Os fundos de investimento imobiliário listados em bolsa e as variáveis que influenciam seus retornos

Os fundos de investimento imobiliário combinam características tanto do mercado imobiliário, fonte de seus rendimentos, quanto do mercado de capitais, ambiente em que são negociados. O impacto de cada um desses mercados subjacentes no comportamento, desempenho e risco dessa classe de ativos não é, no entanto, ainda claramente definida, sendo um dos grandes temas em análise, tanto na literatura acadêmica, quanto na indústria de fundos internacionais. Em face da significativa expansão dessa alternativa de investimento no mercado brasileiro, no presente estudo foram analisadas as variáveis que influenciam os retornos dos fundos imobiliários brasileiros para uma amostra de fundos listados em Bolsa de Valores de São Paulo, período de 2008-2013. Seguindo a metodologia de Clayton e Mackinnon (2003), os fatores explicativos dos retornos foram decompostos em quatro componentes principais, sendo três fatores de retorno de mercado (mercado de ações, mercado de renda fixa e mercado imobiliário) e risco idiossincrático. De acordo com a estatística descritiva, os fundos imobiliários da amostra apresentaram maior retorno em relação aos demais mercados, exceto em comparação com o mercado imobiliário, porém com menor risco. As análises de correlação, regressão e decomposição da variância indicam que o mercado de ações e o mercado imobiliário direto são, em geral, significativos no modelo, porém explicam apenas cerca de 15% da volatilidade dos retornos dos fundos da amostra. À luz da Moderna Teoria do Portfólio, esses resultados indicam que a inclusão de fundos imobiliários pode ter potencial diversificador numa carteira multi-ativo, seja aumentando o retorno total de uma carteira formada de ações e títulos de renda fixa, sem acréscimo em risco; ou mantendo o retorno dessa carteira, com diminuição da volatilidade, ampliando assim a fronteira eficiente da carteira. Esse efeito questiona o tradicional equilibrium fund de carteiras de investimentos formadas apenas de ações e renda fixa e aponta os fundos imobiliários como uma alternativa de investimento diversificadora, enquanto classe de ativo única. A análise de subamostras por tipologia indica, porém, que o papel diversificador dos fundos imobiliários está atrelado ao tipo de empreendimento que lastreia esse fundo, uma vez que os fatores explicativos e seus impactos nos retornos diferem de uma tipologia para outra. Esse resultado tem importantes implicações no critério de seleção a ser adotado tanto por investidores para seleção de ativos para uma carteira otimizada, como para gestores de fundos imobiliários na formatação e gestão desses produtos. Conclui-se também que os retornos dos fundos, de certo modo, refletem seu caráter híbrido, mas o modelo decomposto em 4 componentes não é suficiente para explicar os retornos dos fundos imobiliários, uma vez que o modelo estendido, demonstrou que outras variáveis, inclusive parâmetros desses próprios mercados, além de variáveis macroeconômicas e as características de cada fundo (eg. market-to-book, tamanho), podem ser responsáveis por explicar considerável parte da variância dos retornos dos FIIs.

Impacts of vinasse and methods of sugarcane harvesting on the availability of K and carbon stock of an Argisol

ABSTRACT Soils of tropical regions are more weathered and in need of conservation managements to maintain and improve the quality of its components. The objective of this study was to evaluate the availability of K, the organic matter content and the stock of total carbon of an Argisol after vinasse application and manual and mechanized harvesting of burnt and raw sugarcane, in western São Paulo.The data collection was done in the 2012/2013 harvest, in a bioenergy company in Presidente Prudente/SP. The research was arranged out following a split-plot scheme in a 5x5 factorial design, characterized by four management systems: without vinasse application and harvest without burning; with vinasse application and harvest without burning; with vinasse application and harvest after burning; without vinasse application and harvest after burning; plus native forest, and five soil sampling depths (0-10 10-20, 20-30, 30-40, 40-50 cm), with four replications. In each treatment, the K content in the soil and accumulated in the remaining dry biomass in the area, the levels of organic matter, organic carbon and soil carbon stock were determined. The mean values were compared by Tukey test. The vinasse application associated with the harvest without burning increased the K content in soil layers up to 40 cm deep. The managements without vinasse application and manual harvest after burning, and without vinasse application with mechanical harvesting without burning did not increase the levels of organic matter, organic carbon and stock of total soil organic carbon, while the vinasse application and harvest after burning and without burning increased the levels of these attributes in the depth of 0-10 cm.

