Determinantes do fluxo de fundos de investimento no Brasil

Nesse trabalho, procuramos identificar fatores sistemáticos que expliquem uma variação significativa nos fluxos destinados às diversas categorias de fundos de investimento brasileiros, a partir de análises de uma amostra de dados agregados de captações e resgates nesses produtos. O estudo buscou avaliar a existência de padrões de comportamento comuns aos investidores de fundos locais através da análise da migração de fluxos entre as diversas classes de fundos. Foram inicialmente tratados os fatores não comportamentais conhecidos que impactam o fluxo dos fundos, a variável dependente. Esses fatores conhecidos foram apurados através de uma revisão dos trabalhos acadêmicos dos mercados internacional e local. Após esse tratamento foi aplicado o método de decomposição de valores singulares (SVD - Singular Value Decomposition), com o objetivo de avaliarmos os efeitos comportamentais agrupados dos investidores. A decomposição em valores singulares sugere como principais fatores comuns comportamentos de entrada e saída de fundos em massa e migrações entre as classes de fundos de menor e as de maior risco, o que Baker e Wurgler (2007) chamaram de demanda especulativa, e que, segundo esses e outros autores pesquisados, poderia ser interpretada como uma proxy do sentimento dos investidores. Guercio e Tkac (2002) e Edelen et al. (2010), encontraram em suas pesquisas evidências da diferença de comportamento entre investidores de atacado e de varejo, o que foi detectado para a classes de fundos de Renda Variável no caso do presente estudo sobre o mercado brasileiro. O entendimento das variações na tolerância a risco dos investidores de fundos de investimento pode auxiliar na oferta de produtos mais compatíveis com a demanda. Isso permitiria projetar captações para os produtos com base nas características dessa oferta, o que também desenvolvemos nessa pesquisa para o caso das categorias de fundos Multimercado e Renda variável, através de um modelo de espaço de estados com sazonalidade determinística e inicialização SVD. O modelo proposto nesse trabalho parece ter conseguido capturar, na amostra avaliada (2005-2008), um comportamento que se manteve fora da amostra (2009-2011), validando, ao menos na amostra considerada, a proposta de extração dos componentes principais agregados do comportamento dos investidores de fundos brasileiros.

Modeling and predicting the CBOE market volatility index

This paper performs a thorough statistical examination of the time-series properties of the daily market volatility index (VIX) from the Chicago Board Options Exchange (CBOE). The motivation lies not only on the widespread consensus that the VIX is a barometer of the overall market sentiment as to what concerns investors' risk appetite, but also on the fact that there are many trading strategies that rely on the VIX index for hedging and speculative purposes. Preliminary analysis suggests that the VIX index displays long-range dependence. This is well in line with the strong empirical evidence in the literature supporting long memory in both options-implied and realized variances. We thus resort to both parametric and semiparametric heterogeneous autoregressive (HAR) processes for modeling and forecasting purposes. Our main ndings are as follows. First, we con rm the evidence in the literature that there is a negative relationship between the VIX index and the S&P 500 index return as well as a positive contemporaneous link with the volume of the S&P 500 index. Second, the term spread has a slightly negative long-run impact in the VIX index, when possible multicollinearity and endogeneity are controlled for. Finally, we cannot reject the linearity of the above relationships, neither in sample nor out of sample. As for the latter, we actually show that it is pretty hard to beat the pure HAR process because of the very persistent nature of the VIX index.

Dynamic hedging with stocastic differential utility

In this paper we study the dynamic hedging problem using three different utility specifications: stochastic differential utility, terminal wealth utility, and we propose a particular utility transformation connecting both previous approaches. In all cases, we assume Markovian prices. Stochastic differential utility, SDU, impacts the pure hedging demand ambiguously, but decreases the pure speculative demand, because risk aversion increases. We also show that consumption decision is, in some sense, independent of hedging decision. With terminal wealth utility, we derive a general and compact hedging formula, which nests as special all cases studied in Duffie and Jackson (1990). We then show how to obtain their formulas. With the third approach we find a compact formula for hedging, which makes the second-type utility framework a particular case, and show that the pure hedging demand is not impacted by this specification. In addition, with CRRA- and CARA-type utilities, the risk aversion increases and, consequently the pure speculative demand decreases. If futures price are martingales, then the transformation plays no role in determining the hedging allocation. We also derive the relevant Bellman equation for each case, using semigroup techniques.

