Insiders conseguem retornos anormais?: estudos de eventos sobre as operações de insiders das empresas de governança corporativa diferenciada da Bovespa

O assunto insider trading é bastante polêmico há muito tempo, como, exemplo disto se tem o Securities Exchange Act of 1934 sobre Insider Trading nos Estados Unidos, e a discussão continua nos dias de hoje com casos como da Ambev e da Martha Stewart em 2004. Este trabalho apresenta um conjunto de estudos de eventos realizados sobre as operações com ações da empresa realizadas por insiders com o objetivo de detectar retornos excedentes aos esperados, em função do acesso a informações privilegiadas. O banco de dados é composto por operações realizadas pelos insiders das empresas com ações negociadas na Bovespa, que são classificadas como de governança corporativa diferenciada. Foram constatados indícios de operações realizadas pelos insiders que resultaram em retornos excedentes aos esperados estatisticamente significativos, como nas compras de ações ordinárias pelos Controladores, Familiares, e Clubes de Investimentos; ou pelas vendas de ações preferenciais pelos Diretores, Conselheiros, Assessores, e Consultores do Conselho.

A relevância do rating e de outros fatores na determinação do rendimento das debêntures emitidas no mercado brasileiro

O artigo aborda um tema bastante explorado no contexto internacional, mas ainda pouco pesquisado no Brasil. A compreensão dos fatores relevantes na precificação de debêntures é de primordial importância para os investidores e para as empresas interessadas na captação de recursos através deste meio. A inexistência de um mercado secundário líquido de títulos privados de renda fixa restringe a análise empírica às informações, também limitadas, do mercado primário. Foram utilizados no trabalho dados referentes a 67 debêntures indexadas ao CDI-over e 30 indexadas ao IGP-M, todas distribuídas entre abril de 2000 e setembro de 2004. O método dos mínimos quadrados ordinários foi utilizado para testar a influência do rating e de um conjunto de variáveis de controle na formação da taxa de remuneração dos títulos. Foram estimadas relações lineares e não lineares entre as variáveis independentes e o spread expresso em duas formas: nominal e over Treasury. Dentre as evidências encontradas destacam-se as seguintes: i) o rating é variável significante para os dois grupos de debêntures; ii) algumas outras variáveis (prazo e volume da emissão, por exemplo) são relevantes, especialmente para títulos corrigidos pelo IGP-M; iii) a precificação de debêntures é imperfeita e aparentemente sujeita a fatores não econômicos.

Medidas de desempenho de fundos considerando risco de estimação

Neste artigo são apresentadas duas medidas de desempenho de fundos mútuos de investimento baseadas nos índices de Sharpe Generalizado e de Sortino, que são ajustadas para o risco de estimação através de intervalos de confiança gerados por meio de procedimentos de bootstrap. O uso das medidas propostas é útil para fundos de investimento que empregam gestão ativa, ou seja, que tenham como objetivo superar um determinado índice de referência. Os índices propostos neste artigo serão comparados com os índices de Sharpe Generalizado e de Sortino originais e com o duplo índice de Sharpe de Vinod e Morey (1999), com uma amostra de 100 fundos do mercado brasileiro no período de 2004, onde serão analisados os resultados de ranqueamento de diferentes fundos conforme seu desempenho. Os resultados dos ranqueamentos e da correlação de Spearman mostram que há grandes mudanças de ranqueamento quando se utiliza as medidas propostas em comparação com as medidas já existentes, principalmente quando se emprega o boostrap studentizado.

Capital structure in Brazil : review of studies during the period of 1988-2003

A systematic review was made of studies regarding the capital structure in Brazil during the period of 1988-2003. The recurring themes relate to the static tradeoff and pecking order in various moments of the economy, the fiscal benefits of indebtedness and interest on privately-owned capital, and the inefficacies of the stock market. The Brazilian companies enjoy little leverage as compared to other emerging markets. BNDES is responsible for 5% of the gross formation of fixed capital. The funding of resources occurs at opportune moments, and the financing decision may precede that of investment. Efficacy of the judiciary system and company transparency positively affect access to credit.

The influence of the tag-along rights in the value of companies: an event study of the effects on the market and service companies

The aim of this work is to check the effect of granting tag-along rights to stockholders by analyzing the behavior of the return of the stock. To do so we carried out event studies for a group of 21 company stocks, divided into service provider companies and others, who granted this right to their stockholders after Law 10,303 was passed in October, 2001. In the test we used two models for estimating abnormal returns: adjusted to the market and adjusted to the risk and market. The results of the tests we carried out based on these models did not capture abnormal returns (surpluses), telling us that the tag-along rights did not affect the pattern of daily returns of the stocks of companies traded on BOVESPA (The Sao Paulo Stock Exchange). We did not expect this result because of the new corporate governance practices adopted by companies in Brazil.

