Posi����o de caixa e o retorno das a����es no mercado acion��rio brasileiro, 1994-2009

Este trabalho busca, atrav��s dos princ��pios de Finan��as Corporativas e de Apre��amento de Ativos, mensurar o impacto do n��vel de liquidez das companhias na expectativa de retorno das a����es no mercado acion��rio brasileiro. O pressuposto b��sico dessa rela����o �� que a posi����o de caixa representa um tipo de risco n��o capturado por outras vari��veis. Para mensurar esse risco, ser�� utilizada a modelagem de fatores para apre��amento de ativos. O modelo b��sico utilizado ser�� o de tr��s fatores de Fama e French, adaptado para a inclus��o da vari��vel caixa. A partir da base de dados, se tentar�� estimar a sensibilidade do retorno esperado das a����es brasileiras ao fator caixa.

Can a habit formation model really explain the forward premium anomaly?

Verdelhan (2009) shows that if one is to explain the foreign exchange forward premium behavior using Campbell and Cochrane (1999)���s habit formation model one must specify it in such a way to generate pro-cyclical short term risk free rates. At the calibration procedure, we show that this is only possible in Campbell and Cochrane���s framework under implausible parameters specifications given that the price-consumption ratio diverges in almost all parameters sets. We, then, adopt Verdelhan���s shortcut of fixing the sensivity function ��(st) at its steady state level to attain a finite value for the price-consumption ratio and release it in the simulation stage to ensure pro-cyclical risk free rates. Beyond the potential inconsistencies that such procedure may generate, as suggested by Wachter (2006), with procyclical risk free rates the model generates a downward sloped real yield curve, which is at odds with the data.

Estimando a Avers��o ao Risco, a Taxa de Desconto Intertemporal, e a Substutibilidade Intertemporal do Consumo no Brasil usando Tr��s tipos de Fun����o Utilidade (Vers��o Preliminar)

Este trabalho estima, usando o m��todo generalizado dos momentos e dados brasileiros, os par��metros estruturais do modelo CCAPM (consumption capital asset pricing model) a partir de tr��s classes de fun����es utilidade distintas: fun����o utilidade pot��ncia (CES/CRRA), utilidade com h��bito externo, e avers��o ao desapontamento (Kreps-Porteus). Estes par��metros estruturais est��o associados �� avers��o ao risco, �� elasticidade de substitui����o intertemporal no consumo e a taxa de desconto intertemporal da utilidade futura, o foco central desse artigo. Os resultados aqui obtidos s��o analisados e comparados com resultados anteriores para dados brasileiros e americanos.

Introdu����o �� integra����o estoc��stica (Revisado em Julho de 1999)

A integra����o estoc��stica �� a ferramenta b��sica para o estudo do apre��amento de ativos derivados1 nos modelos de finan��as de tempo cont��nuo. A f��rmula de Black e Scholes �� o exemplo mais conhecido. Os movimentos de pre��os de a����es, s��o frequentemente modelados - tanto te��ricamente quanto emp��ricamente - como seguindo uma equa����o diferencial estoc��stica. O livro texto de D. Duflle, "Dynamic asset pricing theory)) 1 usa livremente conceitos como o teorema de Girsanov e a f��rmula de Feynrnan-Kac. U fi conhecimento b��sico da integra����o estoc��stica �� cada vez mais necess��rio para quem quer acompanhar a literatura moderna em finan��as. Esta introdu����o �� integra����o estoc��stica �� dirigida para alunos de doutourado e no final de mestrado. Um conhecimento s��lid02 de continuidade, limites e facilidade de operar com a nota����o de conjuntos �� fundamental para a compreens��o do texto que se segue. Um conhecimento b��sico de integral de Lebesgue �� recomend��vel. No entanto inclu�� no texto as defini����es b��sicas e os resultados fundamentais da teoria da integral de Lebesgue usados no texto.

Testing the optimality of aggregate consumption decisions: is there rule-of-thumb behavior?