How the full opening of the capital account to highly liquid financial markets led Latin America to two and a half cycles of ‘mania, panic and crash’

Latin America has recently experienced three cycles of capital inflows, the first two ending in major financial crises. The first took place between 1973 and the 1982 ‘debt-crisis’. The second took place between the 1989 ‘Brady bonds’ agreement (and the beginning of the economic reforms and financial liberalisation that followed) and the Argentinian 2001/2002 crisis, and ended up with four major crises (as well as the 1997 one in East Asia) — Mexico (1994), Brazil (1999), and two in Argentina (1995 and 2001/2). Finally, the third inflow-cycle began in 2003 as soon as international financial markets felt reassured by the surprisingly neo-liberal orientation of President Lula’s government; this cycle intensified in 2004 with the beginning of a (purely speculative) commodity price-boom, and actually strengthened after a brief interlude following the 2008 global financial crash — and at the time of writing (mid-2011) this cycle is still unfolding, although already showing considerable signs of distress. The main aim of this paper is to analyse the financial crises resulting from this second cycle (both in LA and in East Asia) from the perspective of Keynesian/ Minskyian/ Kindlebergian financial economics. I will attempt to show that no matter how diversely these newly financially liberalised Developing Countries tried to deal with the absorption problem created by the subsequent surges of inflow (and they did follow different routes), they invariably ended up in a major crisis. As a result (and despite the insistence of mainstream analysis), these financial crises took place mostly due to factors that were intrinsic (or inherent) to the workings of over-liquid and under-regulated financial markets — and as such, they were both fully deserved and fairly predictable. Furthermore, these crises point not just to major market failures, but to a systemic market failure: evidence suggests that these crises were the spontaneous outcome of actions by utility-maximising agents, freely operating in friendly (‘light-touch’) regulated, over-liquid financial markets. That is, these crises are clear examples that financial markets can be driven by buyers who take little notice of underlying values — i.e., by investors who have incentives to interpret information in a biased fashion in a systematic way. Thus, ‘fat tails’ also occurred because under these circumstances there is a high likelihood of self-made disastrous events. In other words, markets are not always right — indeed, in the case of financial markets they can be seriously wrong as a whole. Also, as the recent collapse of ‘MF Global’ indicates, the capacity of ‘utility-maximising’ agents operating in (excessively) ‘friendly-regulated’ and over-liquid financial market to learn from previous mistakes seems rather limited.

How the full opening of the capital account to highly liquid financial markets led Latin America to two and a half cycles of ‘mania, panic and crash’

