Ensaios em Finanças

Esta tese é composta de três artigos sobre finanças. O primeiro tem o título "Nonparametric Option Pricing with Generalized Entropic Estimators " e estuda um método de apreçamento de derivativos em mercados incompletos. Este método está relacionado com membros da família de funções de Cressie-Read em que cada membro fornece uma medida neutra ao risco. Vários testes são feitos. Os resultados destes testes sugerem um modo de definir um intervalo robusto para preços de opções. Os outros dois artigos são sobre anúncios agendados em diferentes situações. O segundo se chama "Watching the News: Optimal Stopping Time and Scheduled Announcements" e estuda problemas de tempo de parada ótimo na presença de saltos numa data fixa em modelos de difusão com salto. Fornece resultados sobre a otimalidade do tempo de parada um pouco antes do anúncio. O artigo aplica os resultados ao tempo de exercício de Opções Americanas e ao tempo ótimo de venda de um ativo. Finalmente o terceiro artigo estuda um problema de carteira ótima na presença de custo fixo quando os preços podem saltar numa data fixa. Seu título é "Dynamic Portfolio Selection with Transactions Costs and Scheduled Announcement" e o resultado mais interessante é que o comportamento do investidor é consistente com estudos empíricos sobre volume de transações em momentos próximos de anúncios.

Private equity na carteira de investimentos das entidades de previdência privada

Este trabalho visa examinar e discutir o investimento em cotas de fundos de private equity, venture capital e mezaninos, denominados pela legislação recente, no Brasil, de fundos de investimento em participações e em empresas emergentes (FIPs e FIEEs), nos investimentos de entidades de previdência complementar, considerando as características singulares dessa classe de investimentos alternativos (carteira de participações).

Fundo de investimento imobiliário: metodologia para subsidiar o investidor a formar uma carteira eficiente

O presente trabalho tem por objetivo subsidiar o investidor de Fundos de Investimento Imobiliário na escolha de uma carteira de aplicação de FIIs, visando obter performance igual ou superior ao índice de referência do setor (IFIX). Tal subsídio é constituído, inicialmente, por uma metodologia que considera que o conceito de Carteira Eficiente (Risco/Retorno) preconizada por Markowitz pode trabalhar em conjunto com a dimensão do conceito das Finanças Comportamentais, liderada por Daniel Kahneman, constituindo as bases de orientação do investidor. Acrescentamos o caminho metodológico com as indicações, sugeridas por Bazerman e Moore, no processo de tomada de decisão, que reduza os efeitos de heurísticas e vieses.

Sentado a carteira

Ilustração componente do jogo “Escola Mágica (http://www.loa.sead.ufscar.br/escola-magica.html)” desenvolvido pela equipe do Laboratório de Objetos de Aprendizagem da Universidade Federal de São Carlos (LOA/UFSCar).

Tributação, finanças públicas e política fiscal: uma análise sob a óptica do direito e economia

In the Brazilian legal scenario, the study of taxation has traditionally been restricted to positivist analysis, concerned with investigating the formal aspects of the tax legal rule. Despite its relevance to the formation of the national doctrine of tax, such formalist tradition limits the discipline, separating it from reality and the socioeconomic context in which the Tax Law is inserted. Thus, the proposal of the dissertation is to examine the fundamentals and nature of taxation and tax legal rules from the perspective of Law and Economics (Economic Analysis of Law). For this purpose, the work initially reconnects the Tax Law and Science of Finance (or Public Finance) and Fiscal Policy, undertaking not only a legal analysis, but also economic and financial analysis of the theme. The Economics of Public Sector (or Modern Public Finance) will contribute to the research through topics such as market failures and economic theory of taxation, which are essential to an economic approach to Tax Law. The core of the work lies in the application of Law and Economics instruments in the study of taxation, analyzing the effects of tax rules on the economic system. Accordingly, the dissertation examines the fundamental assumptions that make up the Economic Analysis of Law (as the concept of economic efficiency and its relation to equity), relating them to the tax phenomenon. Due to the nature of the Brazilian legal system, any worth investigation or approach, including Law and Economics, could not pass off the Constitution. Thus, the constitutional rules will serve as a limit and a prerequisite for the application of Law and Economics on taxation, particularly the rules related to property rights, freedom, equality and legal certainty. The relationship between taxation and market failures receives prominent role, particularly due to its importance to the Law and Economics, as well as to the role that taxation plays in the correction of these failures. In addition to performing a review of taxation under the approach of Economic Analysis of Law, the research also investigates the reality of Brazilian tax system, applying the concepts developed in relevant cases and issues to the national scene, such as the relationship between taxation and development, the compliance costs of taxation, the tax evasion and the tax enforcement procedure. Given the above, it is intended to lay the groundwork for a general theory of Economic Analysis of Tax Law, contextualizing it with the Brazilian tax system

