AN��LISE DAS MUDAN��AS DOS FATORES DETERMINANTES DA ESTRUTURA DE CAPITAL EM FUN����O DO CICLO DE VIDA DAS EMPRESAS BRASILEIRAS S��O BERNARDO DO CAMPO

As v��rias teorias acerca da estrutura de capital despertam interesse motivando diversos estudos sobre o assunto sem, no entanto, ter um consenso. Outro tema aparentemente pouco explorado refere-se ao ciclo de vida das empresas e como ele pode influenciar a estrutura de capital. Este estudo teve como objetivo verificar quais determinantes possuem maior relev��ncia no endividamento das empresas e se estes determinantes alteram-se dependendo do ciclo de vida da empresa apoiada pelas teorias Trade Off, Pecking Order e Teoria da Ag��ncia. Para alcan��ar o objetivo deste trabalho foi utilizado an��lise em painel de efeito fixo sendo a amostra composta por empresas brasileiras de capital aberto, com dados secund��rios dispon��veis na Econom��tica�� no per��odo de 2005 a 2013, utilizando-se os setores da BM&FBOVESPA. Como resultado principal destaca-se o mesmo comportamento entre a amostra geral, alto e baixo crescimento pelo endividamento cont��bil para o determinante Lucratividade apresentando uma rela����o negativa, e para os determinantes Oportunidade de Crescimento e Tamanho, estes com uma rela����o positiva. Para os grupos de alto e baixo crescimento alguns determinantes apresentaram resultados diferentes, como a singularidade que resultou signific��ncia nestes dois grupos, sendo positiva no baixo crescimento e negativa no alto crescimento, para o valor colateral dos ativos e benef��cio fiscal n��o d��vida apresentaram signific��ncia apenas no grupo de baixo crescimento. Para o endividamento a valor de mercado foi observado signific��ncia para o Benef��cio fiscal n��o d��vida e Singularidade. Este resultado refor��a o argumento de que o ciclo de vida influ��ncia a estrutura de capital

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.

Wealth effects of mergers and acquisitions for US firms: using alternative pricing models

This empirical study employs a different methodology to examine the change in wealth associated with mergers and acquisitions (M&As) for US firms. Specifically, we employ the standard CAPM, the Fama-French three-factor model and the Carhart four-factor models within the OLS and GJR-GARCH estimation methods to test the behaviour of the cumulative abnormal returns (CARs). Whilst the standard CAPM captures the variability of stock returns with the overall market, the Fama-French factors capture the risk factors that are important to investors. Additionally, augmenting the Fama-French three-factor model with the Carhart momentum factor to generate the four-factor captures additional pricing elements that may affect stock returns. Traditionally, estimates of abnormal returns (ARs) in M&As situations rely on the standard OLS estimation method. However, the standard OLS will provide inefficient estimates of the ARs if the data contain ARCH and asymmetric effects. To minimise this problem of estimation efficiency we re-estimated the ARs using GJR-GARCH estimation method. We find that there is variation in the results both as regards the choice models and estimation methods. Besides these variations in the estimated models and the choice of estimation methods, we also tested whether the ARs are affected by the degree of liquidity of the stocks and the size of the firm. We document significant positive post-announcement cumulative ARs (CARs) for target firm shareholders under both the OLS and GJR-GARCH methods across all three methodologies. However, post-event CARs for acquiring firm shareholders were insignificant for both sets of estimation methods under the three methodologies. The GJR-GARCH method seems to generate larger CARs than those of the OLS method. Using both market capitalization and trading volume as a measure of liquidity and the size of the firm, we observed strong return continuations in the medium firms relative to small and large firms for target shareholders. We consistently observed market efficiency in small and large firm. This implies that target firms for small and large firms overreact to new information resulting in a more efficient market. For acquirer firms, our measure of liquidity captures strong return continuations for small firms under the OLS estimates for both CAPM and Fama-French three-factor models, whilst under the GJR-GARCH estimates only for Carhart model. Post-announcement bootstrapping simulated CARs confirmed our earlier results.

