Em busca de um índice alternativo à relação Book to Market para a construção de carteiras mais rentáveis

Muitos estudos buscam tentar prever o retorno potencial sobre portfólios de ações, com intuito de obter melhor rentabilidade sobre o capital aplicado. Diversas modelagens já foram utilizadas, sendo que as mais conhecidas são as que relacionam o risco com o retorno. Nesta linha destacam-se a Teoria de Carteiras proposta por Markowitz, e o CAPM de Sharpe. Através destas teorias entende-se a questão da influência da covariância dos retornos e que para um melhor desempenho de uma carteira, não é suficiente avaliar cada ativo individualmente. Por outro lado, diversas críticas em relação ao CAPM, vêm ensejando estudos complementares na busca de outras variáveis que melhorem os métodos de seleção de ativos. Fama e French (1993) fizeram um estudo com variáveis complementares em relação ao beta do CAPM, utilizando o tamanho e a relação Book to Market, conseguindo resultados melhores que o CAPM tradicional. O presente estudo leva em conta a questão do reinvestimento do lucro gerado e utilizando o modelo de Gordon propõe uma variável de classificação de empresas de crescimento e empresas valor, conceito já utilizado na literatura de finanças.Com base nesta variável montam-se carteiras de ações entre os anos de 2005 e 2012 e observa-se que é possível obter ganhos com a lógica proposta. Ao longo do período seria possível obter com as carteiras selecionadas ganhos de até 107,85% contra os retornos de 55,58% das carteiras com todos os ativos. Organizamos os mesmos ativos pela ótica da relação Book to Market as quais obtiveram retorno total do período de 90,42%. Apesar de notar uma mudança clara de comportamento, onde apenas nos quatro primeiros anos do estudo as carteiras com empresas value são superiores e nos quatro últimos períodos as carteiras de empresas growth são as melhores. Estes resultados são compatíveis com os resultados de Braga e Leal (2000), e Mescolin, Martinelli Braga e da Costa Jr. (1997), verificando um melhor desempenho para as empresas value.

NSP work project investment styles

This paper analyzes the Nova Student Portfolio (NSP) with the objective to understand performances of the fund. Each investment style has been analyzed (growth, value and momentum) in order to highlight what style allocation contributed positively and which had a negative impact. The results show that the team mainly invested in value stocks, which contributed positively but that its growth investments had a negative impact on the stock picking performance. The stock selection shows a major influence of the value investment style. A statistical approach shows that the market factor was the one explaining the most the NSP returns.

Potatoes : acreage, production, value, farm dispositon, Jan. 1 stocks (1866-1950)

Mode of access: Internet.

Colombian mutual funds that invest in stocks: Do they create value?

Esta investigación evalúa el desempeño de 73 fondos de inversión colectiva (FIC) colombianos enfocados en acciones de 2005 a 2015 -- Para cuantificar el valor generado por estos fondos en comparación con sus respectivos activos de referencia (“benchmarks”), se calcula el alfa de Jensen mediante dos metodologías de regresión: Mínimos Cuadrados Ordinarios (MCO) y Regresión por Cuantiles -- También se analiza si estos fondos muestran evidencia de “market timing” o no, utilizando dos modelos: efecto cuadrático y variable binaria interactiva -- De igual manera, nuestro estudio propone la creación de una empresa privada en Colombia que provea a los inversores de información precisa sobre las características y desempeño histórico de estos fondos de inversión colectiva, como lo hace Morningstar Inc. en Estados Unidos -- Esto permitiría a los inversores seleccionar los fondos con mejores perspectivas y, como es de esperarse, haría este mercado más eficiente y atractivo para nuevos inversores potenciales

Influence of iodine value on combustion and NOx emission characteristics of a DI diesel engine

Biodiesel is a renewable fuel that has been shown to reduce many exhaust emissions, except oxides of nitrogen (NOx), in diesel engine cars. This is of special concern in inner urban areas that are subject to strict environmental regulations, such as EURO norms. Also, the use of pure biodiesel (B100) is inhibited because of its higher NOx emissions compared to petroleum diesel fuel. The aim of this present work is to investigate the effect of the iodine value and cetane number of various biodiesel fuels obtained from different feed stocks on the combustion and NOx emission characteristics of a direct injection (DI) diesel engine. The biodiesel fuels were chosen from various feed stocks such as coconut, palm kernel, mahua (Madhuca indica), pongamia pinnata, jatropha curcas, rice bran, and sesame seed oils. The experimental results show an approximately linear relationship between iodine value and NOx emissions. The biodiesels obtained from coconut and palm kernel showed lower NOx levels than diesel, but other biodiesels showed an increase in NOx. It was observed that the nature of the fatty acids of the biodiesel fuels had a significant influence on the NOx emissions. Also, the cetane numbers of the biodiesel fuels are affected both premixed combustion and the combustion rate, which further affected the amount of NOx formation. It was concluded that NOx emissions are influenced by many parameters of biodiesel fuels, particularly the iodine value and cetane number.