Caminhos e descaminhos dos municípios produtores de petróleo: o papel dos royalties no desempenho das finanças públicas municipais no estado do Rio Grande do Norte

It analyzes the magnitude, the nature and the direction of public revenues and the public expenses in oil and natural gas producing municipalities in the state of Rio Grande do Norte in the post-constituent period, and, more precisely, from the approval of Law 9.478/97, called Oil Law . It argues the fiscal federalism normative theory, the typology and the role of the intergovernamental transferences in the performance of the public finances of the local governments. Shows that the economy of Rio Grande do Norte went through deep social-economic changes in the last few decades, among which includes the discovery of the oil and the natural gas and its importance for the growth of the industrial and services sectors. It points out that the increase of the production and the international price of the oil contributed for the growth in revenues of royalties and the special participation in the beneficiary cities, what did not mean an automatic increase in the resources destined to the investment and in the quality on the provision of the goods and services come back toward the local development. On the contrary, the main conclusion of the work is that the trajectory of the oil producing municipalities is marked by paths and embezzlements in the performance of the public finances and in the provision of public goods and services. Paths, that lead to the improvement of the performance of the public finances and the quality of the public goods and services. Embezzlements, that lead to the inefficiency in the provision of goods and services and the capture of the public resources. That is, the fiscal decentralization is a necessary condition, however not enough to improve the amount and the quality of the public goods and services given by these municipalities. For that it is necessary to advance in the fiscal federalism normative theories, in search of optimum model of federalism in local governments where still predominated by patrimonialism, clientelism, fiscal illusion and the capture of the public resources in benefit of the private interests

Finanças públicas na nova ordem constitucional brasileira: uma análise comportamental dos municípios potiguares, nos anos antecedentes e posteriores à lei de responsabilidade fiscal LRF

The object of the present dissertation is to analyze the behavior of the public finances of the districts of the state of Rio Grande do Norte (RN), taking as reference a period fundamentally previous to the implementation of the Fiscal Responsibility Law LRF, comparatively to the first years, immediately after the advent of the mentioned institutional milestone. The central hypothesis of this study proposes that, from the institutions' viewpoint, the LRF sets securely consistent rules, in the orchestration of the behavior of the municipal revenues and expenses. These regulations, on the other hand, might be effective and reach the districts of the RN indiscriminately, apart from stabilizing tendencies and which are sustainable in the long run. In spite of this, the indicators calculated reveal that the districts researched show, during all the period under analysis, a diminished capacity of self-tax collection , and consequently, a high participation of the intergovernmental transfers in the composition of the current revenues. This behavior indicates that the goal of strengthening the municipal public finances, forecast in the LRF, tends to be only partially accomplished, due to the fiscal decentralism. The analysis and interpretation of the data are conducted from the literature of institutionalist orientation and in descriptive statistical tools applied to the municipal strata of the state of Rio Grande do Norte. Further on, it's used the econometrical method Pooled OLS, which demands the elimination of the municipal strata in order to allow the use of the model, in the attempt to strengthen and/or ratify the results of the research. Finally, the evidence reached in the dissertation show that the LRF brings better conditions to the potiguar municipal public finances, predominantly to the economically stronger districts; whereas the less dynamic municipal entities show rather divergent evidence, that is, their economies seem to be more oriented to a more pronounced state participation; therefore, it generates in the state of RN a certain antithesis in the results reached in the dissertation

Efeitos das transferências intergovernamentais sobre as finanças públicas dos municípios do Rio Grande do Norte (2001-2010)

