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.

Estimativa do custo m��dio ponderado de capital em produtos agr��colas

P��s-gradua����o em Agronomia (Energia na Agricultura) - FCA

A cr��tica de Mandelbrot: normalidade como exce����o e n��o como regra

Starting with a brief introduction about the evolution of asset pricing models, we seek here to introduce the critique made by Benoit Mandelbrot about using the normality hypothesis when building such models. This critique arises when empirical and theoretical models where confronted and the expected results diverged from the ones obtained. Next, we reproduce Mandelbrot alternative which he believes is sufficient to solve the main problems implied by the normality hyphotesis

Problemas de estima����o de custo de capital de empresas concession��rias no Brasil: uma aplica����o �� regulamenta����o de concess��es rodovi��rias

Neste trabalho, discute-se a fixa����o de taxas de retorno de concess��es no Brasil, com aplica����o espec��fica ao caso da metodologia da Ag��ncia Nacional de Transportes Terrestres (ANTT). Mostra-se a inadequa����o da regulamenta����o vigente, baseada no conceito de taxa interna de retorno (TIR), e n��o 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 tamb��m a falta de l��gica decorrente da utiliza����o de retornos e pre��os passados na estima����o de taxas de retorno, um procedimento comum a toda a ��rea de concess��es de servi��os p��blicos no Brasil. Prop��e-se uma metodologia alternativa cujos resultados s��o sens��veis ��s condi����es correntes de mercado de capitais, que produz resultados coerentes com a situa����o ent��o vigente.

Coassimetria, cocurtose e as taxas de retorno das a����es: uma an��lise com dados em painel

Modelos de apre��amento de ativos t��m sido um tema sob constante investiga����o em finan��as. Desde o capital asset pricing model (CAPM) proposto por Sharpe (1964), tais modelos relacionam, geralmente de maneira linear, a taxa de retorno esperada de um ativo ou carteira de ativos com fatores de risco sist��mico. Esta pesquisa apresenta um teste de um modelo de apre��amento, com dados brasileiros, introduzindo em sua formula����o fatores de risco baseados em comomentos estat��sticos. O modelo proposto �� uma extens��o do CAPM original acrescido da coassimetria e da cocurtose entre as taxas de retorno das a����es das empresas que comp��em a amostra e as taxas de retorno da carteira de mercado. Os efeitos de outras vari��veis, como o valor de mercado sobre valor cont��bil, a alavancagem financeira e um ��ndice de negociabilidade em bolsa, serviram de vari��veis de controle. A amostra foi composta de 179 empresas brasileiras n��o financeiras negociadas na BM&FBovespa e com dados dispon��veis entre os anos de 2003 a 2007. A metodologia consistiu em calcular os momentos sist��micos anuais a partir de taxas de retornos semanais e em seguida test��-los em um modelo de apre��amento, a fim de verificar se h�� um pr��mio pelo risco associado a cada uma dessas medidas de risco. Foi empregada a t��cnica de an��lise de dados em painel, estimada pelo m��todo dos momentos generalizado (GMM). O emprego do GMM visa lidar com potenciais problemas de determina����o simult��nea e endogeneidade nos dados, evitando a ocorr��ncia de vi��s nas estima����es. Os resultados das estima����es mostram que a rela����o das taxas de retorno dos ativos com a covari��ncia e a cocurtose s��o estatisticamente significantes. Os resultados se mostraram robustos a especifica����es alternativas do modelo. O artigo contribui para a literatura por apresentar evid��ncias emp��ricas brasileiras de que h�� um pr��mio pelo risco associado aos momentos sist��micos.

Bayesian Analysis of Linear Inverse Problems with Applications in Economics and Finance