The benefit of modeling jumps in realized volatility for risk prediction : evidence from Chinese mainland stocks

Recent literature has focused on realized volatility models to predict financial risk. This paper studies the benefit of explicitly modeling jumps in this class of models for value at risk (VaR) prediction. Several popular realized volatility models are compared in terms of their VaR forecasting performances through a Monte Carlo study and an analysis based on empirical data of eight Chinese stocks. The results suggest that careful modeling of jumps in realized volatility models can largely improve VaR prediction, especially for emerging markets where jumps play a stronger role than those in developed markets.

An Economics Guide to Allocation of Fish Stocks between Commercial and Recreational Fisheries

The increasingly intense competition between commercial and recreational fishermen for access to fish stocks has focused attention on the economic implications of fishery allocations. Indeed, one can scarcely find a management plan or amendment that does not at least refer to the relative food and sport values of fish and to how expenditures by commercial and recreational fishermen on equipment and supplies stimulate the economy. However, many of the arguments raised by constituents to influence such allocations, while having an seemingly "economics" ring to them, are usually incomplete, distorted, and even incorrect. This report offers fishery managers and other interested parties a guide to correct notions of economic value and to the appropriate ways to characterize, estimate, and compare value. In particular, introductory material from benefitcost analysis and input-output analysis is described and illustrated. In the process, several familiar specious arguments are exposed.(PDF file contains 34 pages.)

Use of endoparasitic helminths as tags in delineating stocks of American plaice (Hippoglossoides platessoides) from the southern Gulf of St. Lawrence and Cape Breton Shelf

Endoparasitic helminths were inventoried in 483 American plaice (Hippoglossoides platessoides) collected from the southern Gulf of St. Lawrence, NAFO (North Atlantic Fisheries Organization) division 4T, and Cape Breton Shelf (NAFO subdivision 4Vn) in September 2004 and May 2003, respectively. Forward stepwise discriminant function analysis (DFA) of the 4T samples indicated that abundances of the acanthocephalans Echinorhynchus gadi and Corynosoma strumosum were significant in the classification of plaice to western or eastern 4T. Cross validation yielded a correct classification rate of 79% overall, thereby supporting the findings of earlier mark-recapture studies which have indicated that 4T plaice comprise two discrete stocks: a western and an eastern stock. Further analyses including 4Vn samples, however, indicated that endoparasitic helminths may have little value as tags in the classification of plaice overwintering in Laurentian Channel waters of the Cabot Strait and Cape Breton Shelf, where mixing of 4T and 4Vn fish may occur.

Co-occurrence of bycatch and target species in the groundfish demersal trawl fishery of the U.S. west coast; with special consideration of rebuilding stocks

Bycatch and resultant discard mortality are issues of global concern. The groundfish demersal trawl fishery on the west coast of the United States is a multispecies fishery with significant catch of target and nontarget species. These catches are of particular concern in regard to species that have previously been declared overfished and are currently rebuilding biomass back to target levels. To understand these interactions better, we used data from the West Coast Groundfish Observer Program in a series of cluster analyses to evaluate 3 questions: 1) Are there identifiable associations between species caught in the bottom trawl fishery; 2) Do species that are undergoing population rebuilding toward target biomass levels (“rebuilding species”) cluster with targeted species in a consistent way; 3) Are the relationships between rebuilding bycatch species and target species more resolved at particular spatial scales or are relationships spatially consistent across the whole data set? Two strong species clusters emerged—a deepwater slope cluster and a shelf cluster—neither of which included rebuilding species. The likelihood of encountering rebuilding rockfish species is relatively low. To evaluate whether weak clustering of rebuilding rockfish was attributable to their low rate of occurrence, we specified null models of species occurrence. Results indicated that the ability to predict occurrence of rebuilding rockfish when target species were caught was low. Cluster analyses performed at a variety of spatial scales indicated that the most reliable clustering of rebuilding species was at the spatial scale of individual fishing ports. This finding underscores the value of spatially resolved data for fishery management.

