Empreendedorismo social: criação de valor social no processo de gestão estratégica

O empreendedorismo social constitui uma ferramenta com um potencial estratégico fundamental para as organizações da economia social, sendo possível convergir com as necessidades sociais de um determinado indivíduo, grupo, comunidade ou sociedade, na medida em que permite a criação de valor social. Contudo, essa ferramenta estratégica também permite obter retorno financeiro, tão crucial para a sustentabilidade das organizações. Pretendeu-se através da presente Dissertação, analisar se as organizações da economia social que integram o processo de empreendedorismo social no seu modelo de gestão estratégica, conseguem estabelecer um equilíbrio entre a criação de valor social e a obtenção de retorno financeiro, contribuindo, desta forma, para um contexto económico-financeiro positivo. Em função do trabalho desenvolvido, verificou-se que as organizações inseridas na economia social valorizam o processo de empreendedorismo e inovação social seja para a criação de valor social como para a sua sustentabilidade. Não obstante, estas organizações revelam lacunas na implementação desse processo.

SVR-GARCH com misturas de kernels gaussianos

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

Attitudinal and behavioural approaches to improving waste management on construction projects in Australia: Benefits and limitations

This research aims to understand the attitudes and behaviours of stakeholders towards waste management and consequently identify ways of improving waste management practices in construction projects. Semi-structured interviews were conducted. The findings reveal that most of the decisions in construction projects are based on their financial returns unless there is a special requirement to comply with Green Star or any other sustainable building rating system. Even though there is a trend towards environment-friendly construction, contractors are favourable towards methods involving financial incentives. Results also indicate that private developers are more price-driven compared with government clients. Findings reveal the necessity of enforcing legislation to improve waste management practices until such practices become culturally embedded in organizations across the supply chain. Similarly, end users' motivation towards waste management was also identified as a key to encouraging stakeholders of construction projects and improving their attitudes and behaviours towards waste management practices.

The impact of the European sovereign debt crisis on the recovering from the financial crisis: Equity returns of the banking sector

This paper analyses, through a dynamic panel data model, the impact of the Financial and the European Debt crisis on the equity returns of the banking system. The model is also extended to specifically investigate the impact on countries who received rescue packages. The sample under analysis considers eleven countries from January 2006 to June 2013. The main conclusion is that there was in fact a structural change in banks’ excess returns due to the outbreak of the European Debt Crisis, when stock markets were still recovering from the Financial Crisis of 2008.

The impact of 9/11 on US REIT returns: fundamental or financial?

Following the attack on the World Trade Center on 9/11 volatility of daily returns of the US stock market rose sharply. This increase in volatility may reflect fundamental changes in the economic determinants of prices such as expected earnings, interest rates, real growth and inflation. Alternatively, the increase in volatility may simply reflect the effects of increased uncertainty in the financial markets. This study therefore sets out to determine if the effects of the attack on the World Trade Center on 9/11 had a fundamental or purely financial impact on US real estate returns. In order to do this we compare pre- and post-9/11 crisis returns for a number of US REIT indexes using an approach suggested by French and Roll (1986), as extended by Tuluca et al (2003). In general we find no evidence that the effects of 9/11 had a fundamental effect on REIT returns. In other words, we find that the effect of the attack on the World Trade Center on 9/11 had only a financial effect on REIT returns and therefore was transitory.

Forecasting real estate returns using financial spreads

This paper examines the predictability of real estate asset returns using a number of time series techniques. A vector autoregressive model, which incorporates financial spreads, is able to improve upon the out of sample forecasting performance of univariate time series models at a short forecasting horizon. However, as the forecasting horizon increases, the explanatory power of such models is reduced, so that returns on real estate assets are best forecast using the long term mean of the series. In the case of indirect property returns, such short-term forecasts can be turned into a trading rule that can generate excess returns over a buy-and-hold strategy gross of transactions costs, although none of the trading rules developed could cover the associated transactions costs. It is therefore concluded that such forecastability is entirely consistent with stock market efficiency.

Volatility spillover between New Zealand stock market returns and exchange rate changes before and after the 1997 Asian financial crisis

Researchers in the last decade have been investigating the interdependence of stock returns and exchange rate changes within the same economy. Kanas (2000) and Yang and Doong (2004) find that for the G-7 countries, in general, the volatility of the stock market spills over to the exchange rate market but that volatility spillovers from the exchange rate market to the stock market are insignificant. Chen, Naylor, and Lu (2004) find that NZ individual firm returns are significantly exposed to exchange rate changes. This study complements their work by investigating the volatility spillover between the stock market and the foreign exchange market within the NZ economy.

Impact of policy changes on the efficiency and returns-to-scale of Japanese financial institutions: an evaluation

This paper examines the impact of FSA's (Financial Services Agency) recent policy changes on the efficiency and returns-to-scale (RTS) of Japanese financial institutions including banks, securities companies and bank holding companies. Three kinds of efficiency are investigated namely, technical efficiency (TE), pure technical efficiency (PTE) and scale efficiency (SE) using the non-parametric methodology named data envelopment analysis (DEA). The DEA analysis shows a substantial improvement in the overall efficiency of Japanese banks, albeit a significant difference of efficiency scores between the major/city banks and the regional banks. Results are robust to alternative specifications of efficiency and scale changes.

Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis

The current international integration of financial markets provides a channel for currency depreciation to affect stock prices. Moreover, the recent financial crisis in Asia with its accompanying exchange rate volatility affords a case study to examine that channel. This paper applies a bivariate GARCH-M model of the reduced form of stock market returns to investigate empirically the effects of daily currency depreciation on stock market returns for five newly emerging East Asian stock markets during the Asian financial crisis. The evidence shows that the conditional variances of stock market returns and depreciation rates exhibit time-varying characteristics for all countries. Domestic currency depreciation and its uncertainty adversely affects stock market returns across countries. The significant effects of foreign exchange market events on stock market returns suggest that international fund managers who invest in the newly emerging East Asian stock markets must evaluate the value and stability of the domestic currency as a part of their stock market investment decisions.

Predicting returns in U.S. financial sector indices

This study focuses on: (i) the responsiveness of the U.S. financial sector stock indices to foreign exchange (FX) and interest rate changes; and, (ii) the extent to which good model specification can enhance the forecasts from the associated models. Three models are considered. Only the error-correction model (ECM) generated efficient and consistent coefficient estimates. Furthermore, a simple zero lag model in differences which is clearly mis-specified, generated forecasts that are better than those of the ECM, even if the ECM depicts relationships that are more consistent with economic theory. In brief, FX and interest rate changes do not impact on the return-generating process of the stock indices in any substantial way. Most of the variation in the sector stock indices is associated with past variation in the indices themselves and variation in the market-wide stock index. These results have important implications for financial and economic policies.

Self-affinity in financial asset returns

We test for departures from normal and independent and identically distributed (NIID) log returns, for log returns under the alternative hypothesis that are self-affine and either long-range dependent, or drawn randomly from an L-stable distribution with infinite higher-order moments. The finite sample performance of estimators of the two forms of self-affinity is explored in a simulation study. In contrast to rescaled range analysis and other conventional estimation methods, the variant of fluctuation analysis that considers finite sample moments only is able to identify both forms of self-affinity. When log returns are self-affine and long-range dependent under the alternative hypothesis, however, rescaled range analysis has higher power than fluctuation analysis. The techniques are illustrated by means of an analysis of the daily log returns for the indices of 11 stock markets of developed countries. Several of the smaller stock markets by capitalization exhibit evidence of long-range dependence in log returns. © 2012 Elsevier Inc. All rights reserved.