Consumption is an important macroeconomic aggregate, being about 70% of GNP. Finding sub-optimal behavior in consumption decisions casts a serious doubt on whether optimizing behavior is applicable on an economy-wide scale, which, in turn, challenge whether it is applicable at all. This paper has several contributions to the literature on consumption optimality. First, we provide a new result on the basic rule-of-thumb regression, showing that it is observational equivalent to the one obtained in a well known optimizing real-business-cycle model. Second, for rule-of-thumb tests based on the Asset-Pricing Equation, we show that the omission of the higher-order term in the log-linear approximation yields inconsistent estimates when lagged observables are used as instruments. However, these are exactly the instruments that have been traditionally used in this literature. Third, we show that nonlinear estimation of a system of N Asset-Pricing Equations can be done efficiently even if the number of asset returns (N) is high vis-a-vis the number of time-series observations (T). We argue that efficiency can be restored by aggregating returns into a single measure that fully captures intertemporal substitution. Indeed, we show that there is no reason why return aggregation cannot be performed in the nonlinear setting of the Pricing Equation, since the latter is a linear function of individual returns. This forms the basis of a new test of rule-of-thumb behavior, which can be viewed as testing for the importance of rule-of-thumb consumers when the optimizing agent holds an equally-weighted portfolio or a weighted portfolio of traded assets. Using our setup, we find no signs of either rule-of-thumb behavior for U.S. consumers or of habit-formation in consumption decisions in econometric tests. Indeed, we show that the simple representative agent model with a CRRA utility is able to explain the time series data on consumption and aggregate returns. There, the intertemporal discount factor is significant and ranges from 0.956 to 0.969 while the relative risk-aversion coefficient is precisely estimated ranging from 0.829 to 1.126. There is no evidence of rejection in over-identifying-restriction tests.

Fator estoc��stico de desconto: as cotas de vari��ncia, m��tricas de dist��ncia e suas extens��es

The concept of stochastic discount factor pervades the Modern Theory of Asset Pricing. Initially, such object allows unattached pricing models to be discussed under the same terms. However, Hansen and Jagannathan have shown there is worthy information to be brought forth from such powerful concept which undelies asset pricing models. From security market data sets, one is able to explore the behavior of such random variable, determining a useful variance bound. Furthermore, through that instrument, they explore one pitfall on modern asset pricing: model misspecification. Those major contributions, alongside with some of its extensions, are thoroughly investigated in this exposition.

Essays on regulation and risk

In this thesis, we investigate some aspects of the interplay between economic regulation and the risk of the regulated firm. In the first chapter, the main goal is to understand the implications a mainstream regulatory model (Laffont and Tirole, 1993) have on the systematic risk of the firm. We generalize the model in order to incorporate aggregate risk, and find that the optimal regulatory contract must be severely constrained in order to reproduce real-world systematic risk levels. We also consider the optimal profit-sharing mechanism, with an endogenous sharing rate, to explore the relationship between contract power and beta. We find results compatible with the available evidence that high-powered regimes impose more risk to the firm. In the second chapter, a joint work with Daniel Lima from the University of California, San Diego (UCSD), we start from the observation that regulated firms are subject to some regulatory practices that potentially affect the symmetry of the distribution of their future profits. If these practices are anticipated by investors in the stock market, the pattern of asymmetry in the empirical distribution of stock returns may differ among regulated and non-regulated companies. We review some recently proposed asymmetry measures that are robust to the empirical regularities of return data and use them to investigate whether there are meaningful differences in the distribution of asymmetry between these two groups of companies. In the third and last chapter, three different approaches to the capital asset pricing model of Kraus and Litzenberger (1976) are tested with recent Brazilian data and estimated using the generalized method of moments (GMM) as a unifying procedure. We find that ex-post stock returns generally exhibit statistically significant coskewness with the market portfolio, and hence are sensitive to squared market returns. However, while the theoretical ground for the preference for skewness is well established and fairly intuitive, we did not find supporting evidence that investors require a premium for supporting this risk factor in Brazil.