In my PhD thesis I propose a Bayesian nonparametric estimation method for structural econometric models where the functional parameter of interest describes the economic agent's behavior. The structural parameter is characterized as the solution of a functional equation, or by using more technical words, as the solution of an inverse problem that can be either ill-posed or well-posed. From a Bayesian point of view, the parameter of interest is a random function and the solution to the inference problem is the posterior distribution of this parameter. A regular version of the posterior distribution in functional spaces is characterized. However, the infinite dimension of the considered spaces causes a problem of non continuity of the solution and then a problem of inconsistency, from a frequentist point of view, of the posterior distribution (i.e. problem of ill-posedness). The contribution of this essay is to propose new methods to deal with this problem of ill-posedness. The first one consists in adopting a Tikhonov regularization scheme in the construction of the posterior distribution so that I end up with a new object that I call regularized posterior distribution and that I guess it is solution of the inverse problem. The second approach consists in specifying a prior distribution on the parameter of interest of the g-prior type. Then, I detect a class of models for which the prior distribution is able to correct for the ill-posedness also in infinite dimensional problems. I study asymptotic properties of these proposed solutions and I prove that, under some regularity condition satisfied by the true value of the parameter of interest, they are consistent in a "frequentist" sense. Once I have set the general theory, I apply my bayesian nonparametric methodology to different estimation problems. First, I apply this estimator to deconvolution and to hazard rate, density and regression estimation. Then, I consider the estimation of an Instrumental Regression that is useful in micro-econometrics when we have to deal with problems of endogeneity. Finally, I develop an application in finance: I get the bayesian estimator for the equilibrium asset pricing functional by using the Euler equation defined in the Lucas'(1978) tree-type models.

Valoraci��n de recursos propios en empresas mineras: evidencia y comparaci��n con otros sectores

El capital financiero es muy vol��til y si el inversor no obtiene una remuneraci��n adecuada al riesgo que asume puede plantearse el retirar su capital del patrimonio de la empresa y, en consecuencia, producir un cambio estructural en cualquier sector de la econom��a. El objetivo principal es el estudio de los coeficientes de regresi��n (coeficiente beta) de los modelos de valoraci��n de activos empleados en Econom��a Financiera, esto es, el estudio de la variaci��n de la rentabilidad de los activos en funci��n de los cambios que suceden en los mercados. La elecci��n de los modelos utilizados se justifica por la amplia utilizaci��n te��rica y emp��rica de los mismos a lo largo de la historia de la Econom��a Financiera. Se han aplicado el modelo de valoraci��n de activos de mercado (capital asset pricing model, CAPM), el modelo basado en la teor��a de precios de arbitraje (arbitrage pricing theory, APT) y el modelo de tres factores de Fama y French (FF). Estos modelos se han aplicado a los rendimientos mensuales de 27 empresas del sector minero que cotizan en la bolsa de Nueva York (New York Stock Exchange, NYSE) o en la de Londres (London Stock Exchange, LSE), con datos del per��odo que comprende desde Enero de 2006 a Diciembre de 2010. Los resultados de series de tiempo y secci��n cruzada tanto para CAPM, como para APT y FF producen varios errores, lo que sugiere que muchas empresas del sector no han podido obtener el coste de capital. Tambi��n los resultados muestran que las empresas de mayor riesgo tienden a tener una menor rentabilidad. Estas conclusiones hacen poco probable que se mantenga en el largo plazo el equilibrio actual y puede que sea uno de los principales factores que impulsen un cambio estructural en el sector minero en forma de concentraciones de empresas. ABSTRACT Financial capital is highly volatile and if the investor does not get adequate compensation for the risk faced he may consider withdrawing his capital assets from the company and consequently produce a structural change in any sector of the economy. The main purpose is the study of the regression coefficients (beta) of asset pricing models used in financial economics, that is, the study of variation in profitability of assets in terms of the changes that occur in the markets. The choice of models used is justified by the extensive theoretical and empirical use of them throughout the history of financial economics. Have been used the capital asset pricing model, CAPM, the model XII based on the arbitrage pricing theory (APT) and the three-factor model of Fama and French (FF). These models have been applied to the monthly returns of 27 mining companies listed on the NYSE (New York Stock Exchange) or LSE(London Stock Exchange), using data from the period covered from January 2006 to December 2010. The results of time series and cross sectional regressions for CAPM, APT and FF produce some errors, suggesting that many companies have failed to obtain the cost of capital. Also the results show that higher risk firms tend to have lower profitability. These findings make it unlikely to be mainteined over the long term the current status and could drive structural change in the mining sector in the form of mergers.

