Análise da sobre-reação e sub-reação nos ativos de primeira e segunda linha do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

Previsão do índice bovespa por meio de redes neurais artificiais: uma análise comparada aos métodos tradicionais de séries de tempo

Forecast is the basis for making strategic, tactical and operational business decisions. In financial economics, several techniques have been used to predict the behavior of assets over the past decades.Thus, there are several methods to assist in the task of time series forecasting, however, conventional modeling techniques such as statistical models and those based on theoretical mathematical models have produced unsatisfactory predictions, increasing the number of studies in more advanced methods of prediction. Among these, the Artificial Neural Networks (ANN) are a relatively new and promising method for predicting business that shows a technique that has caused much interest in the financial environment and has been used successfully in a wide variety of financial modeling systems applications, in many cases proving its superiority over the statistical models ARIMA-GARCH. In this context, this study aimed to examine whether the ANNs are a more appropriate method for predicting the behavior of Indices in Capital Markets than the traditional methods of time series analysis. For this purpose we developed an quantitative study, from financial economic indices, and developed two models of RNA-type feedfoward supervised learning, whose structures consisted of 20 data in the input layer, 90 neurons in one hidden layer and one given as the output layer (Ibovespa). These models used backpropagation, an input activation function based on the tangent sigmoid and a linear output function. Since the aim of analyzing the adherence of the Method of Artificial Neural Networks to carry out predictions of the Ibovespa, we chose to perform this analysis by comparing results between this and Time Series Predictive Model GARCH, developing a GARCH model (1.1).Once applied both methods (ANN and GARCH) we conducted the results' analysis by comparing the results of the forecast with the historical data and by studying the forecast errors by the MSE, RMSE, MAE, Standard Deviation, the Theil's U and forecasting encompassing tests. It was found that the models developed by means of ANNs had lower MSE, RMSE and MAE than the GARCH (1,1) model and Theil U test indicated that the three models have smaller errors than those of a naïve forecast. Although the ANN based on returns have lower precision indicator values than those of ANN based on prices, the forecast encompassing test rejected the hypothesis that this model is better than that, indicating that the ANN models have a similar level of accuracy . It was concluded that for the data series studied the ANN models show a more appropriate Ibovespa forecasting than the traditional models of time series, represented by the GARCH model

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda linha do mercado acionário brasileiro

The Behavioral Finance develop as it is perceived anomalies in these markets efficient. This fields of study can be grouped into three major groups: heuristic bias, tying the shape and inefficient markets. The present study focuses on issues concerning the heuristics of representativeness and anchoring. This study aimed to identify the then under-reaction and over-reaction, as well as the existence of symmetry in the active first and second line of the Brazilian stock market. For this, it will be use the Fuzzy Logic and the indicators that classify groups studied from the Discriminant Analysis. The highest present, indicator in the period studied, was the Liabilities / Equity, demonstrating the importance of the moment to discriminate the assets to be considered "winners" and "losers." Note that in the MLCX biases over-reaction is concentrated in the period of financial crisis, and in the remaining periods of statistically significant biases, are obtained by sub-reactions. The latter would be in times of moderate levels of uncertainty. In the Small Caps the behavioral responses in 2005 and 2007 occur in reverse to those observed in the Mid-Large Cap. Now in times of crisis would have a marked conservatism while near the end of trading on the Bovespa speaker, accompanied by an increase of negotiations, there is an overreaction by investors. The other heuristics in SMLL occurred at the end of the period studied, this being a under-reaction and the other a over-reaction and the second occurring in a period of financial-economic more positive than the first. As regards the under / over-reactivity in both types, there is detected a predominance of either, which probably be different in the context in MLCX without crisis. For the period in which such phenomena occur in a statistically significant to note that, in most cases, such phenomena occur during the periods for MLCX while in SMLL not only biases are less present as there is no concentration of these at any time . Given the above, it is believed that while detecting the presence of bias behavior at certain times, these do not tend to appear to a specific type or heuristics and while there were some indications of a seasonal pattern in Mid- Large Caps, the same behavior does not seem to be repeated in Small Caps. The tests would then suggest that momentary failures in the Efficient Market Hypothesis when tested in semistrong form as stated by Behavioral Finance. This result confirms the theory by stating that not only rationality, but also human irrationality, is limited because it would act rationally in many circumstances