Latin America has recently experienced three cycles of capital inflows, the first two ending in major financial crises. The first took place between 1973 and the 1982 ‘debt-crisis’. The second took place between the 1989 ‘Brady bonds’ agreement (and the beginning of the economic reforms and financial liberalisation that followed) and the Argentinian 2001/2002 crisis, and ended up with four major crises (as well as the 1997 one in East Asia) — Mexico (1994), Brazil (1999), and two in Argentina (1995 and 2001/2). Finally, the third inflow-cycle began in 2003 as soon as international financial markets felt reassured by the surprisingly neo-liberal orientation of President Lula’s government; this cycle intensified in 2004 with the beginning of a (purely speculative) commodity price-boom, and actually strengthened after a brief interlude following the 2008 global financial crash — and at the time of writing (mid-2011) this cycle is still unfolding, although already showing considerable signs of distress. The main aim of this paper is to analyse the financial crises resulting from this second cycle (both in LA and in East Asia) from the perspective of Keynesian/ Minskyian/ Kindlebergian financial economics. I will attempt to show that no matter how diversely these newly financially liberalised Developing Countries tried to deal with the absorption problem created by the subsequent surges of inflow (and they did follow different routes), they invariably ended up in a major crisis. As a result (and despite the insistence of mainstream analysis), these financial crises took place mostly due to factors that were intrinsic (or inherent) to the workings of over-liquid and under-regulated financial markets — and as such, they were both fully deserved and fairly predictable. Furthermore, these crises point not just to major market failures, but to a systemic market failure: evidence suggests that these crises were the spontaneous outcome of actions by utility-maximising agents, freely operating in friendly (light-touched) regulated, over-liquid financial markets. That is, these crises are clear examples that financial markets can be driven by buyers who take little notice of underlying values — investors have incentives to interpret information in a biased fashion in a systematic way. ‘Fat tails’ also occurred because under these circumstances there is a high likelihood of self-made disastrous events. In other words, markets are not always right — indeed, in the case of financial markets they can be seriously wrong as a whole. Also, as the recent collapse of ‘MF Global’ indicates, the capacity of ‘utility-maximising’ agents operating in unregulated and over-liquid financial market to learn from previous mistakes seems rather limited.

O Litoral e a metrópole dinâmica imobiliária, turismo e expansão urbana na região metropolitana de Natal-RN

The metropolitan regions of Northeast Brazil are being gradually included in a scenario of international investments, which are motivated by the restructuring of both touristic and real-estate sectors. The new capital, real-estate developers and space configurations that result from this process indicate the need for the creation and implementation of public tools which should, at least, allow the mitigation of the urban impacts and environmental losses resulting from this situation. The effects on landscape and on the socio-spatial configuration result from the intensification caused by the dynamism of the "real estate-tourism" sector. There is a regional integration as an expression of the urban expansion of the metropolitan area of Natal. This study investigates the uniqueness of the restructuring and territorial integration of coastal areas and the strategies of the circuit of capital accumulation formed by linking the real estate to tourism. It is intended to increase the understanding about the strategies of tourism, real estate and public policy agents involved in this territorial reconfiguration and in the fund-raising needed for the investments, to understand the existing social and environmental effects and their future trends and also to understand the forms of spatial production as results from the practices of approaching the land transformation and the tourism valorization of the landscape, in a synchronous manner, first in the Northeast region and, as a focal study, in the Metropolitan Area of Natal. Likewise, it is intended to apprehend the current processes of metropolization of the eastern coast of Rio Grande do Norte, in addition to indicate its physical-territorial transformation and the types of projects/developments promoted by the market in the recent period. Based upon analysis undertaken for the Metropolitan Region of Natal RN, this piece of work presents some considerations on possible legal instruments that can be adjusted to the municipalities which are experiencing the impact of this peculiar and recent phenomenon in the region, caused by the arrival of the real estate-touristic capital. It is also intended to point out basic proposals to the forms of public intervention, in a speculative way, starting from a Metropolitan Planning project within a medium and long term

Entre o mar e estrela, um lugar para se bem viver : a problemática da expansão urbana da Cidade de Baía Formosa/RN

The urban expansion problem of Baía Formosa, a southern edge city of de Rio Grande do Norte eastern coast, which has been presented in other coast Brazilian towns, specially on those with tourist activities increase. Therefore, this situation brings huge concerns to their inhabitants, to their technical /scientific community and to the governments, because of the conflicts of interest and of the growth of urban problems that this has been created. At Baía Formosa, the situation is aggravated because the city is confined, once around it, there are large private proprieties, environmental preservation area and the sea, at the eastern edge. The objectives of this study are the analyses of this city expansion process in order to obtain adequate alternatives and defining methodology to apply in other urban nucleus that are subjected to similar situations. Of course, presents social relations, environmental conditions and promoting local population insertion should be considered in order that enjoin this process and contributing to a better social balance. This case study has used bibliography research, field data, maps and soil occupation recorders and photographs of the area, besides the primary data gathering by surveys carried out with many social actors. The present analysis shows that the urban expansion observed today is featured by a recent unsustainable model, which attacks the environment and brings either farm conflicts. On the other hand, the ecological tourism can represent an alternative in order to achieve an adequate expansion form, without forgetting the several structural parameters necessary to support the sustainable activities

