alavancagem, setor de atuação, tamanho da empresa e internacionalização. Os resultados indicaram que fatores como total de ativos imobilizados, alavancagem, lucratividade e alguns setores de atuação são relevantes para determinar a estratégia de financiamento da firma. A variável nível de disclosure, responsável por diferenciar a empresa que possui qualidade da informação contábil superior às demais, não apresentou ser significante, embora, com o sinal esperado. Portanto, os resultados sugerem que as empresas estudadas tendem a seguir a teoria da liquidação ineficiente quando tomam as suas decisões de financiamento.

Tecnologia assistiva no Brasil : uma análise das ações da FINEP, período 2005 a 2008

A partir da importância que o tema pessoas portadoras de deficiência vem ganhando na agenda das políticas públicas brasileira nos últimos anos, a presente pesquisa teve como objetivo analisar as ações realizadas pela Finep no período de 2005 a 2008 cuja temática é a Tecnologia Assistiva (TA), para verificar se as ações geraram a introdução efetiva de produtos, serviços e processos inovadores no mercado consumidor de TA. A metodologia utilizada foi a Grounded Theory e a fonte primária de dados e de informações foi obtida na própria Finep. A pesquisa também apresenta exemplos de como as políticas públicas para TA vem sendo implementadas na União Europeia e Austrália. O estudo mapeou as principais dificuldades enfrentadas pelas instituições e empresas dedicadas aos projetos inovadores de TA para a introdução dos produtos assistivos nas linhas de produção e propiciou uma reflexão sobre as suas causas e sugestão sobre a participação mais efetiva e direta dos envolvidos e a continuidade das ações para alcance dos resultados almejados nas ações de TA apoiadas pela Finep. Há, no entanto, um hiato entre a pesquisa, o lote piloto ou prova de conceito e a efetiva produção dos bens e serviços assistivos e vários são os motivos identificados na pesquisa que concorrem para esse distanciamento como, por exemplo, o perfil das empresas e sua propensão ao risco, uma vez que o ciclo de execução do projeto de TA demanda várias fases e, portanto, tempo até se obter o protótipo e poder iniciar a comercialização.

In cash we trust: cash holdings in the brazilian equity fund industry

We study cash allocation ability as a possible explanatory factor that allows equity fund managers to produce high levels of adjusted returns (not explained by the risk factors they are exposed to). In order to do so, we explore the non-indexed Brazilian equity fund industry during the period of January 2006 to February 2015, evaluating cash allocation ability by level and effectiveness of cash deployment using return-based and holding-based approaches to explore a database of monthly invested assets and returns. We found that even though market timing is a rare skill in the industry, the flexibility to hold high levels of cash played a significant role in the result of over performing managers.

Impacto de chuvas extremas em ações da indústria de alimentos

A análise dos efeitos decorrentes de chuvas extremas sobre o retorno das ações de algumas das principais empresas do setor alimentício brasileiro é de fundamental relevância, por ser um setor com capacidade expressiva para impulsionar o crescimento econômico do Brasil. Diante disso, neste trabalho é analisado o impacto sobre o retorno financeiro diário de seus empresas do setor alimentício brasileiro decorrente de precipitação pluviométrica extrema. Para tal, os retornos diários foram ajustados pelo modelo AR(1)-GARCH(1,1), onde suas inovações foram modeladas pela Teoria dos Valores Extremos. A partir daí o valor em risco (VaR) foi estimado para analisar o impacto das chuvas extremas sobre as ações em estudo. Os resultados encontrados indicam que, em cinco das seis empresas analisadas, pelo menos mais da metade dos impactos pluviométricos extremos apresentaram-se significantes.

Teste de eficiência da magic formula de value investing para o mercado brasileiro de ações

O objetivo desse trabalho é realizar um procedimento de back-test da Magic Formula no IBX-100, a fim de reunir evidencias sobre a eficiência de tal metodologia no processo de seleção das melhores ações e formação de carteiras que superem o desempenho do IBX-100 no longo prazo. Desenvolvida por Joel Greenblatt, a Magic Formula é uma metodologia de formação de carteiras que consiste em escolher ações com altos ROICs e Earnings Yields, seguindo a filosofia de Value Investing. Diversas carteiras foram montadas no período de janeiro de 2000 a junho de 2015 utilizando diferentes combinações de número de ativos por carteira e períodos de permanência. Nem todas as carteiras apresentaram retornos superiores ao índice de mercado. Aparentemente, as carteiras com mais ações e períodos de permanência mais longos apresentam desempenho superior às carteiras menores e com rotatividade maior (períodos de permanência mais curtos). A carteira de 10 ações, com período de permanência de 1 ano, apresentou o maior CAGR dentre todas as outras (17,77%), superando o CAGR de 13,17% do IBX-100 no mesmo período. Esse resultado foi superior mesmo quando ajustado ao risco. Independentemente do período de permanência e número de ações, todas as carteiras apresentaram riscos sistemáticos menores do que o índice IBX-100 (todos os betas foram significativos e menores do que 1). Por outro lado, os alfas das carteiras foram muito baixos e, raramente, significativos, sugerindo que a gestão ativa de acordo com os critérios da Magic Formula não adiciona retornos substancialmente maiores do que o retorno relacionado à variações de mercado.