The influence of macroeconomic factors on primary issues in the Brazilian market

This research analyses the influence of the macroeconomic factors on the primary issue of stocks and debentures in the Brazilian market. Previous studies have agreed on the importance of aspects of the economic situation on a company’s capital structure, but have not established a relationship between the macroeconomic variables and the level of aggregate debt; we can mention Procianoy and Caselani (1997) and Terra (2003) as examples of this. According to Leal (2000), the limitations of the Brazilian capital market suggest that management takes advantage of moments of euphoria in the market - whether caused by a reduction in the rate of interest or by the return being offered by the equity market - to raise funds at rates that are more advantageous to the company. This characterizes the first evidence we have of opportunistic behavior influencing a company’s financing decisions. Eid Jr. (1996) provides us with the first evidence of this opportunistic behavior in his research in which 47% of those interviewed said that they chose fund sources that are economically more advantageous.

The Sao Paulo stock exchange and the economic stabilization

The inflationary stabilization recently observed in Brazil brings a lot of changes in all aspects of the country’s economic life. In this work we look at the impacts on the stock market, specifically at Bovespa - the São Paulo Stock Exchange. We analyze the leading variables and statistics that describe Bovespa’s behavior, such as volatility and systematic risk, comparing the four years preceding and the four years after 1994, when the Real Plan was implemented. In order to eliminate exogenous influences, we use control series made with international Stock Exchanges Indexes. The results show that after 1994 there was reduced volatility, increased trade volume, reduced efficiency of the Bovespa Index and no changes in systematic risk.

Does active management add value?: the Brazilian mutual fund market

Does active management add or destroy value? With a sample of 699 with four different main categories: stocks, fixed income, hedge and exchange rate mutual funds we conclude that the active management add value to investors in stocks and hedge funds. But in fixed income mutual funds the evidence is against the active management. We also analyze the determinants of significant alphas. For stocks and hedge funds the evidence suggests that old, big and active funds generate biggest alphas. In fixed income funds the evidence is not clear, only a positive relationship between size and alphas could be found.

Options listing and the volatility of the underlying asset: a study on the derivative market function

Os mercados de derivativos são vistos com muita desconfiança por inúmeras pessoas. O trabalho analisa o efeito da introdução de opções sobre ações no mercado brasileiro buscando identificar uma outra justificativa para a existência destes mercados: a alteração no nível de risco dos ativos objetos destas opções. A evidência empírica encontrada neste mercado está de acordo com os resultados obtidos em outros mercados - a introdução de opções é benéfica para o investidor posto que reduz a volatilidade do ativo objeto. Existe também uma tênue indicação de que a volatilidade se torna mais estocástica com a introdução das opções.

Asymmetric preferences in investment decisions in the Brazilian financial market

The main objective of this article is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results than the classic Von Neumann-Morgenstern utility functions in the Brazilian market. The asymmetric behavior can be computed through the introduction of a disappointment (or loss) aversion coefficient in the classical expected utility function, which increases the impact of losses against gains. The results generated by both traditional and loss aversion utility functions are compared with real data from the Brazilian market regarding stock market participation in the investment portfolio of pension funds and individual investors.

Do insiders get abnormal returns? : event studies on the trades of insiders of the firms with differentiated corporate governance of the São Paulo stock exchange

The subject insider trading is controversial. This paper presents series of event studies carried through on the trades with stocks of the firm carried by insiders with the objective to detect abnormal returns, based on the access to privileged information. The sample is composed by trades performed by insiders of the companies with stocks negotiated in the São Paulo Stock Exchange, that are classified as firms with differentiated corporate governance. Indication that trades performed by insiders resulted in abnormal returns compared to the statistically significant expected ones, as in the purchases of common shares; or for selling of preferred stocks.

Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil

We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility of these securities. The results show the persistent behavior of volatility and the relationship between interest rate and volatility. The results also showed that a reduction in stock prices are associated with an increase in volatility. Finally we found a greater trading volume tends to increase the volatility.

The effect of guia exame’s ratings on the brazilian fund industry: an analysis of net-worth flows

This paper infers the impact the publication “Guia Exame” (the guide) has on the Brazilian fund industry, more specifically on the ability the concerned funds develop on attracting new investment. The impact is measured using the event-study analysis based on the variation of net worth subsequently to the event of being rated, according to the methodology applied by the guide to rank the funds. We used five years of fund ratings according to Guia Exame (2000-2004) and analyzed the changes of these funds’ net worth. We also compared the event amongst different categories of funds. The results found confirm the expected effects according to star rankings and asset manager size in all years.

Financial guarantees in Brazilian life insurance and pension plans

Recently regulated Brazilian life and pension products offer a benefit structure composed of minimum guaranteed annual rate, in°ation adjustment according to a price index and participation on an investment fund performance. We present a valuation model for these products. We establish a fair condition relationship between minimum guarantees and participation rates, and explore its behavior over a space of maturities, interest rates, and also fund and price index volatilities and correlation. Besides consistency to reference models, we found that the effect of the fund volatility is conditioned to the price index volatility level and the correlation between them.

Analysts’ recommendations in Brazil: do they add value?

This paper examines the value of analysts’ recommendations in Brazilian Stock Market. We studied a sample of 294 weeks of recommendations make public by the best seller newspaper in Brazil with six different investment strategies and time horizons. The main conclusion is that it is possible to beat the Brazilian market indexes Ibovespa and IBrX following the analysts’ stock recommendations. The best strategies are buying only the recommended stocks, buying the recommended stocks whose target and market prices difference is bigger than 25% and lesser or equal than 50%. The performance of the six strategies is analyzed through the use of bootstrap and Monte Carlo techniques.