Influência dos investimentos sociais na classificação de empresas no Índice de Sustentabilidade Empresarial da BMF&BOVESPA

O mercado global estimula a competitividade para a busca de retornos financeiros. Entretanto, para a obtenção destes retornos financeiros, as empresas não podem atuar sem considerar critérios de sustentabilidade empresarial, condição sem a qual as empresas perderão competitividade. A BM&FBOVESPA trouxe grande contribuição às empresas que operam em seu mercado através do ISE (Índice de Sustentabilidade Empresarial). No entanto é justificado o questionamento se a dimensão que contempla os investimentos relativos à responsabilidade social tem peso suficiente para classificar melhor uma empresa no ISE ou se a concepção de sustentabilidade do ISE é multifocal e cuja ênfase seja distribuída nos conceitos do triple bottom line. Para verificar tal fato, este trabalho procurou comprovar o peso real da dimensão social dentro do ISE por meio de regressão logística, valendo-se de amostragem adequada de empresas participantes ou não na carteira do ISE nos anos 2011 e 2012. Demonstrou-se que não há diferenças significativas entre os grupos que justifiquem a classificação ou não no ISE somente baseando-se nas variáveis da dimensão social, bem como das mesmas com a adição de variáveis financeiras. Nota-se, portanto, que a dimensão social não é suficientemente relevante para diferenciar a participação ou não de uma empresa na carteira do ISE.

O ÍNDICE DE SUSTENTABILIDADE EMPRESARIAL E O IMPACTO NO VALOR DAS AÇÕES: UM ESTUDO DE EVENTO

Diante da necessidade de inserção de políticas de desenvolvimento sustentável dentro do contexto das organizações, as empresas investem em recursos esperando que a adoção dessas práticas possa trazer benefícios econômicos e estratégicos, refletidos na imagem da organização e na sua valorização no mercado. Neste cenário, Índices de Sustentabilidade foram criados em escala global, e estes índices em geral, avaliam várias dimensões das relações da organização com a sociedade, meio ambiente e com os provedores de capital para a empresa. No Brasil, especificamente no ano de 2005, foi criado o Índice de Sustentabilidade Empresarial (ISE) para reunir as ações de empresas que incorporam em suas diretrizes de negócio práticas de responsabilidade social e sustentabilidade empresarial. Com isso, a presente dissertação tem por objetivo verificar qual o impacto no valor das ações de uma amostra de 43 empresas perante a entrada ou saída das mesmas das carteiras do ISE. A metodologia de estudo de evento buscou identificar os retornos anormais após as divulgações das carteiras do ISE, de 2005 a 2009, através do modelo de retorno ajustado ao risco e ao mercado. Os dados financeiros, antes e depois do evento, foram extraídos da base de dados da Bolsa de Valores de São Paulo. Os resultados alcançados indicaram relação positiva entre a participação de algumas empresas nas carteiras do ISE e o desempenho financeiro das suas ações, além de mostrar que os investimentos necessários em desenvolvimento sustentável não acarretam perdas, visto a predominância de retornos anormais positivos em todas as situações analisadas neste estudo.

UMA ANÁLISE DA RELAÇÃO ENTRE VARIÁVEIS MACROECONÔMICAS E O COMPORTAMENTO DAS AÇÕES DE MAIOR LIQUIDEZ DO ÍNDICE IBOVESPA

As ações de maior liquidez do índice IBOVESPA, refletem o comportamento das ações de um modo geral, bem como a relação das variáveis macroeconômicas em seu comportamento e estão entre as mais negociadas no mercado de capitais brasileiro. Desta forma, pode-se entender que há reflexos de fatores que impactam as empresas de maior liquidez que definem o comportamento das variáveis macroeconômicas e que o inverso também é uma verdade, oscilações nos fatores macroeconômicos também afetam as ações de maior liquidez, como IPCA, PIB, SELIC e Taxa de Câmbio. O estudo propõe uma análise da relação existente entre variáveis macroeconômicas e o comportamento das ações de maior liquidez do índice IBOVESPA, corroborando com estudos que buscam entender a influência de fatores macroeconômicos sobre o preço de ações e contribuindo empiricamente com a formação de portfólios de investimento. O trabalho abrangeu o período de 2008 a 2014. Os resultados concluíram que a formação de carteiras, visando a proteção do capital investido, deve conter ativos com correlação negativa em relação às variáveis estudadas, o que torna possível a composição de uma carteira com risco reduzido.