Portfólios ponderados pelo risco : uma abordagem para a alocação de carteiras

Esse estudo busca analisar o desempenho de um portfólio de investimento constituído através da contribuição equânime do risco de seus ativos para o risco total do portfólio, ou seja, a chamada estratégia de risk parity, utilizando uma amostra composta de dados diários de cotações de fechamento de 27 ações pertencentes ao mercado brasileiro de ações entre janeiro de 2004 e dezembro de 2014. O estudo compara tal portfólio com outros três portfólios constituídos através de abordagens tradicionais: o portfólio baseado na estratégia por média-variância, o portfólio baseado na estratégia por mínima variância e o portfólio igualmente ponderado, também conhecido como portfólio ingênuo (naive). Ao mesmo tempo, o estudo analisa o desempenho do portfólio comparado a dois indicadores importantes do mercado de capitais brasileiro: o IBOVESPA e o CDI. Foram construídas séries temporais com rebalanceamento trimestral dos portfólios para o desenvolvimento do estudo, como efetuado em Maillard et al. (2010). Os resultados demonstram que o portfólio constituído através da contribuição equânime ao risco não apresentou desempenho superior quando comparado aos portfólios por média-variância e por mínima variância, em termos de retorno e risco. Por outro lado, quando comparado ao portfólio ingênuo, ao IBOVESPA e ao CDI, o desempenho obtido foi superior, tendo também apresentado resultados similares aos exibidos em Maillard et al. (2010). O estudo conclui que a construção de carteiras por risk parity é uma alternativa viável para a composição de carteiras que buscam estabilidade na alocação de risco e nos pesos dos ativos no longo prazo, diante de diferentes cenários macroeconômicos.

Acesso aos serviços odontológicos e incidência de cárie em adolescentes e fatores de risco em município do Nordeste Brasileiro, 2006

The aims of this study were to analyze the access of dental services by child population, to determine the prevalence of dental caries, gingivitis and malocclusion in resident children from the municipal district of Sobral Ceará and to evaluate the incidence of the dental decay in adolescents associated with the factors related to socioeconomic condition, access to health services and self-perception. This study had as main factor the multidisciplinary represented by the participation of health professional (doctors, dentists, nurses) in the development of the survey's initial reference; student from Human Sciences area to apply the structured questionnaire in domiciliary visits; statistics professionals in the orientation of the analysis to be held and family health team (community health agents, dentists and dental clinic assistants) in the scheduling of domiciliary visits and the accomplishment of oral exam. The sample was determined from the domicile record that included children born between 1990 and 1994 to develop the research Children health conditions in the municipal district of Sobral Ceará . The first sample comprised 3425 parents of children from 5 to 9 years old, living in the urban area at the municipal district of Sobral Ceará, aiming at identifying the most important factors associated to the access to dental service. From this sample, 1021 children were selected in a systematic way, for the accomplishment to the epidemiological study of decay, gingivitis and malocclusion. In the study's third phase, in order to arrange the group to be followed, 688 adolescents were examined and interviewed, by means of the active search from the 1021 individuals that had been previously examined. It was observed that 50.9% of the children had access to dental service at least once in a lifetime. Of this total, 65.3% accomplished it during the last year, and 85.4% of these did in public services, what allows to identify the importance of this sector in the access to dental services. It was observed that the factors that most affected the access to dental 129 services were related to socioeconomic condition, such as the access to health plan, the possession of toothbrush, garbage collecting, mother s schooling, sewerage treatment and malnutrition. In relation to oral diseases, an increase in the DMF-T index according the age was observed, from 0.10 in five years old to 1.66 in the nine years old, while with the dmf-t index, the inverse happened, since the index decreased from 3.59 in five years old to 2.69 in nine years old. In relation to gingivitis, an average 32.7% of the children presented gum bleeding. In what concerns malocclusion, it was observed that 60.3% of the children didn't present any problem, 30.17% had light malocclusion and 9.5% severe malocclusion. The average incidence of dental caries was 1.86 teeth per youngster. Among the studied variables, tooth pain in the last six months, mother's income and school snack, adjusted by the perception about the need of treatment, the mother's schooling and the dentist's appointment at least once in a lifetime, were the variables that presented positive relationship with the high incidence of dental caries on this population by logistic regression. Variables of socioeconomic nature, related to the access to health services and behavior and biological variables presented a relationship with the high caries incidence. The study point out to the need of developing health actions in a humanized way, by an oral health team effectively bound to the population's interest, with the great objective to provide, with the public health services managers, adequate conditions to improve oral health

