Movimento no preço das ações após a divulgação de lucro no Brasil

Aparentemente existe uma anomalia no mercado de ações, onde é possível prever excessos de retomo das ações baseando-se em dados passados de divulgação de lucro. Este fenômeno é estatisticamente significante e parece não ser um artefato de amostragem ou metodologia, mas de uma ineficiência de mercado. Estudos mostram uma tendência dos excessos de retornos acumulados das ações se movimentarem na direção da surpresa de lucro, e este movimento se estende por meses após a data de divulgação de lucro trimestral. Neste trabalho mostro que este fenômeno ocorre também no Brasil, mesmo utilizando uma amostra com especificidades do mercado brasileiro e utilizando dados de expectativas de lucro de analistas financeiros no lugar de previsão estatística.

Uso da medida de risco Foster e Hart para estimação de retornos: aplicação ao mercado de ações brasileiro

Neste trabalho busca-se investigar empiricamente, no caso brasileiro, o comportamento da medida de risco de Foster e Hart, sua capacidade de estimação de retornos e se ela pode ser usada como indicador do momento do mercado. Esta medida é de fácil assimilação e cálculo, respeita axiomas de coerência, sendo indiferente a aversão ao risco dos agentes e mensurada na mesma unidade dos retornos. Encontram-se evidências de que o risco reage a momentos de estresse do mercado e da existência de um relacionamento positivo com retornos futuros.

Powerful CEOs and their impact on corporate performance

We argue in this paper that executives can only impact firm outcomes if they have influence over crucial decisions. Based on this idea we develop and test a hypothesis about how CEOs’ power to influence decisions will affect firm performance: since managers’ opinions may differ, firms whose CEOs have more decision-making power should experience more variability in firm performance. Thus performance depends on the interaction between executive characteristics and organizational variables. By focusing on this interaction we are able to use firm-level characteristics to test predictions that are related to unobservable managerial characteristics. Using such firmlevel characteristics of the Executive Office we develop a proxy for the CEO’s power to influence decisions and provide evidence consistent with our hypothesis. Firm performance (measured by Tobin’s Q, stock returns and ROA) is significantly more variable for firms with greater values of our proxy for CEO influence power. The results are robust across various tests designed to detect differences in variability.

High-growth SMEs and the availability of private equity and venture capital in Brazil

This chapter discusses private equity and venture capital (PE/VC) in Brazil. Firstly, it is shown that PE/VC has a strong impact in the Brazilian capital markets, with PE/VC-backed companies representing close to half the amount raised by initial public offerings (IPOs) in the stock exchanges. By examining two of these deals, which involved small and mediumsized enterprises (SMEs), it is argued that PE/VC managers have acted as catalysts of the impressive growth rates experienced before these companies entered the stock markets. Indeed, PE/VC firms represent an important segment of the capital market, with specialization to invest in high-growth innovative SMEs. PE/VC managers exercise superior selection, monitoring and governance that mitigate the uncertainty and risks of investing in such companies. Despite its successes in Brazil, PE/VC is still very much restrained by the challenging local economic and institutional environment. Thus, changes in the legal and fiscal system, simplification in bureaucratic procedures, and other such improvements will most likely result in a sensible growth in the Brazilian PE/VC industry, with positive impact in the SME access to finance in Brazil. Since most countries in Latin America share similar economic and institutional traits with Brazil, the path followed by the local PE/VC industry can serve as an example for other countries to learn with its successes and failures.

Why banks want to be complex

We investigate whether and how bank complexity affects performance and systemic risk. We base the analysis on a complexity measure that captures diversification and diversity, controlling for size and other bank characteristics. We find that more complex banks exhibit a higher profitability, lower risk, and higher market share. Moreover, we show an inversely U-shaped relation between bank complexity and banks’ sensitivity to systemic shocks. The evidence challenges the view that higher bank complexity is per se bad and is consistent with theoretical models that show that diversity in the banking system is critical for financial stability.

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.

