Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets

Esse trabalho é uma aplicação do modelo intertemporal de apreçamento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes períodos. As varíaveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acionário americano no period de 1929 a 2001 mostraram-se também bons preditores de excesso de retorno para o mercado brasileiro no período recente, com exceção da inclinação da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que não é coerente com a explicação para o prêmio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os resíduos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante não explica adequadamente os retornos observados. Para o mercado norte-americano, concluímos que a abilidade das variáveis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o prêmio de valor para o mercado norte-americano na amostra de 1963 a 2001 é resultado da especificação do VAR na amostra completa, pois mostramos que nenhuma das varíaveis é um preditor de retorno estatisticamente significante nessa sub-amostra.

Impact investing: portfolio company selection in Latin America

O documento analisa como investidores de impacto selecionar suas companhias de portfólio na América Latina e que critérios são avaliados no processo. Uma vez que praticamente ne-nhuma pesquisa sobre isso foi con conduzidos até à data, e desde que o modelo de processo de seleção aplicados em capital de risco não é dissemelhantes, foi adotado essa abordagem. Os resultados revelam que os investidores de impacto originar e avaliar negócios de uma for-ma semelhante a capitalistas de risco , mas que alguns critérios são ajustados e outros adicio-nados a fim de refletir o duplo objectivo de investimento de impacto. Os investidores de im-pacto podem originar ofertas passivamente, mas eles preferem procurar empreendimentos sociais de forma proativa: contatos pessoais, o acesso a redes e eventos do setor são cruciais neste contexto. Impacto Investidores considerando um investimento em pesquisa para a Amé-rica Latina inteira, empreendedores sociais honestos e confiáveis comprometidos com impacto social; empreendimentos sociais elegíveis devem ser rentáveis com potencial de escalabilidade; o produto deve ter um impacto social, ou seja, criar valor para o consumidor individual e para a comunidade em geral; tamanho do mercado e crescimento do mercado são fatores externos cruciais; e as características de negócio dependem de atitude de risco do investidor e as perspectivas de uma saída bem sucedida, tanto em termos financeiros e sociais. Os investi-dores de impacto também estão dispostos a dar apoio não financeiro antes de um investimen-to, se um empreendimento social, mostra alto potencial para atingir o seu objectivo dual.

The role of consumer's risk aversion on price rigidity

This paper aims at contributing to the research agenda on the sources of price stickiness, showing that the adoption of nominal price rigidity may be an optimal firms' reaction to the consumers' behavior, even if firms have no adjustment costs. With regular broadly accepted assumptions on economic agents behavior, we show that firms' competition can lead to the adoption of sticky prices as an (sub-game perfect) equilibrium strategy. We introduce the concept of a consumption centers model economy in which there are several complete markets. Moreover, we weaken some traditional assumptions used in standard monetary policy models, by assuming that households have imperfect information about the ineflicient time-varying cost shocks faced by the firms, e.g. the ones regarding to inefficient equilibrium output leveIs under fiexible prices. Moreover, the timing of events are assumed in such a way that, at every period, consumers have access to the actual prices prevailing in the market only after choosing a particular consumption center. Since such choices under uncertainty may decrease the expected utilities of risk averse consumers, competitive firms adopt some degree of price stickiness in order to minimize the price uncertainty and fi attract more customers fi.'

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.

Improvement on the sales forecast accuracy for a fast growing company by the best combination of historical data usage and clients segmentation

Industrial companies in developing countries are facing rapid growths, and this requires having in place the best organizational processes to cope with the market demand. Sales forecasting, as a tool aligned with the general strategy of the company, needs to be as much accurate as possible, in order to achieve the sales targets by making available the right information for purchasing, planning and control of production areas, and finally attending in time and form the demand generated. The present dissertation uses a single case study from the subsidiary of an international explosives company based in Brazil, Maxam, experiencing high growth in sales, and therefore facing the challenge to adequate its structure and processes properly for the rapid growth expected. Diverse sales forecast techniques have been analyzed to compare the actual monthly sales forecast, based on the sales force representatives’ market knowledge, with forecasts based on the analysis of historical sales data. The dissertation findings show how the combination of both qualitative and quantitative forecasts, by the creation of a combined forecast that considers both client´s demand knowledge from the sales workforce with time series analysis, leads to the improvement on the accuracy of the company´s sales forecast.

Wrong-way risk in stock swaps : measuring counterparty credit risk and CVA

Uma forma interessante para uma companhia que pretende assumir uma posição comprada em suas próprias ações ou lançar futuramente um programa de recompra de ações, mas sem precisar dispor de caixa ou ter que contratar um empréstimo, ou então se protegendo de uma eventual alta no preço das ações, é através da contratação de um swap de ações. Neste swap, a companhia fica ativa na variação de sua própria ação enquanto paga uma taxa de juros pré ou pós-fixada. Contudo, este tipo de swap apresenta risco wrong-way, ou seja, existe uma dependência positiva entre a ação subjacente do swap e a probabilidade de default da companhia, o que precisa ser considerado por um banco ao precificar este tipo de swap. Neste trabalho propomos um modelo para incorporar a dependência entre probabilidades de default e a exposição à contraparte no cálculo do CVA para este tipo de swap. Utilizamos um processo de Cox para modelar o instante de ocorrência de default, dado que a intensidade estocástica de default segue um modelo do tipo CIR, e assumindo que o fator aleatório presente na ação subjacente e que o fator aleatório presente na intensidade de default são dados conjuntamente por uma distribuição normal padrão bivariada. Analisamos o impacto no CVA da incorporação do riscowrong-way para este tipo de swap com diferentes contrapartes, e para diferentes prazos de vencimento e níveis de correlação.