As relações de poder na gestão da Escola Estadual Presidente Kennedy em Natal/RN: as ações decisórias dos órgãos colegiados - o conselho de escola e o caixa escolar

The present study examined the relations of power in the management of the Escola Estadual Presidente Kennedy, including the deliberate decisions on the School Council and School Fund, which guided the organization of the school. We sought to understand the management models that influenced the school organization, promoting contradictions in the decision making process. The school management is intensely marked by management models from the business logics as in the case of managerialism of bureaucracy. The formulation of educational policies based on managerialism has proposed a school-centered management with intense accountability of the school community in planning and monitoring the public services. The influences of these models subsidize hierarchical power relations that undermine the actions of decision-making of the collegiate bodies for the democratization of school management. To develop a research on the power, the investigation was based on studies of Bourdieu and Foucault. These authors understand the power in a relational system in a double sense, both in terms of discipline and the possibility of resistance. A theoreticalmethodological matrix was developed focusing on literature review, document analysis, structured interviews with twelve representatives of the segments belonging to the School Council and School Fund, as well as observations in meetings with the production of field notes. It was found that power relations experienced in the organization and activities of the school boards are marked by changes in public management over the years, promoting the contradictions between the concepts of corporate management originated in the business logics and the perspective of democratic management subsidized by official legislative documents at the national and state levels. The observations in meetings and analysis of the records showed that representatives related to management (president and manager of the school) have a privileged position with regard to exposure of their propositions, and are more likely to take a position in the political game of the collegiate bodies of work. It was also seen that the irregularity of meetings, particularly of the School Fund meetings, limits the experience of operation of the representatives in discussions concerning the planning and monitoring the actions of school management. Reports from representatives of the School Council showed that certain segments related to the management recognize their power of decision, however others have little interfere in the decision-making process in order to expound the desires of those who are represented by them. In the School Fund, the analysis of the records and interviews showed restricted moments of the meeting of representatives, and these only being aimed at choice or approval of the implementation plan prepared by the school management. The results showed no indications of moments of reflection to study the best chance for applicability of resources. This collegiate body (School Fund) has a questionable action when planning and monitoring the applicability of the financial resources of the School. To sum up, it was found that the Escola Estadual Presidente Kennedy still lives hierarchical power relations that undermine the institutionalization of democratic management in the various representative segments may take place in the game of political decision-making processes necessary for the organization of the school

Ações de detecção precoce do câncer de mama realizadas por profissionais da estratégia saúde da família

This study is an exploratory descriptive study with a quantitative approach. The objective was to identify the actions for the early detection of breast cancer conducted by the health professionals of the Family Health Strategy in the Trairi region of the State of Rio Grande do Norte, Brazil. The research was conducted in nine municipalities of the region. Data were collected by means of a questionnaire with 52 Family Health Strategy professionals, 30 nurses and 22 physicians, that work in the region. Analysis was conducted using descriptive statistics. The results were organized and discussed in three areas: Knowledge about the early detection of breast cancer; Actions for early detection detection of breast cancer, and Difficulties experienced in the screening actions for breast cancer. The results indicate that these professionals (100%) have knowledge of the signs and symptoms of breast cancer and that the majority (96,2%) conduct screening actions in accordance with the recommendations of the Ministry of Health. However, a considerable number (55,8%) of these professionals encounters difficulties while conducting the screening procedures in his work setting. The difficulties varied from those of a personal nature to those of access to the procedure, such as the unavailability of sufficient quotas of screening exams. We conclude that the majority of health professionals execute the screening actions for breast cancer in their work settings according to the recommendations of the Ministry of Health, even though they encounter difficulties in the conclusion of the mammography and ultrasound exams, essential procedures in the early detection of breast cancer. We understand that these professionals demonstrate knowledge of secondary prevention even though they do not execute all the actions necessary for early detection primarily because they are impeded by the blockage of access to exam quotas. We conclude that, in spite of the difficulties experienced, the procedures for the early detection of breast cancer are being executed by the majority of the Family Health Strategy professionals in the Trairí region, specifically the clinical examination of the breast, orientation of breast self examination, requests for mammography and ultra sound examinations. Measures are needed that can mediate the difficulties, that will permit the realization of secondary prevention procedures with the population at risk in the region. We suggest training and actualization courses on the complete screening process that includes a wide discussion of the new legislation that provides the mammography exam for women over 40 years. We believe that the acquisition of such a work perspective for the early detection of breast cancer, along with knowledge of health vigilance and of breast cancer, will enhance integral health care of women that constitutes an aim of the nurse and the family health team