Dividend increases and initiations and default risk in equity returns

This study extends the Grullon, Michaely, and Swaminathan (2002) analysis by incorporating default risk. Using data for firms that either increased or initiated cash dividend payments during the 23-year period 1986-2008, we find reduction in default risk. This reduction is shown to be a priced risk factor beyond the Fama and French (1993) risk measures, and it explains the dividend payment decision and the positive market reaction around dividend increases and initiations. Further analysis reveals that the reduction in default risk is a significant factor in explaining the 3-year excess returns following dividend increases and initiations. �� Copyright Michael G. Foster School of Business, University of Washington 2011.

Liquidity and asset pricing: A comparison between three-factor and three-moment capital asset pricing models

Liquidity is an important attribute of an asset that investors would like to take into consideration when making investment decisions. However, the previous empirical evidence whether liquidity is a determinant of stock return is not unanimous. This dissertation provides a very comprehensive study about the role of liquidity in asset pricing using the Fama-French (1993) three-factor and Kraus and Litzenberger (1976) three-moment CAPM as models for risk adjustment. The relationship between liquidity and well-known determinants of stock returns such as size and book-to-market are also investigated. This study examines the liquidity and asset pricing issues for both intertemporal as well as cross-sectional data. ^ The results indicate an existence of a liquidity premium, i.e., less liquid stocks would demand higher rate of return than more liquid stocks. More specifically, a drop of 1 percent in liquidity is associated with a higher rate of return of about 2 to 3 basis points per month. Further investigation reveals that neither the Fama-French three-factor model nor the three-moment CAPM captures the liquidity premium. Finally, the results show that well-known determinants of stock return such as size and book-to-market do not serve as proxy for liquidity. ^ Overall, this dissertation shows that a liquidity premium exists in the stock market and that liquidity is a distinct effect, and is not influenced by the presence of non-market factors, market factors and other stock characteristics.^

Contemporary aspects of dividends: Before and during the financial crisis

The number of dividend paying firms has been on the decline since the popularity of stock repurchases in the 1980s, and the recent financial crisis has brought about a wave of dividend reductions and omissions. This dissertation examined the U.S. firms and American Depository Receipts that are listed on the U.S. equity exchanges according to their dividend paying history in the previous twelve quarters. While accounting for the state of the economy, the firm���s size, profitability, earned equity, and growth opportunities, it determines whether or not the firm will pay a dividend in the next quarter. It also examined the likelihood of a dividend change. Further, returns of firms were examined according to their dividend paying history and the state of the economy using the Fama-French three-factor model. Using forward, backward, and step-wise selection logistic regressions, the results show that firms with a history of regular and uninterrupted dividend payments are likely to continue to pay dividends, while firms that do not have a history of regular dividend payments are not likely to begin to pay dividends or continue to do so. The results of a set of generalized polytomous logistic regressions imply that dividend paying firms are more likely to reduce dividend payments during economic expansions, as opposed to recessions. Also the analysis of returns using the Fama-French three factor model reveals that dividend paying firms are earning significant abnormal positive returns. As a special case, a similar analysis of dividend payment and dividend change was applied to American Depository Receipts that trade on the NYSE, NASDAQ, and AMEX exchanges and are issued by the Bank of New York Mellon. Returns of American Depository Receipts were examined using the Fama-French two-factor model for international firms. The results of the generalized polytomous logistic regression analyses indicate that dividend paying status and economic conditions are also important for dividend level change of American Depository Receipts, and Fama-French two-factor regressions alone do not adequately explain returns for these securities.

A Critical Review of the Implied Cost of Equity: A New Way to Estimate the Expected Return

For the last three decades, the Capital Asset Pricing Model (CAPM) has been a dominant model to calculate expected return. In early 1990% Fama and French (1992) developed the Fama and French Three Factor model by adding two additional factors to the CAPM. However even with these present models, it has been found that estimates of the expected return are not accurate (Elton, 1999; Fama &French, 1997). Botosan (1997) introduced a new approach to estimate the expected return. This approach employs an equity valuation model to calculate the internal rate of return (IRR) which is often called, 'implied cost of equity capital" as a proxy of the expected return. This approach has been gaining in popularity among researchers. A critical review of the literature will help inform hospitality researchers regarding the issue and encourage them to implement the new approach into their own studies.