Problemas da gestāo dos stocks de camarāo

The worldwide shrimp landings in 1988 were reported to be 2.484.000 tons an increase of about 460.000 tons compared with 1985. The majority of shrimp fishing areas located in the tropical and sub-tropical regions with a contribution of more than 2 million tone. The most important species are the shallow water Penaeid shrimps. This quantity of about 2.5 million tons represents approximately 3% of the world marine catch. In terms of value, it represents almost 30% of the world trade in fish products. Main management objectives include: long term resources conservation; to maximize physical catches; to maximize the total income from catches or foreign exchange; to maximize economic profits; to reduce the shrimp by catch or improve its utilization; other social and economic interests. These objectives are in part interconnected and some are in conflict. Resource conservation is a basic condition for all other management objectives. Management policy definition should be in accordance with national goals and based on available scientific knowledge of the resources and of the fishing industry. The definition and selection of management objectives is an important process, to which the scientists must contribute the best way they can, mainly in providing the necessary information and options for management.

Study of distribution, growth and reproduction polychaetes Nereidae in intertidal zone of Bandar Abbas and effect dominant species on white Indian shrimp brood stocks (Fenneropenaeus indicus)

Distribution of polychaetes worms Nereidae in intertidal zone of Bandar Abbass indicated that distribution rate of worms from the west to east for the reason status of seabed type, habitat and feeding substrate used to worms increased. Also investigation description that last-mentioned worms are belong to Nereididae family, Perinereis genus and species of Perinereis nuntia. By viewpoint seabed soil types experiments implement indicated Nereididae worms have higher survival with sandy clay loam soil texture. Statistical analysis showed positive relation coefficient correlation of Pearson between substrate type to frequency of worms and too substrate type with soil organic matter value (P<0.05). By viewpoint feeding also experiments with different feed treatment indicated that Nereid worms is Omnivore but in natural condition more utilized algae substrate special Entermorpha and survival rate had the worms last-mentioned in dietary treatments on this algae 93/3% different significant with other treatments (P<0.05). In this project pond-reared white Indian shrimp (Fenneropenaeus indicus) were used in four maturation and spawning trials lasting 60 days. one group of shrimps was fed a formulated pelleted special of broodstock diet only, a second group was fed squid meat diet; a third group of shrimps with mollusca (Solen vagina) meat diet and fourth group was fed polychaete worms Nereidae family, collected in intertidal zone of Bandar Abbass. Four types of dietary treatments (M1, M4) were given to separate batches that were run in three duplicate. Results of experiments demonstrate that more grew rate and maturation and spawning rate and we found that shrimps fed with polychaete worms have the best condition and then shrimps fed with solen. This is demonstrate furthermore environmental circumstance, endocrine hormone, types of feed important of maturation and spawning of shrimps and in polychaete worms used HUFA help to maturation ovarian in shrimp.

Long-term return reversals-Value and growth or tax? UK evidence

This paper examines (i) whether value-growth characteristics have more power than past performance in predicting return reversals; and (ii) whether typical rational behaviour such as incentives to delay paying capital gain taxes can better explain long-term reversals than past performance. We find that value-growth characteristics generally provide better explanations for long-term stock returns than past performance. The evidence also shows that winners identified by capital gains dominate past performance winners in predicting reversals in the cross-sectional comparison. However, in the time-series analysis, when returns on capital gain winners are adjusted by the Fama and French (1996) risk factors, the predictive power of capital gain winners disappears. Our results show that capital gain winners are heavily featured as growth stocks. Return reversals in capital gain winners potentially reflect market price corrections for growth stocks. We conclude that investors’ incentives to delay paying capital gain taxes cannot fully rationalise long-term reversals in the UK market. Our results also imply that the long-term return pattern potentially reflects a mixture of investor rational and irrational behaviour.

Do Low-Priced Stocks Drive Long-Term Contrarian Performance on the London Stock Exchange?

We investigate whether low-priced stocks drive long-term contrarian performance on the U.K. market. We find that contrarian performance at low, middle, and high price levels is positive. On the Fama-French risk adjusted basis, we find both low-priced and middle-priced losers have significantly positive returns. When we adjust returns by market and liquidity risk, only middle-priced losers maintain their positive returns. Our results reveal that low-priced stocks are not fully responsible for contrarian performance. Our empirical evidence is generally consistent with the overreaction hypothesis and behavioral models of value investing.