Análise de volatilidade, integração de preços e previsibilidade para o mercado brasileiro de camarão

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. Then, it was verified the existence of relationship of long-term equilibrium between the Brazilian and American imported shrimp and if, confirmed the relationship, whether or not there is a causal link between these assets, considering that the two countries had presented trade relations over the years. It is presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Companhia de Entrepostos e Armazéns Gerais de São Paulo (CEAGESP) and on the official website of American import, National Marine Fisheries Service - National Oceanic and Atmospheric Administration (NMFS- NOAA). The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of one step forward of horizon 12, proved to be statistically more robust. It was found that there is weak evidence of long-term equilibrium between the Brazilian and American shrimp, where equivalently, was not found a causal link between them. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. There is no relationship of long-term stability between the Brazilian and American shrimp prices, but it is known that Brazil imports USA production inputs, which somehow shows some dependence productive. To the market agents, the risk of interferences of the external prices cointegrated to Brazilian is practically inexistent. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread

Relatório de estágio: My Business Consultores Financeiros e Informáticos, Lda. O sistema de informação contabilística e a sua relação com a fiabilidade do reporte financeiro

O presente relatório visa apresentar as actividades desenvolvidas ao longo do estágio realizado na Entidade My Business Consultores Financeiros e Informáticos, Lda., que presta serviços nas áreas da contabilidade e da fiscalidade. O estágio teve dois objectivos principais, sendo o primeiro o desenvolvimento de um conhecimento profissional nas áreas da contabilidade, da fiscalidade e do controlo interno, para facilitar a futura integração da mestranda no mercado laboral. O segundo objectivo consistiu na elaboração de um manual de controlo interno e de boas práticas e, na apresentação de melhorias ao reporte financeiro existente, a partir do estudo da relação entre o sistema de informação contabilístico, o controlo interno e a fiabilidade do reporte financeiro. A metodologia utilizada é a qualitativa assente nos métodos indutivo e descritivo, no método do estudo caso e na investigação-acção.

Avaliação fiscal vs valores de mercado de imóveis em dação em pagamento (segmento habitacional)

Mestrado em Gestão e Avaliação Imobiliária

Anomalias da hipótese de eficiência de mercado: estudo do efeito dia da semana na Bolsa de Valores de Cabo Verde