Avaliação da ação bioinseticida de SBTI e vicilina de Erythrina velutina em enzimas digestivas e membrana peritrófica de larvas de Plodia interpunctella (Lepidoptera: Pyralidae)

Plodia interpunctella (Indian meal moth) is a cosmopolitan pest that attacks not only a wide range of stored grain as well other food products. Due to its economic importance several researches have focused in a method with ability to control this pest with few or no damage to the environment. The study of digestive enzymes inhibitors, lectins and chitin-binding proteins, has often been proposed as an alternative to reduce insect damage. In this study we report the major classes of digestive enzymes during larval growth in P. Interpunctella, being those proteinases actives at pH 9.5 and optimum temperature of 50 oC to both larvae of the 3rd instar and pre-pupal stage of development. In vitro and zymogram assays presented the effects of several inhibitors, such as SBTI, TLCK and PMSF to intestinal homogenate of 3rd instar larvae of 62%, 92% and 87% of inhibition and In pre-pupal stage of 87%, 62 % and 55% of inhibition, respectively. Zymograms showed inhibition of two low molecular masses protein bands by TLCK and that in presence of SBTI were retarded. These results are indicative of predominance of digestive serine proteinases in gut homogenate from Plodia interpunctella larvae. This serine proteinase was then used as a target to evaluate the effect of SBTI on larvae in in vivo assay. Effect of SBTI on mortality and larval mass was not observed at until 4% of concentration (w/w) in diets. Chitin, another target to insecticidal proteins, was observed by chemical method. Moreover, optic microscopy confirmed the presence of a peritrophic membrane. Established this target, in vivo effect of EvV, a chitin binding vicilin, evaluated during the larval development of P. interpunctella and was obtained a LD50 of 0,23% and WD50 of 0,27% to this protein. Mechanism of action was proposed through of the in vivo digestibility of EvV methodology. During the passage through the larval digestive tract was observed that EvV was susceptible to digestive enzymes and a reactive fragment, visualized by Western blotting, produced by digestion was recovered after dissociation of the peritrophic membrane. The bound of EvV to peritrophic membrane was confirmed by immunohystochemical assays that showed strong immunofluorescent signal of EvV-FITC binding and peritrophic membrane. These results are a indicative that vicilins could be utilized as potential insecticide to Plodia interpunctella and a control methods using EvV as bioinsecticide should be studied to reduce lost caused by storage insect pests

Obtenção e caracterização de nanopartículas de argilominerais

Natural nanoclays are of great interest particularly for the production of polymer-based nanocomposites. In this work, kaolinite clays from two natural deposits in the State of the Rio Grande do Norte and Paraiba were purified with thermal treatment and chemical treatments, and characterized. Front to the gotten data, had been proposals methodologies for elimination or reduction of coarse particle texts, oxide of iron and organic substance. These methodologies had consisted of the combination of operations with thermal treatments, carried through in electric oven, and acid chemical attacks with and hydrogen peroxide. The Analyzers Thermogravimetric was used to examine the thermal stability of the nanoclays. The analysis indicated weight losses at temperatures under 110 ºC and over the temperature range of 350 to 550 ºC. Based on the thermal analysis data, the samples were submitted to a thermal treatment at 500 °C, for 8 h, to remove organic components. The X-ray diffraction patterns indicated that thermal treatment under 500 °C affect the basic structure of kaolinite. The BET surface area measurements ranged from 32 to 38 m2/g for clay samples with thermal treatment and from 36 to 53 m2/g for chemically treated samples. Thus, although the thermal treatment increased the surface area, through the removal of organic components, the effect was not significant and chemical treatment is more efficient, not affect the basic structure of kaolinite, to improve particle dispersion. SEM analysis confirms that the clay is agglomerated forming micron-size particles