Volatilidade dos retornos e governança: um estudo de eventos da crise do subprime

The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies

Análise da sobre-reação e sub-reação nos ativos de primeira e segunda lina 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

Co-accumulation of microbial residues and particulate organic matter in the surface layer of a no-till Oxisol under different crops

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Aggregates in the strength and gravity regime: Particles sizes in Saturn's rings

Particles in Saturn's main rings range in size from dust to kilometer-sized objects. Their size distribution is thought to be a result of competing accretion and fragmentation processes. While growth is naturally limited in tidal environments, frequent collisions among these objects may contribute to both accretion and fragmentation. As ring particles are primarily made of water ice attractive surface forces like adhesion could significantly influence these processes, finally determining the resulting size distribution. Here, we derive analytic expressions for the specific self-energy Q and related specific break-up energy Q(star) of aggregates. These expressions can be used for any aggregate type composed of monomeric constituents. We compare these expressions to numerical experiments where we create aggregates of various types including: regular packings like the face-centered cubic (fcc), Ballistic Particle Cluster Aggregates (BPCA), and modified BPCAs including e.g. different constituent size distributions. We show that accounting for attractive surface forces such as adhesion a simple approach is able to: (a) generally account for the size dependence of the specific break-up energy for fragmentation to occur reported in the literature, namely the division into "strength" and "gravity" regimes and (b) estimate the maximum aggregate size in a collisional ensemble to be on the order of a few tens of meters, consistent with the maximum particle size observed in Saturn's rings of about 10 m. (c) 2012 Elsevier B.V. All rights reserved.

Incidence of high blood pressure in a group of tannery workers in Brazil

O objetivo deste estudo foi medir a incidência de hipertensão arterial sistêmica em um curtume de médio porte em Botucatu, São Paulo, Sudeste do Brasil, onde havia sido observada, em estudo prévio, uma correlação positiva entre tempo de trabalho e níveis pressóricos, bem como uma alta prevalência de hipertensão. Para tanto, uma coorte de trabalhadores desse curtume foi acompanhada durante sete anos. Ao final do seguimento, estimou-se a taxa de incidência de hipertensão arterial como 0,0964.ano-1, valor considerado elevado se comparado com o encontrado em outros grupos profissionais.

Relationship Among Phenolic Contents, Seed Predation, and Physical Seed Traits in Mimosa bimucronata Plants

Conselho Nacional de Desenvolvimento Científico e Tecnológico (CNPq)

The aggressive behavior of Nile tilapia introduced into novel environments with variation in enrichment

Many studies show environmental enrichment is correlated with benefits to captive animals; however, one should not always assume this positive relationship given that enrichment increases the amount of resources that a territorial animal must defend and possibly affects its aggressive dynamics. In this study, we tested if environmental enrichment affects aggressive interactions in the aggressive fish Nile tilapia (Oreochromis niloticus). We compared fights staged between pairs of male tilapia of similar size (= matched in resource holding potential) in a novel arena that was either barren or enriched, to examine whether enrichment enhances territory value in line with theoretical predictions, with the potential for compromised welfare. We evaluated time elapsed until the first attack (latency), frequency of aggressive interactions and fight duration. We detected fight dynamic differences at the pair level. Higher resource value generated increased aggression but had no effect on fight duration or latency. This conclusion is in line with game theory predictions concerning resource value and contradicts the theory that enrichment of the environment will serve welfare purposes. (C) 2010 Elsevier GmbH. All rights reserved.

5S rDNA characterization in twelve Sciaenidae fish species (Teleostei, Perciformes): depicting gene diversity and molecular markers

Fundação de Amparo à Pesquisa do Estado de São Paulo (FAPESP)

Catch and selectivity parameters of the anastomid fish Schizodon nasutus using gillnets in the Jurumirim reservoir (São Paulo, Brazil)

Catch and selectivity parameters using gillnets were calculated for Schizodon nasutus in the Jurumirim reservoir on the Parana-panema River in southern Brazil. The simple gillnets used were made of monofilament nylon of 30 to 140 mm mesh size an of different heights. The relative abundance of the S. nasutus caught was analysed monthly and a positive relationship was found between catches per unit effort in number and biomass. The relative catches were more abundant for the nets of 40 and 50 mm, mesh size. Catches were characterized by clear temporal variations and a predominance of medium size fish throughout the study period. The selectivity curve of gillnets for S. nasutus in this ecosystem was obtained. The catch obtained was compared with the available catch for each mesh size, and the available catch for a certain length of fish was calculated starting from the theoretical selectivity curve. The 50 mm mesh size gillnet showed the best fit between real and available captures and was considered the most suitable, because a smaller mesh size resulted in a catch of predominantly immature specimens. It is expected that these results will contribute to improving management strategies for conservation of resources. Parameters such as the minimum catch length advisable or the mesh size permitted for a given species are indispensable for such decision-making.