A eficiência dos mercados tem sido uma questão que tem despertado muito interesse no campo dos investimentos e da investigação financeira durante as últimas décadas, mas nos últimos anos com a intensificação dos estudos e surgimento de evidências da existência de comportamentos anómalos nas rentabilidades dos ativos financeiro, esta teoria passou a ser questionada no meio académico. A discussão do tema é ainda muito polémico, pois existem de um lado os defensores da hipótese de eficiência que defendem que as anomalias identificadas não podem ser generalizadas e não são consistentes ao longo do tempo, e de outro lado os defensores da corrente das finanças comportamentais, segundo os quais as anomalias são provocadas por padrões documentados de comportamento irracional dos investidores, sendo que estes comportamentos são inconsistentes com a teoria de eficiência dos mercados. Entre as anomalias detetadas, destacam-se as anomalias de Calendário, tais como o efeito Janeiro, efeito dia da semana, efeito feriado, entre outros; anomalias na valorização de ativos, tais como o efeito tamanho e outras anomalias de sobre reação. O efeito dia da semana é dos mais persistentes detetados em vários mercados internacionais e tendo em conta este cenário, o objetivo desta dissertação é a verificação da existência das anomalias de calendário, mais precisamente o efeito dia da semana onde se irá analisar o efeito segunda-feira, efeito sexta-feira, o efeito fim-de­ semana. Para esta verificação foram utilizadas as cotações diárias médias do Índice da Bolsa de Valores de Cabo Verde, no período de finais de 2005 a finais de 2008. A análise estatística dos resultados diários indicou que não existem evidências da existência do efeito dia da semana. ABSTRACT: The markets efficiency has been an issue of particular interest in the field of financial investigation in recent decades. However, due to the intensification of the studies and the arise of evidences about the existence of abnormal behaviours on financial assets returns, over the last years, this theory begun to be discussed in academic circles. The debate of this theme is still very controversial, because on one hand there are the defenders of the efficiency hypothesis, who defend that identified anomalies cannot be generalized and are not consistent in the long-term; on the other hand, there are the defenders of behavioral finance tendency, to whom the anomalies are caused by documented patterns about the irrational behaviour of investors. These behaviours are inconsistent with the markets efficient theory. Among the detected anomalies, we highlight the calendar anomalies, such as: the January effect, the day of week effect and holiday effect among others; anomalies over the valuation of assets, such as: the size effect and other anomalies on the reaction. The day of week effect is one of the most persistent effect detected in several international markets, and due to this scenario, the objective of this essay is the finding of calendar abnormalities, namely the day of week effect, where the Monday, the Friday and the weekend effects will be analyzed. For this checking, we used the average daily exchange rates from the prices of the Cape Verde Stock Exchange, for the period from late 2005 to late 2008. The statistical analysis of daily results indicated that there is no evidence of the existence of the day of the week effect.

Outsource marketing : efeitos na relação entre investimentos em ações de marketing digital e desempenho financeiro

Dissertação (mestrado)—Universidade de Brasília, Faculdade de Economia, Administração e Contabilidade, Programa de Pós-Graduação em Administração, 2016.

SVR-GARCH com misturas de kernels gaussianos

Dissertação (mestrado)—Universidade de Brasília, Departamento de Administração, Programa de Pós-graduação em Administração, 2016.

A Persistência do Desempenho dos Fundos de Obrigações no Mercado Português

Os fundos de investimento são cada vez mais utilizados como forma de rentabilizar poupanças por períodos mais alargados, pois normalmente traduzem-se em ganhos superiores aos obtidos em aplicações financeiras mais tradicionais. Nesse sentido, torna-se importante compreender se existe alguma capacidade de previsão do desempenho futuro dos fundos de investimento, nomeadamente através do estudo da sua persistência. Embora haja vários estudos na literatura que corroboram a existência de persistência no desempenho de fundos de investimento (e.g., Hendricks, Patel e Zeckhauser, 1993; Elton, Gruber e Blake, 1996; Silva, Cortez e Armada, 2005; Vidal-Garcia, 2013), a grande maioria destes estudos incide sobre fundos de ações, pelo que esta temática se encontra bastante menos explorada no âmbito dos fundos de obrigações, em particular no contexto dos mercados europeus. Assim, este estudo avalia a persistência do desempenho dos fundos de obrigações do mercado português no período de 2001 a 2012. Para esse efeito utilizam-se duas metodologias, os performance-ranked portfolios e as tabelas de contingência, quer para períodos longos (3 anos), quer para períodos curtos (1 ano), sendo o desempenho passado avaliado através de rendibilidades em excesso e de alfas estimados com base num modelo multi-fator. Pelos resultados obtidos constata-se que o desempenho dos fundos de obrigações nacionais é, no período em estudo, significativamente inferior ao do mercado, ou seja, os gestores não conseguem superar o mercado nem mesmo acompanhá-lo. Quanto aos testes de persistência do desempenho, quando se utilizam as rendibilidades em excesso para aplicação das metodologias, há alguma evidência de persistência do desempenho dos fundos de obrigações portugueses, tanto no curto como no longo prazo, em particular para o sub-período de 2001 a 2006. Contudo, com a utilização de alfas a evidência de persistência do desempenho desaparece.

