Fator estocástico de desconto: as cotas de variância, métricas de distância e suas extensões

The concept of stochastic discount factor pervades the Modern Theory of Asset Pricing. Initially, such object allows unattached pricing models to be discussed under the same terms. However, Hansen and Jagannathan have shown there is worthy information to be brought forth from such powerful concept which undelies asset pricing models. From security market data sets, one is able to explore the behavior of such random variable, determining a useful variance bound. Furthermore, through that instrument, they explore one pitfall on modern asset pricing: model misspecification. Those major contributions, alongside with some of its extensions, are thoroughly investigated in this exposition.

Constructing common-factor portfolios

In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic properties of the usual factor transformations, although some new interesting properties are further attached to them. Some theoretical advantages are shown to be present. Also, their practical importance is confirmed in two applications: the performance of common-factor portfolios are shown to be superior to that of asset returns and factors commonly employed in the finance literature.

The forward- and the equity-premium puzzles: two symptoms of the same illness?

Using information on US domestic financial data only, we build a stochastic discount factor—SDF— and check whether it accounts for foreign markets stylized facts that escape consumption based models. By interpreting our SDF as the projection of a pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. We address predictability issues associated with the forward premium puzzle by: i) using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations, and; ii) by comparing this out-of-sample results with the one obtained performing an in-sample exercise, where the return-based SDF captures sources of risk of a representative set of developed and emerging economies government bonds. Our results indicate that the relevant state variables that explain foreign-currency market asset prices are also the driving forces behind U.S. domestic assets behavior.

A roughly smooth optimal consumption path: smoothing the rough annuity puzzle

A inconsistência entre a teoria e o comportamento empírico dos agentes no que tange ao mercado privado de pensões tem se mostrado um dos mais resistentes puzzles presentes na literatura econômica. Em modelos de otimização intertemporal de consumo e poupança sob incerteza em relação ao tempo de vida dos agentes, anuidades são ativos dominantes, anulando ou restringindo fortemente a demanda por ativos cujos retornos não estão relacionados à probabilidade de sobrevivência. Na prática, entretanto, consumidores são extremamente céticos em relação às anuidades. Em oposição ao seguro contra longevidade oferecido pelas anuidades, direitos sobre esses ativos - essencialmente ilíquidos - cessam no caso de morte do titular. Nesse sentido, choques não seguráveis de liquidez e a presença de bequest motives foram consideravelmente explorados como possíveis determinantes da baixa demanda verificada. Apesar dos esforços, o puzzle persiste. Este trabalho amplia a dominância teórica das anuidades sobre ativos não contingentes em mercados incompletos; total na ausência de bequest motives, e parcial, quando os agentes se preocupam com possíveis herdeiros. Em linha com a literatura, simulações numéricas atestam que uma parcela considerável do portfolio ótimo dos agentes seria constituída de anuidades mesmo diante de choques de liquidez, bequest motives, e preços não atuarialmente justos. Em relação a um aspecto relativamente negligenciado pela academia, mostramos que o tempo ótimo de conversão de poupança em anuidades está diretamente relacionado à curva salarial dos agentes. Finalmente, indicamos que, caso as preferências dos agentes sejam tais que o nível de consumo ótimo decaia com a idade, a demanda por anuidades torna-se bastante sensível ao sobrepreço (em relação àquele atuarialmente justo) praticado pela indústria, chegando a níveis bem mais compatíveis com a realidade empírica.

The forward and the equity-premium puzzles: a straightforward test of whether they are two symptoms of the same illness

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

A note on the forward and the equity-premium puzzles: two symptoms of the same illness?

We build a stochastic discount factor—SDF— using information on US domestic financial data only, and provide evidence that it accounts for foreign markets stylized facts that escape SDF’s generated by consumption based models. By interpreting our SDF as the projection of the pricing kernel from a fully specified model in the space of returns, our results indicate that a model that accounts for the behavior of domestic assets goes a long way toward accounting for the behavior of foreign assets prices. In our tests, we address predictability, a defining feature of the Forward Premium Puzzle—FPP— by using instruments that are known to forecast excess returns in the moments restrictions associated with Euler equations both in the equity and the foreign markets.

