Empirical essays on IPOS: the Brazilian case

The purpose of this study is to empirically analyze the main factors that determine the first-day return and the Flipping activity in Brazilian IPOs, taking into account expected results according to national and international researches. The data base encompasses IPOs that took place between May 2004 and February 2011, summing up to 129 IPOs and approximately R$ 128 billion offering. The first-day return, which means the “money left on the table”, was on average 4.6% taking into consideration the issue price, while the Flipping activity totalized R$ 7.2 billion, meaning 5.6% of the offering. The first-day return was analyzed before and after the first trade, and evidences were found supporting (a) the exogenous determination of the issue price, (b) the opening price dependence of prospectus disclosure and of other variables, observable previously to the bookbuilding process, and (c) the cascade behavior of investors in the pricing after the first trade, particularly driven by the underwriter behavior. In regards to the Flipping, it was notorious depending on how much the IPO succeeded, being concentrated in and homogeneous along the first-day, despite the intense negotiation in the first minute. As a general contribution to literature, it was concluded that Information Asymmetry Theory arguments are not sufficient to explain the first-day Underpricing and the Flipping, being necessary arguments based on Behavioral Finance adapted to an intraday perspective.

Comportamento de pares de ações no mercado brasileiro sob a ótica da cointegração, para preços intra-diários

Esta dissertação estuda o movimento do mercado acionário brasileiro com o objetivo de testar a trajetória de preços de pares de ações, aplicada à estratégia de pair trading. Os ativos estudados compreendem as ações que compõem o Ibovespa e a seleção dos pares é feita de forma unicamente estatística através da característica de cointegração entre ativos, sem análise fundamentalista na escolha. A teoria aqui aplicada trata do movimento similar de preços de pares de ações que evoluem de forma a retornar para o equilíbrio. Esta evolução é medida pela diferença instantânea dos preços comparada à média histórica. A estratégia apresenta resultados positivos quando a reversão à média se efetiva, num intervalo de tempo pré-determinado. Os dados utilizados englobam os anos de 2006 a 2010, com preços intra-diários para as ações do Ibovespa. As ferramentas utilizadas para seleção dos pares e simulação de operação no mercado foram MATLAB (seleção) e Streambase (operação). A seleção foi feita através do Teste de Dickey-Fuller aumentado aplicado no MATLAB para verificar a existência da raiz unitária dos resíduos da combinação linear entre os preços das ações que compõem cada par. A operação foi feita através de back-testing com os dados intra-diários mencionados. Dentro do intervalo testado, a estratégia mostrou-se rentável para os anos de 2006, 2007 e 2010 (com retornos acima da Selic). Os parâmetros calibrados para o primeiro mês de 2006 puderam ser aplicados com sucesso para o restante do intervalo (retorno de Selic + 5,8% no ano de 2006), para 2007, onde o retorno foi bastante próximo da Selic e para 2010, com retorno de Selic + 10,8%. Nos anos de maior volatilidade (2008 e 2009), os testes com os mesmos parâmetros de 2006 apresentaram perdas, mostrando que a estratégia é fortemente impactada pela volatilidade dos retornos dos preços das ações. Este comportamento sugere que, numa operação real, os parâmetros devem ser calibrados periodicamente, com o objetivo de adaptá-los aos cenários mais voláteis.

Realized volatility: evidence from Brazil

Using intraday data for the most actively traded stocks on the São Paulo Stock Market (BOVESPA) index, this study considers two recently developed models from the literature on the estimation and prediction of realized volatility: the Heterogeneous Autoregressive Model of Realized Volatility (HAR-RV), developed by Corsi (2009), and the Mixed Data Sampling model (MIDAS-RV), developed by Ghysels et al. (2004). Using measurements to compare in-sample and out-of-sample forecasts, better results were obtained with the MIDAS-RV model for in-sample forecasts. For out-of-sample forecasts, however, there was no statistically signi cant di¤erence between the models. We also found evidence that the use of realized volatility induces distributions of standardized returns that are closer to normal