The Brazilian tax structure has specific characteristics and the performance level of government. The autonomy given to municipalities to manage their activities after the 1988 Constitution, made them highly dependent on intergovernmental transfers of resources, revealing the fragility of the administrative capacity of these entities. The vertical gap revealed by the constitutional structure of the Brazilian fiscal federalism model contributes to the formation of this specific feature that you are eroding the tax base and the ability of municipal own revenues. Although there was a better regulation of these transfers after the enactment of the Fiscal Responsibility Law, it is observed that the amount of resources transferred to the municipalities of Rio Grande do Norte is very high and is the main source of revenue of municipalities. In light of the theory of federalism and fiscal decentralization, in particular, the theories related to intergovernmental transfers, we seek to diagnose the transfers from the systematization of information on the origin, destination and value. We used the econometric model of System Dynamic Panel GMM in making the diagnosis and verification of the impact of transfers on public finances of the municipalities of the newborn, associated with a review in light of the theory of fiscal federalism and intergovernmental transfers. The paper presents some proposals for the transfer system and the composition of spending in order to contribute to greater tax efficiency

O estado como empregador de última instância: uma abordagem a partir das finanças funcionais

Coordenação de Aperfeiçoamento de Pessoal de Nível Superior (CAPES)

O perfil dos portadores do vírus HIV/AIDS usuários do Programa Municipal de DST/AIDS de Catanduva/SP: retrato de desigualdade

Pós-graduação em Serviço Social - FCHS

Mineração, finanças públicas e desenvolvimento local no município de Barcarena - Pará

A presente pesquisa tem como objetivo discutir de que forma a implantação dos projetos de beneficiamento mineral (Albrás, Alunorte, Pará Pigmentos e Imerys Rio Capim Caulim) tem impactado as finanças públicas de Barcarena, e como a prefeitura tem alocado esses recursos para a potencialização do desenvolvimento local. A alocação destes recursos teve como referência as obras físicas, contidas no Plano Plurianual de Barcarena (2002-2005) elaborado pela equipe da primeira gestão do prefeito Laurival Magno Cunha (2001-2004). A pesquisa esta estruturada em dois marcos temporais. No primeiro procuro analisar o município antes da implantação dos projetos minerais, ou seja, as décadas de 1970 e 1980, onde a dinâmica municipal é analisada a partir de dados populacionais, econômicos e das finanças públicas. No segundo marco temporal, procuro investigar o município apos à implantação dos projetos minerais. Neste sentido, estes projetos são estudados a partir da contribuição dos mesmos para a geração de empregos, investimentos realizados em projetos de cidadania e meio ambiente além dos impostos recolhidos por estas empresas. Em seguida, são analisadas a alocação das receitas e as obras físicas contidas no PPA (2002-2005) verificadas através de trabalho de campo se foram ou não realizadas. No trabalho de campo, realizou-se entrevistas com seis representantes dos movimentos sociais, quatro representantes do poder público local, além das empresas estudas. Finalmente é discutido o desenvolvimento local a apartir da visão e lutas dos movimentos sociais de Barcarena onde a participação ou não destes na gestão das obras físicas municipais durante a gestão 2001-2004 figura como ponto principal de investigação da pesquisa.

Um olhar para o Programa Acessa Escola: condições dos laboratórios de informática das escolas públicas de Guaratinguetá

Considering the necessity of implementation of the Information Technologies and Communication (ICT) in the public Brazilian schools, the São Paulo State government hearing the call of the federal government and, with the objective to promote the digital inclusion, created the Programa Acessa Escola. The research that we realized and bring expressed on this text, is about such program and allowed us comprehend how it had been developed in the public state schools of the city of Guaratinguetá. By visiting the schools, we saw the manner that each school make use of his informatics laboratory; how they understand the government Project; how they develop actions of use of the laboratory and, particularly, how they use the informatics laboratory to the teaching and learning of mathematics helping the professor and the students. To make possible to understand this use, was realized interviews with the responsible intern of each one of the 14 (fourteen) schools of Guaratinguetá; with the pedagogical coordinator or director of the school and with the mathematics teacher. By the analysis, realized using a qualitative approach of phenomenological nature, we understand that the intern see himself as an auxiliary of the student and professor in the use of the laboratory. The director or pedagogical coordinator understand that the laboratory is an excellent resource to the school, but still exist the necessity of more resources that allow to attend properly the community; and the mathematics teacher consider important the program in the school as much for the students digital inclusion as for the teaching but they feel not safe to use into his classes, because they consider that there is a lack of capacitation and collaboration to make their activities relevant to the learning. That make possible to recognize what is the function of the intern and what is the way that the students and professor ... ( Complete abstract click eletroctronic access below)

Dificuldades encontradas no programa de revacinação dos pacientes submetidos ao transplante de células tronco hematopoiéticas

Pós-graduação em Pesquisa e Desenvolvimento (Biotecnologia Médica) - FMB