Momentum profits and macroeconomic factors

This article tests whether macroeconomic variables and market sentiment influence the size of momentum profits. It finds that although returns to the winner and loser portfolios are influenced by a range of macroeconomic and market wide variables; momentum profits are influenced only by the scale of portfolio outflows. Thus, when investors are sending their capital elsewhere, reduced funds at home, dampen the profitability of the momentum trading strategy. It also finds that when the market closes, below its opening level in the previous six months, momentum profits are higher, which might be a reflection of mean reversion in the market. © 2004 Taylor and Francis Ltd.

Real estate research needs of the plan sponsor community:what do the plan sponsor real estate investment managers want to know?

This article reports the results of a web-based survey of real estate portfolio managers in the pension fund industry. The study focused on ascertaining the real estate research interests of the respondents as well as whether or not research funding should be allocated to various research topics. Performance measures of real estate assets and portfolios, microeconomic factors affecting real estate and the role of real estate in a mixed-asset portfolio were the top three real estate research interests. There was some variation by the type and size of fund providing evidence that segmentation is important within the money management industry. Respondents were also queried on more focused research subtopics and additional questions in the survey focused on satisfaction with existing real estate benchmarks, and perceptions of the usefulness of published research. Findings should be used to guide research practitioners and academics as to the most important research interests of plan sponsor real estate investment managers.

A methodology for the generation and evaluation of biorefinery process chains, in order to identify the most promising biorefineries for the EU

The topic of bioenergy, biofuels and bioproducts remains at the top of the current political and research agenda. Identification of the optimum processing routes for biomass, in terms of efficiency, cost, environment and socio-economics is vital as concern grows over the remaining fossil fuel resources, climate change and energy security. It is known that the only renewable way of producing conventional hydrocarbon fuels and organic chemicals is from biomass, but the problem remains of identifying the best product mix and the most efficient way of processing biomass to products. The aim is to move Europe towards a biobased economy and it is widely accepted that biorefineries are key to this development. A methodology was required for the generation and evaluation of biorefinery process chains for converting biomass into one or more valuable products that properly considers performance, cost, environment, socio-economics and other factors that influence the commercial viability of a process. In this thesis a methodology to achieve this objective is described. The completed methodology includes process chain generation, process modelling and subsequent analysis and comparison of results in order to evaluate alternative process routes. A modular structure was chosen to allow greater flexibility and allowing the user to generate a large number of different biorefinery configurations The significance of the approach is that the methodology is defined and is thus rigorous and consistent and may be readily re-examined if circumstances change. There was the requirement for consistency in structure and use, particularly for multiple analyses. It was important that analyses could be quickly and easily carried out to consider, for example, different scales, configurations and product portfolios and so that previous outcomes could be readily reconsidered. The result of the completed methodology is the identification of the most promising biorefinery chains from those considered as part of the European Biosynergy Project.

Stock market efficiency, the small firm effect and cointegration

The cointegration methodology commonly used for testing the efficiency of the foreign exchange market is applied to a sample of UK share prices. Specifically we test for static market efficiency in the share prices of small and large firms, using monthly data from January 1975 to December 1989. The empirical findings provide evidence of market efficiency for portfolios of large firms but of inefficiency for small firm portfolios. These results are indicative of a small firm effect in the UK stock market.

Liquidity and portfolio optimisation

This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock market. The discussion on liquidity is focused on measurement issues, including TAQ data processing and measurement of systematic liquidity factors (FSO). Furthermore, a framework for treatment of the two topics in combination is provided. The liquidity part of the thesis gives a conceptual background to liquidity and discusses several different approaches to liquidity measurement. It contributes to liquidity measurement by providing detailed guidelines on the data processing needed for applying TAQ data to liquidity research. The main focus, however, is the derivation of systematic liquidity factors. The principal component approach to systematic liquidity measurement is refined by the introduction of moving and expanding estimation windows, allowing for time-varying liquidity co-variances between stocks. Under several liability specifications, this improves the ability to explain stock liquidity and returns, as compared to static window PCA and market average approximations of systematic liquidity. The highest ability to explain stock returns is obtained when using inventory cost as a liquidity measure and a moving window PCA as the systematic liquidity derivation technique. Systematic factors of this setting also have a strong ability in explaining a cross-sectional liquidity variation. Portfolio optimisation in the FSO framework is tested in two empirical studies. These contribute to the assessment of FSO by expanding the applicability to stock indexes and individual stocks, by considering a wide selection of utility function specifications, and by showing explicitly how the full-scale optimum can be identified using either grid search or the heuristic search algorithm of differential evolution. The studies show that relative to mean-variance portfolios, FSO performs well in these settings and that the computational expense can be mitigated dramatically by application of differential evolution.