Liquidity, governance and adverse selection in asset pricing

A plethora of recent literature on asset pricing provides plenty of empirical evidence on the importance of liquidity, governance and adverse selection of equity on pricing of assets together with more traditional factors such as market beta and the Fama-French factors. However, literature has usually stressed that these factors are priced individually. In this dissertation we argue that these factors may be related to each other, hence not only individual but also joint tests of their significance is called for. ^ In the three related essays, we examine the liquidity premium in the context of the finer three-digit SIC industry classification, joint importance of liquidity and governance factors as well as governance and adverse selection. Recent studies by Core, Guay and Rusticus (2006) and Ben-Rephael, Kadan and Wohl (2010) find that governance and liquidity premiums are dwindling in the last few years. One reason could be that liquidity is very unevenly distributed across industries. This could affect the interpretation of prior liquidity studies. Thus, in the first chapter we analyze the relation of industry clustering and liquidity risk following a finer industry classification suggested by Johnson, Moorman and Sorescu (2009). In the second chapter, we examine the dwindling influence of the governance factor if taken simultaneously with liquidity. We argue that this happens since governance characteristics are potentially a proxy for information asymmetry that may be better captured by market liquidity of a company's shares. Hence, we jointly examine both the factors, namely, governance and liquidity - in a series of standard asset pricing tests. Our results reconfirm the importance of governance and liquidity in explaining stock returns thus independently corroborating the findings of Amihud (2002) and Gompers, Ishii and Metrick (2003). Moreover, governance is not subsumed by liquidity. Lastly, we analyze the relation of governance and adverse selection, and again corroborate previous findings of a priced governance factor. Furthermore, we ascertain the importance of microstructure measures in asset pricing by employing Huang and Stoll's (1997) method to extract an adverse selection variable and finding evidence for its explanatory power in four-factor regressions.^

DESENVOLVIMENTO DO TEATRO MUSICAL BRASILEIRO �� LUZ DA NOTORIEDADE MIDI��TICA DAS ADAPTA����ES E DOS ARTISTAS

O trabalho tem a proposta de analisar os desdobramentos do teatro musical brasileiro desde a primeira encena����o em territ��rio nacional de adapta����es de espet��culos do Teatro de Revista, g��nero origin��rio da Fran��a, at�� as superprodu����es musicais realizadas nos ��ltimos 16 anos de adapta����es de espet��culos americanos. O panorama hist��rico e anal��tico ser�� estudado, com ��nfase no teatro musical que se utiliza de elementos midiatizados para estar inserido em uma sociedade em que a produ����o cultural �� vista como internacionalizada e mercantilizada. Como forma de marketing, os produtores utilizam-se da notoriedade midi��tica presente em formatos estrangeiros j�� consagrados, adapta����es renomadas e bem aceitas pelo p��blico, al��m da fama de celebridades que s��o escaladas para os musicais. Tudo para a conquista de um patrocinador que, por sua vez, acaba fazendo exig��ncias que interferem de maneira decisiva na montagem dos espet��culos. Em meio a um processo onde s��o tantos os direcionamentos pr��-estabelecidos por patrocinadores, onde se encontra o genu��no teatro musical brasileiro? A pesquisa abrange o ineditismo da presen��a de tem��ticas nacionais em formatos estrangeiros e agrega o conjunto de fatores que possibilitam que um roteiro de musical saia do papel e adentre os palcos, tais como as pol��ticas p��blicas de incentivos fiscais; a liga����o de empresas patrocinadoras e suas marcas a musicais; o fato de que, mesmo as produ����es sendo pagas por dinheiro p��blico, possu��rem ingressos que n��o s��o a pre��os populares. Para auxiliar nas conjecturas a serem formadas, ser�� utilizada uma metodologia hist��rico-descritiva com foco na rela����o do tema com elementos not��rios na m��dia, como os artistas e obras a serem adaptadas no palco.

Sacrificio y ejemplaridad. Comprendiendo los fen��menos de Leonel Messi y Diego A Maradona

Leo Messi y Diego Maradona, son dos grandes deportistas que han alcanzado fama mundial. En parte, si bien esa fama les da a los argentinos cierta posici��n de privilegio respecto al futbol, no menos cierto es que se los estima de diversas maneras. El arquetipo del padre de la fe y del h��roe tr��gico acu��ados por Kierkegaard da una ruta conceptual clara y pertinente al estudio de los ��dolos contempor��neos como as�� tambi��n esboza una cr��tica al deporte moderno como revitalizador ideol��gico de las fallas o frustraciones que se ha multiplicado por acci��n del capitalismo.