Social norms and money

In an economy where there is no double coincidence of wants and without recordkeeping of past transactions, money is usually seen as the only mechanism that can support exchange. In this paper, we show that, as long as the population is finite and agents are sufficiently patient, a social norm establishing gift-exchange can substitute for money. Notwithstanding, for a given discount factor, the growth of the population size eventually leads to the breakdown of the social norm, while money still works. 1 Introduction

O prêmio de risco da taxa de câmbio no Brasil durante o plano real

A principal explicação sugerida pela literatura para o viés do preço futuro em relação à taxa de câmbio que prevalecerá no futuro é a existência de um prêmio de risco. Aplicamos aqui os principais modelos teóricos e técnicas econométricas para identificação e mensuração do prêmio de risco aos dados brasileiros do mercado futuro de câmbio posteriores ao Plano Real. Identifica-se um prêmio de risco que varia ao longo do tempo, o qual correlaciona-se com os fundamentos macroeconômicos da economia. A partir de 1999, coerentemente com a introdução da livre flutuação cambial, observou-se uma diminuição da importância do prêmio de risco relativamente aos erros de previsão na composição do forward discount. As técnicas empregadas permitem-nos avaliar importantes questões de política econômica, como o quanto podem cair as taxas de juros reais.

Valuation and performance of firms in complex ownership structures : an application to Korean chaebols

We propose several new metrics to describe the complex ownership structure of business groups, and provide simple formulas and algorithms to compute these metrics. We use these measures to describe in detail the ownership structure of Korean chaebols in the period of 2003 to 2004. In addition, we validate the usefulness of our new metrics by showing empirically that they are important for understanding the valuation and performance of group firms. In particular, we show evidence that firms that are central to the control structure of the chaebol (central firms), firms in cross-shareholdings, and firms that are placed at the bottom of the group (i.e., with lower ultimate ownership) have lower profitability than other group firms. The valuation results suggest that central firms and firms in cross-shareholding loops have lower valuations than other public Chaebol firms. The lower valuation of these firms is not explained by variation in measures of ownership concentration and separation between ownership and control.

Contracting with repeated moral hazard and private evaluations

A repeated moral hazard setting in which the Principal privately observes the Agent’s output is studied. It is shown that there is no loss from restricting the analysis to contracts in which the Agent is supposed to exert effort every period, receives a constant efficiency wage and no feedback until he is fired. The optimal contract for a finite horizon is characterized, and shown to require burning of resources. These are only burnt after the worst possible realization sequence and the amount is independent of both the length of the horizon and the discount factor (δ). For the infinite horizon case a family of fixed interval review contracts is characterized and shown to achieve first best as δ → 1. The optimal contract when δ << 1 is partially characterized. Incentives are optimally provided with a combination of efficiency wages and the threat of termination, which will exhibit memory over the whole history of realizations. Finally, Tournaments are shown to provide an alternative solution to the problem.

Auctions with options for re-auction

We examine the role of seller bidding and reserve prices in an infinitely repeated independent-private-value (IPV) ascending-price auction. The seller has a single object that she values at zero. At the end of any auction round, she may either sell to the highest bidder or pass-in the object and hold a new auction next period. New bidders are drawn randomly in each round. The ability to re-auction motivates a notion of reserve price as the option value of retaining the object for re-auctioning. Even in the absence of a mechanism with which to commit to a reserve price, the optimal “secret” reserve is shown to exceed zero. However, despite the infinite repetition, there may be significant value to the seller from a binding reserve price commitment: the optimal binding reserve is higher than the optimal “secret” reserve, and may be substantially so, even with very patient players. Furthermore, reserve price commitments may even be socially preferable at high discount factors. We also show that the optimal “phantom” bidding strategy for the seller is revenue-equivalent to a commitment to an optimal public reserve price.