Stock selection with full-scale optimization and differential evolution

When composing stock portfolios, managers frequently choose among hundreds of stocks. The stocks' risk properties are analyzed with statistical tools, and managers try to combine these to meet the investors' risk profiles. A recently developed tool for performing such optimization is called full-scale optimization (FSO). This methodology is very flexible for investor preferences, but because of computational limitations it has until now been infeasible to use when many stocks are considered. We apply the artificial intelligence technique of differential evolution to solve FSO-type stock selection problems of 97 assets. Differential evolution finds the optimal solutions by self-learning from randomly drawn candidate solutions. We show that this search technique makes large scale problem computationally feasible and that the solutions retrieved are stable. The study also gives further merit to the FSO technique, as it shows that the solutions suit investor risk profiles better than portfolios retrieved from traditional methods.

Why do firms invest in consumer advertising with limited sales response? A shareholder perspective

Marketing managers increasingly recognize the need to measure and communicate the impact of their actions on shareholder returns. This study focuses on the shareholder value effects of pharmaceutical direct-to-consumer advertising (DTCA) and direct-to-physician (DTP) marketing efforts. Although DTCA has moderate effects on brand sales and market share, companies invest vast amounts of money in it. Relying on Kalman filtering, the authors develop a methodology to assess the effects from DTCA and DTP on three components of shareholder value: stock return, systematic risk, and idiosyncratic risk. Investors value DTCA positively because it leads to higher stock returns and lower systematic risk. Furthermore, DTCA increases idiosyncratic risk, which does not affect investors who maintain well-diversified portfolios. In contrast, DTP marketing has modest positive effects on stock returns and idiosyncratic risk. The outcomes indicate that evaluations of marketing expenditures should include a consideration of the effects of marketing on multiple stakeholders, not just the sales effects on consumers.

Developing a decision framework for the strategic sourcing of biomass

The deployment of bioenergy technologies is a key part of UK and European renewable energy policy. A key barrier to the deployment of bioenergy technologies is the management of biomass supply chains including the evaluation of suppliers and the contracting of biomass. In the undeveloped biomass for energy market buyers of biomass are faced with three major challenges during the development of new bioenergy projects. What characteristics will a certain supply of biomass have, how to evaluate biomass suppliers and which suppliers to contract with in order to provide a portfolio of suppliers that best satisfies the needs of the project and its stakeholder group whilst also satisfying crisp and non-crisp technological constraints. The problem description is taken from the situation faced by the industrial partner in this research, Express Energy Ltd. This research tackles these three areas separately then combines them to form a decision framework to assist biomass buyers with the strategic sourcing of biomass. The BioSS framework. The BioSS framework consists of three modes which mirror the development stages of bioenergy projects. BioSS.2 mode for early stage development, BioSS.3 mode for financial close stage and BioSS.Op for the operational phase of the project. BioSS is formed of a fuels library, a supplier evaluation module and an order allocation module, a Monte-Carlo analysis module is also included to evaluate the accuracy of the recommended portfolios. In each mode BioSS can recommend which suppliers should be contracted with and how much material should be purchased from each. The recommended blend should have chemical characteristics within the technological constraints of the conversion technology and also best satisfy the stakeholder group. The fuels library is made up from a wide variety of sources and contains around 100 unique descriptions of potential biomass sources that a developer may encounter. The library takes a wide data collection approach and has the aim of allowing for estimates to be made of biomass characteristics without expensive and time consuming testing. The supplier evaluation part of BioSS uses a QFD-AHP method to give importance weightings to 27 different evaluating criteria. The evaluating criteria have been compiled from interviews with stakeholders and policy and position documents and the weightings have been assigned using a mixture of workshops and expert interview. The weighted importance scores allow potential suppliers to better tailor their business offering and provides a robust framework for decision makers to better understand the requirements of the bioenergy project stakeholder groups. The order allocation part of BioSS uses a chance-constrained programming approach to assign orders of material between potential suppliers based on the chemical characteristics of those suppliers and the preference score of those suppliers. The optimisation program finds the portfolio of orders to allocate to suppliers to give the highest performance portfolio in the eyes of the stakeholder group whilst also complying with technological constraints. The technological constraints can be breached if the decision maker requires by setting the constraint as a chance-constraint. This allows a wider range of biomass sources to be procured and allows a greater overall performance to be realised than considering crisp constraints or using deterministic programming approaches. BioSS is demonstrated against two scenarios faced by UK bioenergy developers. The first is a large scale combustion power project, the second a small scale gasification project. The Bioss is applied in each mode for both scenarios and is shown to adapt the solution to the stakeholder group importance and the different constraints of the different conversion technologies whilst finding a globally optimal portfolio for stakeholder satisfaction.