Essays on finance and macroeconomy

I study the asset-pricing implications in an cnviromncnt with feedback traders and rational arbitrageurs. Feedback traders are defined as possible naive investors who buy after a raise in prices and sell after a drop in prices. I consider two types of feedback strategies: (1) short-term (SF), motivated by institutional rulcs as top-losscs and margin calls and (2) long-tcrm (LF), motivated by representativeness bias from non-sophisticated investors. Their presence in the market follows a stochastic regime swift process. Short lived assumption for the arbitrageurs prevents the correction of the misspricing generated by feedback strategies. The estimated modcl using US data suggests that the regime switching is able to capture the time varying autocorrclation of returns. The segregation of feedback types helps to identify the long term component that otherwise would not show up due to the large movements implied by the SF typc. The paper also has normativo implications for practioners since it providos a methodology to identify mispricings driven by feedback traders.

Sugest��o para defini����o do conceito de VaR para corpora����es

Crescentemente, a import��ncia da acurada mensura����o de risco por parte de empresas n��o financeiras tem despertado o interesse e se tornado relevante no dia a dia operacional das mesmas. Algo at�� ent��o muito comum e restrito ao ��mbito dos bancos, fundos de investimento e institui����es financeiras que utilizam o VaR como um dos principais componentes dos seus sistemas de risk management. N��o h�� consenso, entretanto, quanto �� melhor m��trica ou defini����o para mensura����o de risco em empresas. O objetivo deste trabalho �� analisar risco de mercado em corpora����es fazendo uma revis��o te��rica dos principais conceitos apresentados na literatura sobre o assunto, e propor taxonomia mais adequada para as corpora����es, aproximando o universo das institui����es financeiras ao das n��o financeiras. Um exemplo pr��tico apresentado na an��lise da Aracruz Celulose busca demonstrar o grau de complexidade nos c��lculos, que aliam Asset Pricing, Risco e Finan��as Corporativas.

Crescimento do consumo e a estrutura a termo de taxa de juros: um estudo voltado para o caso brasileiro

Tendo por base o trabalho realizado por Hyde e Sherif (2010) com dados do mercado ingl��s, foi desenvolvido estudo com o objetivo de avaliar a capacidade do spread de curto e longo prazo da taxa de juros de funcionar como indicador do crescimento futuro do consumo no Brasil. Tanto Hyde e Sherif (2010) como outros estudos realizados em pa��ses desenvolvidos indicaram rela����o positiva entre o spread de juros de curto e longo prazo e o crescimento do consumo. Entretanto, as an��lises emp��ricas realizadas neste estudo para o caso brasileiro, apresentaram resultados divergentes do esperado pela teoria, indicando rela����o negativa entre o spread de juros e o crescimento do consumo. Em algumas an��lises, os estudos n��o indicaram rela����o entre as vari��veis. Foram discutidas poss��veis raz��es para estes resultados contraintuitivos, tais como tamanho reduzido da amostra, n��vel da taxa de juros no Brasil e liquidez do mercado futuro de juros. Adicionalmente foram analisados os modelos te��ricos C-CAPM (Consumption-based asset pricing model) e o modelo de consumo habitual desenvolvido por Campbell e Cochrane (1999) com a adapta����o proposta por Wachter (2006). Os resultados encontrados no modelo C-CAPM divergiram do esperado, j�� que a estimativa do coeficiente relativo de avers��o ao risco apresentou sinal negativo. Por outro lado, os resultados obtidos no modelo de Wachter (2006) ficaram em linha com o esperado na teoria, tanto em rela����o �� signific��ncia dos par��metros como aos respectivos sinais e magnitudes.