STOCK EXCHANGE LISTING INDUCES SOPHISTICATION OF CAPITAL BUDGETING

This article compares capital budgeting techniques employed in listed and unlisted companies in Brazil. We surveyed the Chief Financial Officers (CFOs) of 398 listed companies and 300 large unlisted companies, and based on 91 respondents, the results suggest that the CFOs of listed companies tend to use less simplistic methods more often, for example: NPV and CAPM, and that CFOs of unlisted companies are less likely to estimate the cost of equity, despite being large companies. These findings indicate that stock exchange listing may require greater sophistication of the capital budgeting process.

The East Atlantic Bluefin Tuna Fisheries: Stock Collapse or Recovery?

A discrete time, multi-gear, and age structured bio-economic model is developed for the East Atlantic bluefin tuna fisheries, a paradigmatic example of the difficulties faced in managing highly migratory fish stocks. The model is used to analyse alternative management strategies for the Regional Fisheries Management Organisation (RFMO) managing this fishery, and to investigate some of the policy implications. For the various scenarios, the optimal stock level varies between 500–800,000 tonnes, which compares with a stock level of 150,000 tonnes in 1995. In other words, there is a very strong case for rebuilding the stock. Moreover, the sustainability of the stock is threatened unless a recovery programme is implemented; indeed, the alternative may be stock collapse. Second, to rebuild the stock, Draconian measures are called for: either outright moratoria over fairly lengthy periods, or possibly a more gradual approach to steady state given by a Total Allowable Catch (TAC) at a low level for an extended period of time. Third, the cost of inefficient gear structure is very high indeed.

Studies in search of a suitable experimental insect model for xenodiagnosis of hosts with Chagas' disease: 4 - The reflection of parasite stock in the responsiveness of different vector species to chronic infection with different Trypanosoma cruzi stocks

Previous studies (1982,1987) have emphasized the superiority of sylvatic vector species over domestic species as xenodiagnostic agents in testing hosts with acute or chronic infections by T. cruzi "Y" stock. The present study, which is unique in that it contains data on both infectivity rates produced by the same stock in 11 different vector species and also the reaction of the same vector species to seven different parasite stocks, establishes the general validity of linking efficiency of xenodiagnosis to the biotope of its agent. For example, infectivity rates produced by "São Felipe" stock varied from 82.5% to 98.3% in sylvatic vectors but decreased to 42.5% to 71.3% in domestic species. "Colombiana" stock produced in the same sylvatic vectors infectivity rates ranging from 12.5% to 45%. These shrank to 5%-22.5% in domestic bugs. The functional role of the biotope in the vector-parasite interaction has not been eluddated. But since this phenomenon has been observed to be stable and easy to reproduce, it leads us to believe that the results obtained are valid. Data presented also provide increasing evidence that the infectivity rates exhibited by bugs from xenodiagnosis in chronic hosts, are parasite stock specific. For example, infectivity rates produced by "Berenice", "Y", "FL" and "CL" varied in R. neglectus from 26.3% to 75%; in P. megistus from 56.3% to 83.8%; in T. sordida from 28.8% to 58.8% in T. pseudomaculata from 41.3% to 66.3% and in T. rubrovaria from 48.8% to 85%. Data from xenodiagnosis in the same hosts, carrying acute infections by the same parasite stocks, gave the five sylvatic vectors a positive rating of approximately 100%, thus suggesting that the heavy loads of parasites circulating in the acute hosts obscured the characteristic interspecific differences for the parasite stock. Nonetheless these latter were revealed in the same hosts with chronic infections stimulated by very low numbers of the same parasite stocks. Certain observations here described lead us to speculate as to the possibility of further results from other parasite stocks, allowing the association of the infectivity rates produced in bugs by different parasite stocks with the isoenzymic patterns revealed by these stocks.