A prática de atividade física de crianças e adolescentes com e sem epilepsia

The epilepsy is one of the neurological disorders more common in the pediatric period, and which interferes significantly in the psycho and social life of children and teenagers. The objective of this study was analyzing the practice of sedentary practices, physicals, traditional infant fun and games of children and teenagers with and without epilepsy. The study was prospective, transversal descriptive, done with 60 children and teenagers with epilepsy (Epileptic Group - EG) patients from Pediatric Neurology Clinic of the Centre Integrated Health Lineu Araújo and 60 children and teenagers without epilepsy (Control Group - CG) students from municipal public school, both of the two groups paired with the same age (age group 7 to 14 years) of both the genders (female = 25/41,6% and male = 35/58,3%) of the Teresina city Piauí. It was done two pattern questionnaires, one applied to children and teenagers of the EG and CG to identify the sedentary activities, physical and traditional infant games and other to the parents/responsible of the EG about the clinical and demographic information. The results permitted the elaboration of two manuscripts: a) the first one titled The Practice of Sedentary and Physical Activities of Children and Teenagers with Epilepsy which showed significant difference in the sedentary activities of playing with car toy (p=0,021) to the EG and reading to the CG (p=0,001); in the physical activities the school physical education (p=0,001) and riding a bike (p=0,014) to the CG; b) the second one The Practice of Infant Games and Fun the children and teenagers with and without Epilepsy in this one the playing with marble presented significant difference (p=0,016) to the CG, despite the girls of the two groups don t do this activity. Observing the distribution of frequencies, it was verified that in the play catch-up and hide-and-seek and burn the EG plays more than the CG both in female and male gender. The girls of the EG play less skip, 60 while the boys of the two groups don t play. Elastic jump the girls of the two groups play in a same frequency and the boys don t participate of this fun. The seizures were found to occur during: soccer (23,3%); hide-and-seek (6,6%) and running (3,3%). In the sedentary activities, seizures were reported to occur: resting and watching TV (18,3%), sleeping (36,0%); sitting (13,3%) and lying down (11,7%). Our results showed that the epileptic group and the controls group engage in the same activities, although the epileptic group participates less than the controls. Although the EG had presented a bigger percentage of generalized attacks, they don t occur during the practice of formal physical activities. The research was developed by a multidisciplinary team, and this contributed a lot to the realization of this study

Proteção da relação de emprego sob o prisma da dignidade da pessoa humana

This work aims to show that the protection of the employment relation is one of the determining factors to respect the principle of the human dignity. The goal is initially to show the devaluation of work from antiquity to the early twentieth century, when the constitutions began to standardize protective devices. This way, the consecration of the social labor rights in the Constitution of 1988 represents the culmination of the historical achievements. This work demonstrates that such rights can not be reduced or suppressed by political conveniences, once these rights are included in the list of immutable clauses. It is displayed that to achieve the fundamental right to work is not well advised to encourage the creation of jobs that maculates the worker s dignity. The outsourced work is, therefore, a classic example of the advancement of precarious forms of contemporary labor. It is inferred that the presence of various forms of harassment results in a degradation of working environment, bringing about dire consequences on professional and personal life of the worker. Thus, decent work must be the appropriate benchmark for the creation of new jobs. It is also shown that the flexibilization of the propaganda rights by certain pressure groups has as main goal to reduce or eliminate rights, based on fallacious data depicting an increase of competitiveness and jobs. In addition, the flexibility implies a growth of the precarization of the work - a reality felt by many workers subjected to such a situation due to the unemployment phenomenon whose origin is not in the protectionism of the norms. It is necessary to expand and structure the constitutionally legitimate institutions to monitor and curb the precarized work, as well as all practices that go against the dignity of the worker. It is also shown the loss of power of the sindicates in the last few years as a consequence of the pulverization workes and the capital attacks through the productive restructure whose outsourcings and privatizations are notorious examples