Essays on regulatory risk issues

Most studies around that try to verify the existence of regulatory risk look mainly at developed countries. Looking at regulatory risk in emerging market regulated sectors is no less important to improving and increasing investment in those markets. This thesis comprises three papers comprising regulatory risk issues. In the first Paper I check whether CAPM betas capture information on regulatory risk by using a two-step procedure. In the first step I run Kalman Filter estimates and then use these estimated betas as inputs in a Random-Effect panel data model. I find evidence of regulatory risk in electricity, telecommunications and all regulated sectors in Brazil. I find further evidence that regulatory changes in the country either do not reduce or even increase the betas of the regulated sectors, going in the opposite direction to the buffering hypothesis as proposed by Peltzman (1976). In the second Paper I check whether CAPM alphas say something about regulatory risk. I investigate a methodology similar to those used by some regulatory agencies around the world like the Brazilian Electricity Regulatory Agency (ANEEL) that incorporates a specific component of regulatory risk in setting tariffs for regulated sectors. I find using SUR estimates negative and significant alphas for all regulated sectors especially the electricity and telecommunications sectors. This runs in the face of theory that predicts alphas that are not statistically different from zero. I suspect that the significant alphas are related to misspecifications in the traditional CAPM that fail to capture true regulatory risk factors. On of the reasons is that CAPM does not consider factors that are proven to have significant effects on asset pricing, such as Fama and French size (ME) and price-to-book value (ME/BE). In the third Paper, I use two additional factors as controls in the estimation of alphas, and the results are similar. Nevertheless, I find evidence that the negative alphas may be the result of the regulated sectors premiums associated with the three Fama and French factors, particularly the market risk premium. When taken together, ME and ME/BE regulated sectors diminish the statistical significance of market factors premiums, especially for the electricity sector. This show how important is the inclusion of these factors, which unfortunately is scarce in emerging markets like Brazil.

O impacto do an��ncio de terceiriza����o em tecnologia de informa����o no valor de mercado das empresas : um estudo de eventos

Baseado no referencial te��rico existente se pode constatar que as principais fun����es da TI que s��o comumente terceirizadas s��o: as opera����es de infraestrutura; o desenvolvimento e a manuten����o de aplica����es (f��brica de software); e o gerenciamento de redes e computadores (service desk). Dentre as fun����es comumente terceirizadas, uma que parece ter menor potencial de contribui����o diferencial quanto ao seu valor para o neg��cio �� a de infraestrutura, uma atividade bastante estruturada que normalmente �� uma das primeiras a serem terceirizadas, parecendo ser corriqueiro que empresas optem por essa terceiriza����o. Este trabalho teve como principal objetivo identificar a associa����o que pode existir entre o an��ncio de terceiriza����o da TI, especialmente infraestrutura, e o valor de mercado das empresas, e para tanto teve como foco empresas brasileiras de capital aberto. J�� �� sabido que investidores levam em considera����o tanto as informa����es financeiras como n��o financeiras das empresas que pretendem investir, o que resulta em menor ou maior valoriza����o dessas empresas. O valor da a����o no mercado representa o retorno superior esperado em certos momentos, como reflexo da expectativa futura de desempenho que a empresa possa ter. Neste estudo queremos verificar se o an��ncio da terceiriza����o da TI levando a essa expectativa de desempenho superior, ou gera����o de valor futuro, leva tamb��m a alguma altera����o no valor da a����o no mercado. Isto foi feito por meio da compara����o da varia����o do valor de mercado de algumas empresas antes e ap��s o an��ncio da realiza����o da terceiriza����o da TI. A metodologia utilizada foi o Estudo de Eventos e, para mensura����o dos retornos normais e anormais, utilizamos um modelo de retornos ajustados ao risco e ao mercado, adotando o Capital Asset Pricing Model (CAPM) como modelo econ��mico para precifica����o de ativos. O tratamento dos dados das 11 empresas que compuseram a nossa amostra apontou que o an��ncio da terceiriza����o da TI parece ter afetado o comportamento das a����es dessas empresas. Tomando por base a amostra escolhida, pudemos identificar que houve um impacto positivo no valor de mercado das empresas estudadas, o que pode ter ocorrido em fun����o dos an��ncios publicados.