Return premiums of sustainable companies listed on the Spanish stock market

The purpose of this paper is to analyze whether companies with a greater commitment to corporate social responsibility (SRI companies) perform differently on the stock market compared to companies that disregard SRI. Over recent years, this relationship has been taken up at both a theoretical and practical level, and has led to extensive scientific research of an empirical nature involving the examination of the relationships existing between the financial and social, environmental and corporate governance performance of a company and the relationship between SRI and investment decisions in the financial market. More specifically, this work provides empirical evidence for the Spanish market as to whether or not belonging to a group of companies the market classes as sustainable results in return premiums that set them apart from companies classed as conventional, and finds no differences in the stock market performance of companies considered to be SRI or conventional.

Open and closed positions and stock index futures volatility

In this paper we analyze the relationship between volatility in index futures markets and the number of open and closed positions. We observe that, although in general both positions are positively correlated with contemporaneous volatility, in the case of S&P 500, only the number of open positions has influence over the volatility. Additionally, we observe a stronger positive relationship on days characterized by extreme movements of these contracting movements dominating the market. Finally, our findings suggest that day-traders are not associated to an increment of volatility, whereas uninformed traders, both opening and closing their positions, have to do with it.

Extreme Value Theory versus traditional GARCH approaches applied to financial data: a comparative evaluation

Although stock prices fluctuate, the variations are relatively small and are frequently assumed to be normal distributed on a large time scale. But sometimes these fluctuations can become determinant, especially when unforeseen large drops in asset prices are observed that could result in huge losses or even in market crashes. The evidence shows that these events happen far more often than would be expected under the generalized assumption of normal distributed financial returns. Thus it is crucial to properly model the distribution tails so as to be able to predict the frequency and magnitude of extreme stock price returns. In this paper we follow the approach suggested by McNeil and Frey (2000) and combine the GARCH-type models with the Extreme Value Theory (EVT) to estimate the tails of three financial index returns DJI,FTSE 100 and NIKKEI 225 representing three important financial areas in the world. Our results indicate that EVT-based conditional quantile estimates are much more accurate than those from conventional AR-GARCH models assuming normal or Student’s t-distribution innovations when doing out-of-sample estimation (within the insample estimation, this is so for the right tail of the distribution of returns).

Compensação de executivos: stock options: o caso particular da compensação dos altos executivos