Lifestyle factors, direct and indirect costs for a Brazilian airline company

OBJECTIVE: To analyze lifestyle risk factors related to direct healthcare costs and the indirect costs due to sick leave among workers of an airline company in Brazil. METHODS: In this longitudinal 12-month study of 2,201 employees of a Brazilian airline company, the costs of sick leave and healthcare were the primary outcomes of interest. Information on the independent variables, such as gender, age, educational level, type of work, stress, and lifestyle-related factors (body mass index, physical activity, and smoking), was collected using a questionnaire on enrolment in the study. Data on sick leave days were available from the company register, and data on healthcare costs were obtained from insurance records. Multivariate linear regression analysis was used to investigate the association between direct and indirect healthcare costs with sociodemographic, work, and lifestyle-related factors. RESULTS: Over the 12-month study period, the average direct healthcare expenditure per worker was US$505.00 and the average indirect cost because of sick leave was US$249.00 per worker. Direct costs were more than twice the indirect costs and both were higher in women. Body mass index was a determinant of direct costs and smoking was a determinant of indirect costs. CONCLUSIONS: Obesity and smoking among workers in a Brazilian airline company were associated with increased health costs. Therefore, promoting a healthy diet, physical activity, and anti-tobacco campaigns are important targets for health promotion in this study population.

HACCP plan proposal for a typical Brazilian peanut processing company

Peanuts are likely to be infested by fungi with consequent contamination by aflatoxin in post-harvest industries. A hazard analysis critical control point (HACCP) plan is proposed for a typical Brazilian post-harvest industry from raw in-shell reception to the unpeeled peanuts transportation. Codex Alimentarius Commission guidelines were followed, with four critical control points (CCP) for aflatoxin being identified. The process steps with highest probability of aflatoxin occurrence (risk) are the in-shell reception, the dried in-shell storage, and the unpeeled kernel storage. During the storage steps there is a lack of control of air moisture and temperature. Therefore, there is no option but to keep rigid monitoring and control over each CCP, and detour lots with high aflatoxin levels to either oil or seed production. Attempts to correlate the aflatoxin levels with the rainfall showed an irregular trend of the toxin level. (c) 2008 Elsevier Ltd. All rights reserved.

Supply chain risk management: An exploratory research in Brazilian aerospace industry

This paper aimed to analyse supply chain risk factors in aerospace industry. It was conducted an exploratory research at an important Brazilian aerospace company. This company has a major role at the global aerospace industry. Senior managers assessed risk factors such as quality, productivity, supply chain, business strategy, organisation, environmental and natural political, indicators, product management, and information system. Analytic hierarchy process was applied to prioritise these factors. The most relevant were quality and productivity. Copyright © 2011 Inderscience Enterprises Ltd.

La gripe en adultos en américa latina, situación actual y tendencias futuras: Una declaración de consenso

In Latin America, adult influenza is a serious disease that exacts a heavy burden in terms of morbidity, mortality, and cost. Although much has been written about the disease itself, relatively little information has been compiled on what could be done to reduce its impact across the region, particularly from the perspective of clinicians with firsthand experience in confronting its effects. To fill this data gap, in 2011, the Pan American Health and Education Foundation (PAHEF) and the U.S.-based nonprofit Fighting Infectious Diseases in Emerging Countries (FIDEC) organized a conference and convened a panel of Latin American scientistclinicians with experience and expertise in adult influenza in the region to 1) discuss the major issues related to the disease and 2) develop and produce a consensus statement summarizing its impact as well as current efforts to diagnose, prevent, and treat it. The consensus panel concluded a more concerted and better-coordinated effort was needed to reduce the adverse impact of seasonal influenza and future pandemics, including more surveillance, more active involvement by both governmental and nongovernmental organizations, and a much greater effort to vaccinate more adults, especially those at high risk of contracting the disease. In addition, a new approach for diagnosing influenza was recommended.