Technology adoption in small and medium-sized logistics providers

Purpose - The main aim of the research is to shed light on the role of information and communication technology (ICT) in the logistics innovation process of small and medium-sized third party logistics providers (3PLs). Design/methodology/approach - A triangulated research strategy was designed using a combination of quantitative and qualitative methods. The former involved the use of a questionnaire survey of small and medium-sized Italian 3PLs with 153 usable responses received. The latter comprised a series of focus groups and the use of seven case studies. Findings - There is a relatively low level of ICT expenditure with few companies adopting formal technology investment strategies. The findings highlight the strategic importance of supply chain integration for 3PLs with companies that have embarked on an expansion of their service portfolios showing a higher level of both ICT usage and information integration. Lack of technology skills in the workforce is a major constraint on ICT adoption. Given the proliferation of logistics-related ICT tools and applications in recent years it has been difficult for small and medium-sized 3PLs to select appropriate applications. Research limitations/implications - The paper provides practical guidelines to researchers in the effective use of mixed-methods research based on the concept of methodological triangulation. In particular, it shows how questionnaire surveys, focus groups and case study analysis can be used in combination to provide insights into multi-faceted supply chain phenomena. It also identifies several potentially fruitful avenues for future research in this specific field. Practical implications - The paper's findings provide useful guidance for practitioners on the effective adoption of ICT as part of the logistics innovation process. The findings also provide support for ICT vendors in the design of ICT solutions that are aligned to the needs of small 3PLs. Originality/value - There is currently a paucity of research into the drivers and inhibitors of ICT in the innovation processes of small and medium-sized 3PLs. This paper fills this gap by exploring the issue using a range of complementary research approaches. Copyright © 2013 Emerald Group Publishing Limited. All rights reserved.

Portfolio size, non-trading frequency and portfolio return autocorrelation

In this paper we re-examine the relationship between non-trading frequency and portfolio return autocorrelation. We show that in portfolios where security specific effects have not been completely diversified, portfolio autocorrelation will not increase monotonically with increasing non-trading, as indicated in Lo and MacKinlay (1990). We show that at high levels of non-trading, portfolio autocorrelation will become a decreasing function of non-trading probability and may take negative values. We find that heterogeneity among the means, variances and betas of the component securities in a portfolio can act to increase the induced autocorrelation, particularly in portfolios containing fewer stocks. Security specific effects remain even when the number of securities in the portfolio is far in excess of that considered necessary to diversify security risk. © 2014 Elsevier B.V.

Why are aggregate equity payouts pro-cyclical?

We use two general equilibrium models to explain why changes in the external economic environment result in pro-cyclical aggregate dividend payout behavior. Both models that we consider endogenize low elasticity of investment. The first model incorporates capital adjustment costs, while the second one assumes that risk-averse managers maximize their own objective function rather than shareholder wealth. We show that, while both models generate pro-cyclical aggregate dividends, a feature consistent with the observed business-cycle pattern of payouts from well-diversified portfolios, the second model provides a more likely explanation for this effect. Our findings emphasize the importance of incorporating agency conflicts when considering the relationship between the external economic environment and the financial behavior of businesses.

Optimization of the Investment Portfolio in the Conditions of Uncertainty

Portfolio analysis exists, perhaps, as long, as people think about acceptance of rational decisions connected with use of the limited resources. However the occurrence moment of portfolio analysis can be dated precisely enough is having connected it with a publication of pioneer work of Harry Markovittz (Markovitz H. Portfolio Selection) in 1952. The model offered in this work, simple enough in essence, has allowed catching the basic features of the financial market, from the point of view of the investor, and has supplied the last with the tool for development of rational investment decisions. The central problem in Markovitz theory is the portfolio choice that is a set of operations. Thus in estimation, both separate operations and their portfolios two major factors are considered: profitableness and risk of operations and their portfolios. The risk thus receives a quantitative estimation. The account of mutual correlation dependences between profitablenesses of operations appears the essential moment in the theory. This account allows making effective diversification of portfolio, leading to essential decrease in risk of a portfolio in comparison with risk of the operations included in it. At last, the quantitative characteristic of the basic investment characteristics allows defining and solving a problem of a choice of an optimum portfolio in the form of a problem of quadratic optimization.