UMA AN��LISE DA RELA����O ENTRE VARI��VEIS MACROECON��MICAS E O COMPORTAMENTO DAS A����ES DE MAIOR LIQUIDEZ DO ��NDICE IBOVESPA

As a����es de maior liquidez do ��ndice IBOVESPA, refletem o comportamento das a����es de um modo geral, bem como a rela����o das vari��veis macroecon��micas em seu comportamento e est��o entre as mais negociadas no mercado de capitais brasileiro. Desta forma, pode-se entender que h�� reflexos de fatores que impactam as empresas de maior liquidez que definem o comportamento das vari��veis macroecon��micas e que o inverso tamb��m �� uma verdade, oscila����es nos fatores macroecon��micos tamb��m afetam as a����es de maior liquidez, como IPCA, PIB, SELIC e Taxa de C��mbio. O estudo prop��e uma an��lise da rela����o existente entre vari��veis macroecon��micas e o comportamento das a����es de maior liquidez do ��ndice IBOVESPA, corroborando com estudos que buscam entender a influ��ncia de fatores macroecon��micos sobre o pre��o de a����es e contribuindo empiricamente com a forma����o de portf��lios de investimento. O trabalho abrangeu o per��odo de 2008 a 2014. Os resultados conclu��ram que a forma����o de carteiras, visando a prote����o do capital investido, deve conter ativos com correla����o negativa em rela����o ��s vari��veis estudadas, o que torna poss��vel a composi����o de uma carteira com risco reduzido.

Portfolio efficiency tests with conditioning information using empirical likelihood estimation

We evaluate the use of Generalized Empirical Likelihood (GEL) estimators in portfolios efficiency tests for asset pricing models in the presence of conditional information. Estimators from GEL family presents some optimal statistical properties, such as robustness to misspecification and better properties in finite samples. Unlike GMM, the bias for GEL estimators do not increase as more moment conditions are included, which is expected in conditional efficiency analysis. We found some evidences that estimators from GEL class really performs differently in small samples, where efficiency tests using GEL generate lower estimates compared to tests using the standard approach with GMM. With Monte Carlo experiments we see that GEL has better performance when distortions are present in data, especially under heavy tails and Gaussian shocks.

An SDF approach to hedge funds��� tail risk: evidence from Brazilian funds

The main purpose of this paper is to propose a methodology to obtain a hedge fund tail risk measure. Our measure builds on the methodologies proposed by Almeida and Garcia (2015) and Almeida, Ardison, Garcia, and Vicente (2016), which rely in solving dual minimization problems of Cressie Read discrepancy functions in spaces of probability measures. Due to the recently documented robustness of the Hellinger estimator (Kitamura et al., 2013), we adopt within the Cressie Read family, this specific discrepancy as loss function. From this choice, we derive a minimum Hellinger risk-neutral measure that correctly prices an observed panel of hedge fund returns. The estimated risk-neutral measure is used to construct our tail risk measure by pricing synthetic out-of-the-money put options on hedge fund returns of ten specific categories. We provide a detailed description of our methodology, extract the aggregate Tail risk hedge fund factor for Brazilian funds, and as a by product, a set of individual Tail risk factors for each specific hedge fund category.

Invariant risk attitudes

Concepts of constant absolute risk aversion and constant relative risk aversion have proved useful in the analysis of choice under uncertainty, but are quite restrictive, particularly when they are imposed jointly. A generalization of constant risk aversion, referred to as invariant risk aversion is developed. Invariant risk aversion is closely related to the possibility of representing preferences over state-contingent income vectors in terms of two parameters, the mean and a linearly homogeneous, translation-invariant index of riskiness. The best-known index with such properties is the standard deviation. The properties of the capital asset pricing model, usually expressed in terms of the mean and standard deviation, may be extended to the case of general invariant preferences. (C) 2003 Elsevier Inc. All rights reserved.

Consumption habit and international stock returns

We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices of risks associated with consumption relative to habit at the world as well as local levels. We also provide an exploratory investigation of the cross-sectional implications of the model under the complete world market integration hypothesis and find that the model performs mildly better than the traditional consumption-based model. the unconditional and conditional world CAPMs and a three-factor international asset pricing model. (C) 2004 Elsevier B.V. All rights reserved.

Forecasting stock returns using model-selection criteria

This paper examines the economic significance of return predictability in Australian equities. In light of considerable model uncertainty, formal model-selection criteria are used to choose a specification for the predictive model. A portfolio-switching strategy is implemented according to model predictions. Relative to a buy-and-hold market investment, the returns to the portfolio-switching strategy are impressive under several model-selection criteria, even after accounting for transaction costs. However, as these findings are not robust across other model-selection criteria examined, it is difficult to conclude that the degree of return predictability is economically significant.