Prevendo a volatilidade realizada de ações brasileiras : evidências empíricas

Este estudo compara previsões de volatilidade de sete ações negociadas na Bovespa usando 02 diferentes modelos de volatilidade realizada e 03 de volatilidade condicional. A intenção é encontrar evidências empíricas quanto à diferença de resultados que são alcançados quando se usa modelos de volatilidade realizada e de volatilidade condicional para prever a volatilidade de ações no Brasil. O período analisado vai de 01 de Novembro de 2007 a 30 de Março de 2011. A amostra inclui dados intradiários de 5 minutos. Os estimadores de volatilidade realizada que serão considerados neste estudo são o Bi-Power Variation (BPVar), desenvolvido por Barndorff-Nielsen e Shephard (2004b), e o Realized Outlyingness Weighted Variation (ROWVar), proposto por Boudt, Croux e Laurent (2008a). Ambos são estimadores não paramétricos, e são robustos a jumps. As previsões de volatilidade realizada foram feitas através de modelos autoregressivos estimados para cada ação sobre as séries de volatilidade estimadas. Os modelos de variância condicional considerados aqui serão o GARCH(1,1), o GJR (1,1), que tem assimetrias em sua construção, e o FIGARCH-CHUNG (1,d,1), que tem memória longa. A amostra foi divida em duas; uma para o período de estimação de 01 de Novembro de 2007 a 30 de Dezembro de 2010 (779 dias de negociação) e uma para o período de validação de 03 de Janeiro de 2011 a 31 de Março de 2011 (61 dias de negociação). As previsões fora da amostra foram feitas para 1 dia a frente, e os modelos foram reestimados a cada passo, incluindo uma variável a mais na amostra depois de cada previsão. As previsões serão comparadas através do teste Diebold-Mariano e através de regressões da variância ex-post contra uma constante e a previsão. Além disto, o estudo também apresentará algumas estatísticas descritivas sobre as séries de volatilidade estimadas e sobre os erros de previsão.

As intervenções do Banco do Central do Brasil no mercado de câmbio e seus efeitos no nível intradiário da taxa de câmbio

Este trabalho tem como objetivo investigar o efeito das intervenções cambiais realizadas pelo Banco Central do Brasil sobre o nível intradiário da taxa de câmbio no Brasil. Para isso é utilizada uma abordagem de estudo de eventos, cruzando as cotações tick-by-tick dos contratos de dólar futuro negociados na BM&FBOVESPA com o instante em que ocorreram as intervenções, no período de outubro de 2011 a março de 2014. Foram considerados nas análises não apenas o momento da intervenção como também o momento do anúncio. Os resultados indicaram que o mercado reage de forma distinta a cada tipo de intervenção, sendo a reação acentuada quando a intervenção não é anunciada previamente ao mercado. As intervenções via swap cambial ou dólar pronto geraram efeitos significativos e relevantes no nível da taxa de câmbio. Por outro lado, as intervenções através de leilão de linha não afetaram significativamente a taxa de câmbio.

Forecasting daily volatility using high frequency financial data

Aiming at empirical findings, this work focuses on applying the HEAVY model for daily volatility with financial data from the Brazilian market. Quite similar to GARCH, this model seeks to harness high frequency data in order to achieve its objectives. Four variations of it were then implemented and their fit compared to GARCH equivalents, using metrics present in the literature. Results suggest that, in such a market, HEAVY does seem to specify daily volatility better, but not necessarily produces better predictions for it, what is, normally, the ultimate goal. The dataset used in this work consists of intraday trades of U.S. Dollar and Ibovespa future contracts from BM&FBovespa.

An improved and fast UHPLC-PDA methodology for determination of L-ascorbic and dehydroascorbic acids in fruits and vegetables: evaluation of degradation rate during storage