Aplicação dos modelos clássicos de estoques em uma rede de varejo supermercadista

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

Avaliação da produtividade no trabalho organizado em turnos em uma empresa vidreira

Work organized in shifts, either for technological, social or economic imposition, allows the best use of means of production, increasing the overall productivity of the enterprises. At the same time, this type of work harms the individual productive capacity of workers, particularly those involved in the night shift. The objective of this work was to assess the behaviour of production in a continuous line and subjected to work organized in shifts. Through the statistical method of analysis of variance, Spearman's test and Tukey's method, was analysed the distribution of the productivity index measured in three fixed shifts of work in a glass company. The productivity index, provided by the integrated management system of the company, refers to the ratio of actual productivity to total productivity. The statistical analysis shows that factors of production, such as allocation of workers, do not interfere with productivity, showing an unexpected pattern, where the average productivity for the three shifts are close and the correlation between the number of workers on the line and productivity is low. The conditions of production had an adverse work environment with exposure to noise, heat, vaporized mist of lubricating oil and risk of accidents. The findings show that the calculation of productivity in use is limited and its use in company’s production control may produce distortions. It is proposed to examine alternative calculations methods that consider the overall productivity

Response to Chemotherapy in Overweight/Obese Patients With Low-Risk Gestational Trophoblastic Neoplasia

Objective Despite rising global obesity rates, the impact of obesity on gestational trophoblastic neoplasia (GTN) remains uninvestigated. This study aimed at investigating whether overweight/obesity relates to response to chemotherapy in low-risk GTN patients.Methods This nonconcurrent cohort study included 300 patients with International Federation of Gynecology and Obstetrics-defined postmolar low-risk GTN treated with a single-agent chemotherapymethotrexate or actinomycin-D (actD)between 1973 and 2012 at the New England Trophoblastic Disease Center. Chemotherapy dosing was based on actual body weight regardless of obesity status, except for 5-day courses or pulse regimens of actD. Patients were classified as overweight/obese (body mass index [BMI] 25 kg/m(2)) or non-overweight/obese (BMI <25 kg/m(2)). Information on patient characteristics and response to chemotherapy (need for second-line chemotherapy, reason for changing to an alternative chemotherapy, number of cycles, need for combination chemotherapy, and time to human chorionic gonadotropin remission) was obtained.Results Of 300 low-risk GTN patients, 81 (27%) were overweight/obese. Overweight/obese patients were older than the non-overweight/obese patients (median age: 30 vs 28 years, P = 0.004). First-line therapy using actD was more frequent in overweight/obese patients (6.2% vs 1.4%, P = 0.036). Resistance and toxicity were similar between groups. No significant difference in the number of chemotherapy cycles needed for remission or time required to achieve remission was found between groups.Conclusions No association between overweight/obesity and low-risk GTN outcomes was found. Current chemotherapy dosing using BMI seems to be appropriate for overweight/obese patients with low-risk GTN.

Risk Management Challenges and Opportunities in 2010

In 2009, agriculture was impacted by significant volatility in commodity and input prices and major world economic events. The world economy continued to flounder, resulting in reduced demand for agricultural commodities, particularly livestock products. The H1N1 outbreak further exacerbated the situation as consumers around the world reduced their consumption of pork. In the last quarter of 2009, unemployment in the United States reached ten percent and continues to rise each month, albeit at a slower rate. In recent reports economic analysts contend the reported figures underestimate the actual unemployment, and that we will continue to face ten percent or more unemployment through 2010.

Risk factors for magnetic resonance imaging-detected patellofemoral and tibiofemoral cartilage loss during a six-month period: The Joints On Glucosamine study

Objective To assess several baseline risk factors that may predict patellofemoral and tibiofemoral cartilage loss during a 6-month period. Methods For 177 subjects with chronic knee pain, 3T magnetic resonance imaging (MRI) of both knees was performed at baseline and followup. Knees were semiquantitatively assessed, evaluating cartilage morphology, subchondral bone marrow lesions, meniscal morphology/extrusion, synovitis, and effusion. Age, sex, and body mass index (BMI), bone marrow lesions, meniscal damage/extrusion, synovitis, effusion, and prevalent cartilage damage in the same subregion were evaluated as possible risk factors for cartilage loss. Logistic regression models were applied to predict cartilage loss. Models were adjusted for age, sex, treatment, and BMI. Results Seventy-nine subregions (1.6%) showed incident or worsening cartilage damage at followup. None of the demographic risk factors was predictive of future cartilage loss. Predictors of patellofemoral cartilage loss were effusion, with an adjusted odds ratio (OR) of 3.5 (95% confidence interval [95% CI] 1.39.4), and prevalent cartilage damage in the same subregion with an adjusted OR of 4.3 (95% CI 1.314.1). Risk factors for tibiofemoral cartilage loss were baseline meniscal extrusion (adjusted OR 3.6 [95% CI 1.310.1]), prevalent bone marrow lesions (adjusted OR 4.7 [95% CI 1.119.5]), and prevalent cartilage damage (adjusted OR 15.3 [95% CI 4.947.4]). Conclusion Cartilage loss over 6 months is rare, but may be detected semiquantitatively by 3T MRI and is most commonly observed in knees with Kellgren/Lawrence grade 3. Predictors of patellofemoral cartilage loss were effusion and prevalent cartilage damage in the same subregion. Predictors of tibiofemoral cartilage loss were prevalent cartilage damage, bone marrow lesions, and meniscal extrusion.