Ações de profissionais relativas ao banco de leite humano : uma perspectiva de mudança

This is an exploratory and descriptive study that aimed to investigate the actions of professionals in the context of breastfeeding, on the assumption that the actions taken by employees working together to postpartum and newborn are not competing to effect the distribution of pasteurized human milk so that it meets the needs of infants who depend on it. Thus, the study aimed to analyze the actions of medical and nursing staff of the distribution of pasteurized human milk to the newly born. The investigation was developed by action research in a federal hospital, located in the capital the state of Rio Grande do Norte, Brazil, reference assistance to women during pregnancy, childbirth and postpartum high risk in 2010. Study participants were fifty-five professionals chosen from the following inclusion criteria: to act in the NICU or rooming, being a pediatrician and / or neonatologists, nurses and technical nursing. According to the methodology of action research a questionnaire was applied, techniques in focus groups and courses were developed, and, finally, action evaluation. The project was submitted to the Ethics Committee at the Federal University of Rio Grande do Norte and approved with no protocol 448/2009. The problems identified in the responses issued by the social research were grouped into categories according to the similarity between them. The answer to the question of the survey - How is the need for pasteurized human milk for the newborns in neonatal intensive care unit and rooming identified? - Brought subsidies for action planning and implementation of strategies for change in the practice of professionals working in rooming and ICU. Thus, the study has relevance in social care and, when at the local level, will compete for the distribution pasteurized human milk to take effect as best as possible, as recommended by the Ministry of Health. It is also conceived that, in a macro view of society, it could contribute to minimizing the health problem that involves the child population

Estratégias baseadas em aprendizado para coordenação de uma frota de robôs em tarefas cooperativas

In multi-robot systems, both control architecture and work strategy represent a challenge for researchers. It is important to have a robust architecture that can be easily adapted to requirement changes. It is also important that work strategy allows robots to complete tasks efficiently, considering that robots interact directly in environments with humans. In this context, this work explores two approaches for robot soccer team coordination for cooperative tasks development. Both approaches are based on a combination of imitation learning and reinforcement learning. Thus, in the first approach was developed a control architecture, a fuzzy inference engine for recognizing situations in robot soccer games, a software for narration of robot soccer games based on the inference engine and the implementation of learning by imitation from observation and analysis of others robotic teams. Moreover, state abstraction was efficiently implemented in reinforcement learning applied to the robot soccer standard problem. Finally, reinforcement learning was implemented in a form where actions are explored only in some states (for example, states where an specialist robot system used them) differently to the traditional form, where actions have to be tested in all states. In the second approach reinforcement learning was implemented with function approximation, for which an algorithm called RBF-Sarsa($lambda$) was created. In both approaches batch reinforcement learning algorithms were implemented and imitation learning was used as a seed for reinforcement learning. Moreover, learning from robotic teams controlled by humans was explored. The proposal in this work had revealed efficient in the robot soccer standard problem and, when implemented in other robotics systems, they will allow that these robotics systems can efficiently and effectively develop assigned tasks. These approaches will give high adaptation capabilities to requirements and environment changes.

Conservação dos invertebrados em área de proteção ambiental litorânea no nordeste do Brasil: contribuições da educação ambiental para a sustentabilidade

Today's society is in a real collapse of an environmental nature. The populations are lost due to a dream of development without thinking of the consequences that said development can bring to human populations. Thus, it is necessary that strategies be developed for the purpose of protecting the flora and fauna that is at risk from suffering the pressure to achieve this development. Thus important issues involving the need to conserve nature and the creation of protected areas as these strategies are increasingly being developed in research, whether in the biological and / or social. In this sense, the aim of this research through environmental perception social actors for the formation of significant elements for understanding the relationship between man and nature, and from there to provide actions for sensitization. As well as changing attitudes towards environmental issues, to thereby provide analysis based on Environmental Education in order to provide the production of environmental knowledge as a tool that provides value shift. This area of research was to study the Environmental Protection Area Jenipabu - APA Jenipabu, located in northeastern Brazil. Where, from the environmental perception of students from schools within and around this Nature Conservation Unit notes were made regarding the value and meaning given by students, and how this, the feeling of belonging to these groups. This dissertation is composed of two chapters, the first is titled Environmental perception and feeling of belonging in the area of environmental protection in coastal RN - Brazil, where it makes a diagnosis of how these groups understands and realizes the Unity of Nature Conservation. The second, which is titled Construction of environmental knowledge and conservation of invertebrates in the Environmental Protection Area in the northeast coast of Brazil, specifically developed in the school from within the APA Jenipabu, in order to promote a sense of belonging for those students who become multipliers, in order to realize the importance and necessity of having this unit for Nature Conservation. Looking to the degree of importance of environmental education as a tool to raise awareness on conservation of invertebrates and is all the fauna and flora exists, whether in a conservation of nature or not