Efetividade dos direitos trabalhistas e os princípios constitucionais concretizadores da proteção laboral

The Brazilian Constitution aims to regularize the broadest possible the fundamental grounded in the value and supreme principle of human dignity, supporting a Democratic State of Law, to essentially give basic rights to all for a dignified existence. As the result of a historical development, fundamental rights incorporated by legal order represents a real reaction against acts that ignored the dignity of each person in one of these scenarios, especially inserted into the labor relationship, the principle of protection comes to balance and compose such relationship between employers and workers, raising this principle as axiological essence of this subject, based especially on the protection and guarantee of fundamental rights of the worker. For this study, was developed a literature research using books, legislation, legal websites and articles related to the subject, in order to analyze the principle of protection insert in the legal order, properly authoritative on the principle of equality, the social value of the work of human dignity to confer protection to the most vulnerable and admittedly weak of the labor relationship in order to serve the specific regulations legal practical tools and effective protection, against the employer hierarchical power and steering that can not change into abuses and attacks on the fundamental rights of the worker. In conclusion, is not enough, recognizing the vulnerability of the worker, it is necessary to carry out protective legal instruments in line with the the human dignity, consectário logical fundamental rights of workers, to be held in a proportional manner and sometimes flexible, depending on the case. Protection has a beginning and end to ensure that the human dignity that must presuppose a working relationship achieved by orderly and normative power of constitutional norms, with the aim of designing that labor is not an end in itself, but a means to the achievement of the economic advancement by promoting social development and providing necessary support for the increasingly marked impairment of fundamental rights of the worker

Parisoschoenus obesulus Casey (Coleoptera: Curculionidae) não é praga de frutos novos do coqueiro

This study aimed to evaluate if Parisoschoenus obesulus Casey only attacks naturally aborting coconuts and, consequently, is not a pest of young fruits of coconut tree. Aiming to test this hypothesis, inflorescences at diverse stages of physiological development were offered to individuals of P. obesulus. The results showed that only aborting fruits were colonized by P. obesulus corroborating the established hypothesis.

Canibalismo em larvas de matrinxã, Brycon cephalus, após imersão dos ovos à diferentes concentrações de triiodotironina (T3)

The present work evaluated larvae cannibalism of matrinxa, Brycon cephalus, originated from eggs exposed to triiodothyronine, in the period of 36 to 72 hours after hatching. Observed parameters were: weight and length of larvae, stomach content, presence of cannibalism and type of attacks. This study was carried out at Centro de Pesquisa e Gestao de Recursos Pesqueiros Continentais (CEPTA/IBAMA), Pirassununga-SP, in November 2004. Three females were hormonally induced to spawn and pooled oocytes were fertilized and separated into four batches that constituted the treatments: L-1 (control - water); L-2 (0.01 ppm T-3); L-3 (0.05 ppm T-3) and L-4 (0.1 ppm T-3). Eggs were exposed during 15 minutes to water or to solutions containing the different concentrations of T3. Eggs were distributed in 12 conic incubators (60 L), with three replicates per treatment. There was stocked 500 mL of eggs per incubator and hatched larvae were counted. Samples of 30 larvae per treatment were colleted during occurrence of cannibalism (36, 48, 60 and 72 hours post hatching). Predator larvae (with rests of larvae in the stomach) were 50% of the total number of larvae and they presented weight 50% higher compared to that of non predator larvae (without rests of larvae in the stomach) and 9% higher regarding length. Coefficient of variation of weight and length did not differ among treatments, showing similarity in relation to the size. The stomach content revealed that cannibalism occurred in around 50-60 % of larvae, regardless the exposure to the triiodothyronine, and attacks were characterized as head-tail and tail-head attacks.