A REFORMA AGRÁRIA DE MERCADO NOS MUNICÍPIOS DE LONDRINA E TAMARANA-PR

Criado pelo Banco Mundial, no bojo das políticas neoliberais de ajuste estrutural, e adotado pelo Estado brasileiro na década de 1990, o modelo de reforma agrária de mercado representa uma tentativa de contensão das tensões sociais no campo por meio da desmobilização dos movimentos sociais de luta pela terra. No entanto, os desdobramentos nocivos dessas ações políticas vão além. A implementação desse modelo, dito de “reforma agrária”, representa ainda: a expansão do capital financeiro no campo; o “aquecimento” do mercado de terras e da especulação; inaugura uma nova modalidade de recriação do campesinato, protagonizada pelo mercado; e cria um conflito entre a lógica capitalista de propriedade privada da terra e a concepção de terra de trabalho, na visão camponesa. A presente pesquisa visa analisar a inserção do modelo de reforma agrária de mercado nos municípios de Londrina e Tamarana, localizados na região Norte do estado do Paraná, por meio da análise da produção do espaço agrário dos referidos municípios que favoreceu a penetração do modelo; da avaliação das políticas de desenvolvimento rural propostas pelo Banco Mundial e adotadas pelo Estado brasileiro; e, por meio da análise de elementos, como: sujeição da renda camponesa da terra ao capital, reprodução social e material das famílias assentadas e conflitos existentes no interior das diferentes formas de sociabilidade dos camponeses, verificamos a inviabilidade dos assentamentos rurais criados a partir dos programas de reforma agrária de mercado, pautados na ótica neoliberal de desenvolvimento rural do Banco Mundial.

A REFORMA AGRÁRIA DE MERCADO NOS MUNICÍPIOS DE LONDRINA E TAMARANA-PR

Criado pelo Banco Mundial, no bojo das políticas neoliberais de ajuste estrutural, e adotado pelo Estado brasileiro na década de 1990, o modelo de reforma agrária de mercado representa uma tentativa de contensão das tensões sociais no campo por meio da desmobilização dos movimentos sociais de luta pela terra. No entanto, os desdobramentos nocivos dessas ações políticas vão além. A implementação desse modelo, dito de “reforma agrária”, representa ainda: a expansão do capital financeiro no campo; o “aquecimento” do mercado de terras e da especulação; inaugura uma nova modalidade de recriação do campesinato, protagonizada pelo mercado; e cria um conflito entre a lógica capitalista de propriedade privada da terra e a concepção de terra de trabalho, na visão camponesa. A presente pesquisa visa analisar a inserção do modelo de reforma agrária de mercado nos municípios de Londrina e Tamarana, localizados na região Norte do estado do Paraná, por meio da análise da produção do espaço agrário dos referidos municípios que favoreceu a penetração do modelo; da avaliação das políticas de desenvolvimento rural propostas pelo Banco Mundial e adotadas pelo Estado brasileiro; e, por meio da análise de elementos, como: sujeição da renda camponesa da terra ao capital, reprodução social e material das famílias assentadas e conflitos existentes no interior das diferentes formas de sociabilidade dos camponeses, verificamos a inviabilidade dos assentamentos rurais criados a partir dos programas de reforma agrária de mercado, pautados na ótica neoliberal de desenvolvimento rural do Banco Mundial.

Mercado

Poem

Análisis de la exportación de manzanas y peras en el mercado externo en la última década

Resumen: El propósito general de este trabajo, es resumir para el debate un análisis conceptual del Mercado de Exportación de los frutos de pepita (Manzana y Pera) en el Mercado Internacional en la última década, destacar el lugar que ocupa el complejo frutícola en la economía argentina y su rol para sostener los mercados externos actualmente abastecidos. La estructura del presente trabajo tiene como finalidad mostrar las reglamentaciones existentes para la comercialización de las frutas pomáceas en el mercado interno y externo, además de anexos que complementan y soportan dicho trabajo, siendo de gran interés para el lector. Finalizando el presente trabajo, con conclusiones en el desarrollo de la Evolución, Tendencia, Expectativas y Desafíos frutícolas para la próxima década.