Informational spillovers in the pre-1914 London sovereign debt market

We document a novel type of international financial contagion whose driving force is shared financial intermediation. In the London peripheral sovereign debt market during pre-1914 period financial intermediation played a major informational role to investors, most likely because of the absence of international monitoring agencies and the substantial agency costs. Using two events of financial distress – the Brazilian Funding Loan of 1898 and the Greek Funding Loan of 1893 – as quasi-natural experiments, we document that, following the crises, the bond prices of countries with no meaningful economic links to the distressed countries, but shared the same financial intermediary, suffered a reduction relative to the rest of the market. This result is true for the mean, median and the whole distribution of bond prices, and robust to an extensive sensitivity analysis. We interpret it as evidence that the identity of the financial intermediary was informative, i.e, investors extracted information about the soundness of a debtor based on the existence of financial relationships. This spillover, informational in essence, arises as the flip-side of the relational lending coin: contagion arises for the same reason why relational finance, in this case, underwriting, helps alleviate informational and incentive problems.

Do insurance defrauders want to be punished?

We analyze a Principal-Agent model of an insurer who faces an adverse selection problem. He is unable to observe if his client has a high risk or a low risk of having an accident. At the underwriting of the contract, the insurer requests the client to declare his risk. After that, the former can costly audit the truthfulness of this announcement. If the audit confirms a false declaration, the insurer is legally allowed to punish the defrauder. We characterize the efRcient contracts when this punishment is bounded from above by a legal restriction. Then, we do some comparative statics on the efRcient contracts and on the agent's utility. The most important result of this paper concerns the legal limit to a defrauder's punishment. We prove that there exists a uni que value of this legal limit that maximizes the expected utility of a high risk type. Facing this particular value of the legal limit to a defrauder's punishment, the insurer will effectively audit a low risk reporto We also show that this particular value increases with the probability of facing a high risk policyholder. Therefore, when this probability is sufRciently high, the nullity of the contract is not enough. From the point of view of a potential defrauder, the law should allow harder sanctions. This is an striking result because the nullity of the contract is a common sanction for this kind of fraud in the USA and in some European countries.

Resposta gerencial à ruptura: o efeito de compensações no comportamento do consumidor

A falta de estoque continua sendo um problema no varejo. O progresso foi limitado, nos últimos quarenta anos as estimativas dos níveis de ruptura têm constantemente ultrapassado a média de 8,0 %. Hoje, como no passado, o gestor precisa lidar com o consumidor frente à ruptura. O propósito desta pesquisa foi investigar a eficácia de cinco formas de compensações: pedido de desculpas, vale, entrega em domicílio, troca por outro item de preço ligeiramente superior e desconto como um mecanismo para induzir o consumidor a não deixar a loja frente a uma ruptura. Além da reação geral do consumidor, também foi examinado como algumas características do consumidor (fidelidade a marca) e a situação da compra (urgência da compra) influenciam o efeito de cada forma de compensação na reação do consumidor. Em geral, os resultados do estudo mostraram que as compensações funcionam. O pedido de desculpas é a forma de compensação menos eficiente, aparentemente aumenta a percentagem de consumidores que deixam a loja em reação à ruptura Esta pesquisa sugere que existem oportunidades para varejistas utilizarem as compensações como mecanismo para gerenciar a ruptura.

Renegociação de dívidas e moral hazard: uma análise do efeito da política de descontos no pagamento de dívidas de cartões de crédito

O Brasil vem vivenciando um aumento na demanda por cartões de crédito, principalmente nas classes baixas. Entretanto, a população de menor renda e menor qualificação representa maior riscos para a operação. Este fato é evidenciado pelas altas taxas de inadimplência. Exposto isso, empresas se utilizam de estratégias de renegociação de dívida na tentativa de recuperar parte do investimento realizado. Entretanto, poucos foram os estudos acerca da consequência no longo prazo destas estratégias. Utilizando os experimentos realizados por uma empresa de cartão de crédito, cujas campanhas de renegociação variavam mês a mês, este estudo, procurou evidências de que as ofertas de renegociação de dívidas podem afetar a reputação da firma, fazendo com que clientes da rede mesma rede social deste que recebeu a oferta de renegociação também fiquem inadimplentes. Concluímos que o aumento do desconto nas negociações tem um efeito significativo sobre o incentivo do cliente em honrar suas obrigações junto a empresa, ou seja, o aumento de 0,01 p.p. no desconto dado aos clientes aumenta em 0,05 sua probabilidade em atrasar sua fatura no próximo período.