Net-surplus as a useful tool to analyse financial information in co-op societies

This paper aims to analyse a sample of Galician co-ops to verify whether or not it is possible to deduce different financial behaviours among co-op partners from the amount of net-surplus. To this end, our study adds net-surplus to the variation registered in some account entries so that other residual incomes yielded by the co-op may be considered. The distribution of these revenues shows that partners do not usually choose to fully anticipate residual incomes. This reveals that some firms follow a positive net-surplus strategy, which is actually different from the null net-surplus strategy asserted by the classical financial theory. Furthermore, results show that differences between both strategies are statistically significant. This opens a path to future research on determinants explaining why co-op partners voluntarily renounce to anticipating these residual incomes. Such behaviour only arises when yearly accounts render a positive result, thereby making the accounting net-surplus a useful tool to analyse financial information in co-op societies.

AUTO-RUINS. Thinks about automobile into the contemporary landscape

The article analyses the evolution of the representation of the automobile inserted in the natural and urban environment in the Contemporary Art, from the appearance of the first cars in the beginning of the 20th century until the present day. The text compares the diverse attitudes and analysis of some representative artists who have used the image of the machine in general and the car in particular in their aesthetic discourse, using as a conductive thread the metaphor of the life cycle (birth, growth, feeding, reproduction and death). It deals with the discovery, the development and the coexistence between human and the automobile and its interpretation as a basic element of the artistic work. The text connects the image of the automobile located in the contemporary industrial landscape utilizing the artist references who have integrated the car in their work inside the natural or artificial environment characteristic of each moment. At the same time, the article goes deeply into the relationship of romantic ruin and natural landscape and the evolution of the industrial and architectural modern environment, through the work of the artists who has used the car as an inhabitant of the landscape.

Polifemo en Yucat��n. Variaciones sobre un episodio de la Eneida en la ��pica cortesiana del Quinientos

Entre los modelos literarios que, en las epopeyas quinientistas acerca de la conquista de M��xico, sirven para dar forma ��pica a la materia hist��rica tomada de las cr��nicas, la Eneida de Virgilio desempe��a un papel fundamental. En el presente art��culo se pretende mostrar c��mo la identificaci��n de Jer��nimo de Aguilar con el Aquem��nides virgiliano, que se encuentra por primera vez en el Carlo famoso de Luis Zapata, reaparece en Francisco de Terrazas, en Gabriel Lobo Lasso de la Vega y en Antonio de Saavedra Guzm��n, as�� como proponer algunas consideraciones acerca de las relaciones que se hayan podido dar entre las obras de estos poetas.

Biograf��a in��dita de Francisco de Quintana: recuperaci��n de un novelista olvidado

Este art��culo pretende desvelar datos in��ditos de Francisco de Quintana, escritor del seiscientos escasamente estudiado por la cr��tica literaria hasta nuestros d��as. La investigaci��n, a partir tanto de fuentes primarias como de su obra literaria, ha supuesto el hallazgo de informaci��n sustancial sobre este ��ntimo amigo de Lope de Vega. Adem��s de aportar nuevos testimonios biogr��ficos, esta comunicaci��n interrelaciona acontecimientos fundamentales de su vida con su obra literaria.

��Fue la crisis pol��tica del Occidente musulm��n del siglo XIII debida a un cambio clim��tico? Una aproximaci��n hist��rica al fin del Periodo C��lido Medieval

Durante el siglo XIII se produjo una sucesi��n de revueltas que supuso la desaparici��n del Imperio almohade y su sustituci��n por poderes regionales en al-Andalus, el Magreb y el Magreb al-Aqs��. La historiograf��a ha presentado el surgimiento y pugna entre estos poderes como un fen��meno social, pol��tico e, incluso, cultural y religioso, con el que se ha podido explicar su aniquilaci��n o marginalizaci��n. Este trabajo pretende contextualizar los hechos desde una perspectiva medioambiental, de forma que la desintegraci��n del califato almohade, el surgimiento de aquellos poderes y la progresi��n de los reinos cristianos en la pen��nsula ib��rica puedan entenderse desde una visi��n global de cambio clim��tico y una posible crisis agr��cola.