This study provides a versatile validated method to determine the total vitamin C content, as the sum of the contents of L-ascorbic acid (L-AA) and dehydroascorbic acid (DHAA), in several fruits and vegetables and its degradability with storage time. Seven horticultural crops from two different origins were analyzed using an ultrahigh-performance liquid chromatographic–photodiode array (UHPLC-PDA) system, equipped with a new trifunctional high strength silica (100% silica particle) analytical column (100 mm×2.1 mm, 1.7 μm particle size) using 0.1% (v/v) formic acid as mobile phase, in isocratic mode. This new stationary phase, specially designed for polar compounds, overcomes the problems normally encountered in HPLC and is suitable for the analysis of large batches of samples without L-AA degradation. In addition, it proves to be an excellent alternative to conventional C18 columns for the determination of L-AA in fruits and vegetables. The method was fully validated in terms of linearity, detection (LOD) and quantification (LOQ) limits, accuracy, and inter/intraday precision. Validation experiments revealed very good recovery rate of 96.6±4.4% for L-AA and 103.1±4.8 % for total vitamin C, good linearity with r2-values >0.999 within the established concentration range, excellent repeatability (0.5%), and reproducibility (1.6%) values. The LOD of the method was 22 ng/mL whereas the LOQ was 67 ng/mL. It was possible to demonstrate that L-AA and DHAA concentrations in the different horticulture products varied oppositely with time of storage not always affecting the total amount of vitamin C during shelf-life. Locally produced fruits have higher concentrations of vitamin C, compared with imported ones, but vegetables showed the opposite trend. Moreover, this UHPLC-PDA methodology proves to be an improved, simple, and fast approach for determining the total content of vitamin C in various food commodities, with high sensitivity, selectivity, and resolving power within 3 min of run analysis.

Estádios larvais e ocorrência saxonal de imaturos de Psaroniocompsa incrustata (Lutz,1910)(Diptera:Smimuliidae) no Rio Pium, município de Nísia Floesta, RN

The larval instars, seasonal occurrence and environmental factors influence on Psaroniocompsa incrustata (Lutz, 1910) (Diptera: Simuliidae) immature were studied according to its physical and chemical aspects of breeding water. Four collects were made at vegetal substrate from margin, middle and floating on the Pium river, city of Nísia Floresta, state of Rio Grande do Norte, Brazil at dry and wet season. Some of larval characters were used to determinate the larval instars number like lateral length of cephalic capsulae, antennae and the distance among cephalic apodema, as well as pH, water temperature, width, depth, stream velocity, discharge and pluviometric precipitation were used for physical factors. Seven larval instars were determined for this P. incrustata community being the lateral length of cephalic capsulae as the best structure with this meaning propose. The seasonality immature abundance of this species were found in dry season and a positive correlation with pH, stream velocity and precipitation

Ecologia alimentar de aves insetívoras de um fragmento de mata decídua do extremo norte da Mata Atlântica

The diet study of birds has contributed historically as a model for use to understanding ecological patterns and strategies used by several other groups of vertebrates, which are observed in season patterns and temporal availability of resources, and other. This study has as objective generate information concerning the diet of insectivorous birds during rainy season and dry season, as well as analyze Index food importance, niche overlap, niche breadth, electivity, and seasonal availability of prey. The study was conducted in a fragment of about 270 ha (center coordinates and 5 º 53'S 35 ° 23'W). The sampling of birds occurred between March 2008 and December 2009 in three pre-established trails. Catches of birds were performed using 10 mist nets placed in line, where each trails was sampled once a month. Samples of pellets were obtained by means of tartar emetic. Sampling of availability of prey occurred between February 2009 to December 2009. We used two methods of sampling (pitfall traps and Shake cloths). We captured 269 individuals of 21 species of insectivorous birds. We collected 4116 invertebrates of which 3259 in the rainy season and 857 in the dry season. We obtained 174 samples stomach, where 10 species were exclusively insectivorous diet, nine fed on insect/plant material, an insect/plant material/vertebrate and one for insect/vertebrate. During the rainy season was observing difference between the consumption of items with higher food importance. The Coleoptera was item with higher food importance (73%), followed by Formicidae (7%) and Araneae (6%). During the dry season, no difference was found difference between the consumption of items with higher food importance. The Coleoptera was item with higher food importance (34%), followed by seeds (29%) and Formicidae (18%). The highest levels of niche overlap occurred during the rainy season, while the dry season was characterized by high levels of niche 11 segregation. This indicates that the local insectivorous birds community was structured differently between periods. No was found correlation between the values of niche breadth to the mean weight of the body size. We observed seasonal patterns in prey availability, with the peak availability of invertebrates observed seasonal patterns in rainy season. The insectivorous birds selected the same species richness during both periods, showing a specialized diet. Thamnophilus pelzelni was the only species that had their diet influenced by seasonality. Regarding the overall diet of insectivorous birds, observed a high consumption of prey, whose food availability caused the birds could invest and increase their food resources