A Common-feature approach for testing present-value restrictions with financial data

It is well known that cointegration between the level of two variables (labeled Yt and yt in this paper) is a necessary condition to assess the empirical validity of a present-value model (PV and PVM, respectively, hereafter) linking them. The work on cointegration has been so prevalent that it is often overlooked that another necessary condition for the PVM to hold is that the forecast error entailed by the model is orthogonal to the past. The basis of this result is the use of rational expectations in forecasting future values of variables in the PVM. If this condition fails, the present-value equation will not be valid, since it will contain an additional term capturing the (non-zero) conditional expected value of future error terms. Our article has a few novel contributions, but two stand out. First, in testing for PVMs, we advise to split the restrictions implied by PV relationships into orthogonality conditions (or reduced rank restrictions) before additional tests on the value of parameters. We show that PV relationships entail a weak-form common feature relationship as in Hecq, Palm, and Urbain (2006) and in Athanasopoulos, Guill��n, Issler and Vahid (2011) and also a polynomial serial-correlation common feature relationship as in Cubadda and Hecq (2001), which represent restrictions on dynamic models which allow several tests for the existence of PV relationships to be used. Because these relationships occur mostly with nancial data, we propose tests based on generalized method of moment (GMM) estimates, where it is straightforward to propose robust tests in the presence of heteroskedasticity. We also propose a robust Wald test developed to investigate the presence of reduced rank models. Their performance is evaluated in a Monte-Carlo exercise. Second, in the context of asset pricing, we propose applying a permanent-transitory (PT) decomposition based on Beveridge and Nelson (1981), which focus on extracting the long-run component of asset prices, a key concept in modern nancial theory as discussed in Alvarez and Jermann (2005), Hansen and Scheinkman (2009), and Nieuwerburgh, Lustig, Verdelhan (2010). Here again we can exploit the results developed in the common cycle literature to easily extract permament and transitory components under both long and also short-run restrictions. The techniques discussed herein are applied to long span annual data on long- and short-term interest rates and on price and dividend for the U.S. economy. In both applications we do not reject the existence of a common cyclical feature vector linking these two series. Extracting the long-run component shows the usefulness of our approach and highlights the presence of asset-pricing bubbles.

Constructing common-factor portfolios

In this paper we construct common-factor portfolios using a novel linear transformation of standard factor models extracted from large data sets of asset returns. The simple transformation proposed here keeps the basic properties of the usual factor transformations, although some new interesting properties are further attached to them. Some theoretical advantages are shown to be present. Also, their practical importance is confirmed in two applications: the performance of common-factor portfolios are shown to be superior to that of asset returns and factors commonly employed in the finance literature.

Cash flow and discount rate risk decomposition and ICAPM for the US and brazilian stock markets

Esse trabalho �� uma aplica����o do modelo intertemporal de apre��amento de ativos desenvolvido por Campbell (1993) e Campbell e Vuolteenaho (2004) para as carteiras de Fama-French 2x3 brasileiras no period de janeiro de 2003 a abril de 2012 e para as carteiras de Fama-French 5x5 americanas em diferentes per��odos. As var��aveis sugeridas por Campbell e Vuolteenaho (2004) para prever os excessos de retorno do mercado acion��rio americano no period de 1929 a 2001 mostraram-se tamb��m bons preditores de excesso de retorno para o mercado brasileiro no per��odo recente, com exce����o da inclina����o da estrutura a termo das taxas de juros. Entretanto, mostramos que um aumento no small stock value spread indica maior excesso de retorno no futuro, comportamento que n��o �� coerente com a explica����o para o pr��mio de valor sugerida pelo modelo intertemporal. Ainda, utilizando os res��duos do VAR preditivo para definir o risco de choques de fluxo de caixa e de choques nas taxas de desconto das carteiras de teste, verificamos que o modelo intertemporal resultante n��o explica adequadamente os retornos observados. Para o mercado norte-americano, conclu��mos que a abilidade das vari��veis propostas para explicar os excessos de retorno do mercado varia no tempo. O sucesso de Campbell e Vuolteenaho (2004) em explicar o pr��mio de valor para o mercado norte-americano na amostra de 1963 a 2001 �� resultado da especifica����o do VAR na amostra completa, pois mostramos que nenhuma das var��aveis �� um preditor de retorno estatisticamente significante nessa sub-amostra.