Orientadora: Mestre Cláudia Maria Ferreira Pereira Lopes

La social stock exchange au Portugal: un nouvel allié de l'économie sociale

Résumé Cet article vise à contribuer à la connaissance de la Bolsa de Valores Sociais (BVS) — Social Stock Exchange — récemment créé au Portugal, dont le but primatial était de permettre la prise de moyens de financement des entités de l'Économie Sociale engagées dans des projets d'éducation et d'entreprenariat. Il se penchera sur la qualification juridique des divers types d'entités cotées dans la BVS, sur le concept d'investisseur social et sur la protection dont il jouira, vis-à-vis des exigences de transparence et de gouvernance qui incombent à ces entités. Le thème proposé sera examiné en soulignant les virtualités et le potentiel de la BVS, faisant référence à l'un ou à l'autre sujet qui viennent à effet, avec un accent particulier sur l'avantage d'élaborer un code de gouvernance corporative pour les entités de l'Économie Sociale. Abstract This article aims to contribute to the knowledge of the Bolsa de Valores Sociais (BVS) — Social Stock Exchange — recently created in Portugal, whose primatial purpose was to allow the taking of means of financing the Social Economy entities, engaged in projects in education and entrepreneurship. It will reflect on the legal classification of the various types of entities rated in the BVS, on the concept of social investor and on the protection he will enjoy, leading to the consequent demands for transparency and governance that falls upon those entities. The proposed theme will be discussed highlighting the virtues and potential of BVS, playing in one or two topics that comes to purpose, with particular emphasis on the relevance of drawing up a code of corporate governance for entities of the Social Economy. Resumen Este artículo tiene como objetivo contribuir al conocimiento de la Bolsa de Valores Sociales (BVS), recientemente creada en Portugal, cuya finalidad principal es que las entidades de la economía social dedicadas a proyectos en las áreas de educación y de iniciativa empresarial puedan obtener medios financieros. Se abordará la calificación jurídica de los diversos tipos de entidades que cotizan en la BVS, así como el concepto de inversor social y la protección de que éste goza, con las consiguientes exigencias en materia de transparencia y de gobierno que recaen sobre esas entidades. Se analizará la temática propuesta destacando las virtudes y potencialidades de la BVS, sin omitir algún otro tópico adyacente que resulte relevante, en especial la conveniencia de que sea elaborado un código de gobernanza corporativa para las entidades de la economía social.

Da programação de fluxo à televisão de stock: programação e serviço público

No futuro, o papel da televisão pública ver-se-á condicionado pelo processo acelerado de evolução que marca uma transição da forma dominante da televisão de fluxo à televisão de stock – algo que já acontece, aliás, nos nossos dias. O meio tem evoluído desde o seu nascimento, respondendo a uma tensão existente entre dois vectores de força, em cujos pólos encontramos, por um lado, a inovação tecnológica e, por outro, a regulação. O primeiro pólo está representado na linha temporal pelo movimento entre o deslumbramento da tecnologia analógica e o da tecnologia digital. O segundo marca o momento em que a televisão deixa de ser considerada um bem público (ideia dominante) e passa a ser vista como mais uma indústria. Os dois pólos têm mantido uma relação activa e de mútuo condicionamento. Pode-se dizer que a regra subjacente a esta dinâmica tem sido a seguinte: a um menor grau de inovação tecnológica corresponde uma maior regulação; um maior grau de inovação está associado a uma maior desregulação. Se concordamos que o nascimento da televisão corresponde ao grau zero de inovação (pese embora a própria invenção da mesma tenha constituído uma novidade espectacular), também é verdade que esse grau pressupunha o uso de uma tecnologia que possibilitava a transmissão à distância de som e imagens em movimento, sem necessidade de se dispor de um elo físico. Para tal, nesta fase de desenvolvimento tecnológico, era utilizada a modulação das ondas hertzianas, um bem escasso que permitia transmitir sem interferências um número limitado de canais.

Avaliação da performance empresarial: as métricas tradicionais versus as métricas baseadas em valor

Mestrado em Controlo e Gestão dos Negócios

Market impact of international sporting and cultural events

We study market reaction to the announcements of the selected country hosting the Summer and Winter Olympic Games, the World Football Cup, the European Football Cup and World and Specialized Exhibitions. We generalize previous results analyzing a large number and different types of mega-events, evaluate the effects for winning and losing countries, investigate the determinants of the observed market reaction and control for the ex ante probability of a country being a successful bidder. Average abnormal returns measured at the announcement date and around the event are not significantly different from zero. Further, we find no evidence supporting that industries, that a priori were more likely to extract direct benefits from the event, observe positive significant effects. Yet, when we control for anticipation, the stock price reactions around the announcements are significant.

Avaliação do stock de Abalones: uma pesca sustentável

Jornadas "Ciência nos Açores – que futuro? Tema Ciências Naturais e Ambiente", Ponta Delgada, 7-8 de Junho de 2013.

Volatilidade implícita: estudo de caso

Mestrado em Controlo de Gestão dos Negócios