Estudo estatístico sobre eventos de precipitação intensa no nordeste do Brasil

The Northeast of Brazil (NEB) shows high climate variability, ranging from semiarid regions to a rainy regions. According to the latest report of the Intergovernmental Panel on Climate Change, the NEB is highly susceptible to climate change, and also heavy rainfall events (HRE). However, few climatology studies about these episodes were performed, thus the objective main research is to compute the climatology and trend of the episodes number and the daily rainfall rate associated with HRE in the NEB and its climatologically homogeneous sub regions; relate them to the weak rainfall events and normal rainfall events. The daily rainfall data of the hydrometeorological network managed by the Agência Nacional de Águas, from 1972 to 2002. For selection of rainfall events used the technique of quantiles and the trend was identified using the Mann-Kendall test. The sub regions were obtained by cluster analysis, using as similarity measure the Euclidean distance and Ward agglomerative hierarchical method. The results show that the seasonality of the NEB is being intensified, i.e., the dry season is becoming drier and wet season getting wet. The El Niño and La Niña influence more on the amount of events regarding the intensity, but the sub-regions this influence is less noticeable. Using daily data reanalysis ERAInterim fields of anomalies of the composites of meteorological variables were calculated for the coast of the NEB, to characterize the synoptic environment. The Upper-level cyclonic vortex and the South atlantic convergene zone were identified as the main weather systems responsible for training of EPI on the coastland

Influência da estação do ano nas características do sêmen e na concentração de hormônios em touros Nelore e Simental

Estudou-se a influência das quatro estações do ano nas características do sêmen e nas concentrações de testosterona e cortisol em touros. Cinco touros Nelore e cinco Simental entre 48 e 72 meses de idade, criados extensivamente, foram avaliados andrologicamente por meio de exames físicos das características morfológicas do sêmen e das concentrações séricas de testosterona e cortisol. Houve redução na motilidade e no vigor do sêmen no inverno (P<0,05) na raça Simental. Observou-se correlação (P<0,01) entre testosterona x motilidade (0,69) e testosterona x vigor (0,57) na raça Simental, e cortisol x motilidade (0,68) e cortisol x vigor (0,65) na raça Nelore. O efeito das estações do ano modificou a qualidade do sêmen com aumento da motilidade e vigor espermáticos na primavera e verão nos touros Simental. A concentração de cortisol diminuiu no outono nos touros Nelore.

Produção, acúmulo e decomposição da serapilheira em uma restinga da Ilha do Mel, Paranaguá, PR, Brasil

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

Seasonal variations in chemical composition and stable isotopes of farmed and wild Brazilian freshwater fish

This study examined variations in the Fulton condition factor, chemical composition, and stable isotopes of carbon and nitrogen in the Brazilian freshwater fish cachara (Pseudoplatystoma fasciatum), comparing farmed and wild fish in different seasons. Values for energy, protein, moisture, and Fulton's condition factor were higher for farmed than for wild fish in the rainy season, indicating better nutritional quality; however, these differences were not observed in the dry season. Likewise, we found significant enhancement of delta(15)N in farmed fish in the rainy season but not in the dry season, whereas enhancement of delta(13)C was observed in both seasons. The combined measurement of delta(13)C and delta(15)N provided traceability under all conditions. Our findings show that stable isotope analysis of C and N can be used to trace cachara origin, and that seasonal variations need to be considered when applying chemical and isotopic authentication of fish and fish products. (C) 2010 Elsevier Ltd. All rights reserved.

Efeito da época sobre a emergência de Sida rhombifolia e Solanum viarum em diferentes profundidades de semeadura

O conhecimento da profundidade ideal de germinação de sementes de plantas daninhas é importante para o desenvolvimento de estratégias de manejo eficientes, seguras e econômicas. Com o objetivo de estudar a emergência de plântulas de Sida rhombifolia L. e Solanum viarum Dunal, em resposta à época (setembro de 2008 e janeiro de 2009) e às profundidades de semeadura (0, 1, 2, 3, 4 e 5 cm), foram realizados dois experimentos em casa de vegetação. Sida rhombifolia mostrou-se sensível às variações de temperatura, em decorrência das épocas de semeadura, e os maiores percentuais de emergência ocorreram nas profundidades entre 1 e 4 cm. Para S. viarum, observou-se forte influência da temperatura sobre a sua emergência, sendo, observado o máximo de emergência, nas profundidades de 1 a 5 cm e sua redução para as sementes locadas na superfície do solo.