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Análise de desempenho dos índices ESG na B3
Mafra, Alysson Collet (2021-08-01)
Centro de Ciências Sociais e Aplicadas (CCSA)
O alto grau de exposição e visibilidade da temática ESG levantou sistematicamente a questão se esta característica é suficientemente geradora de rentabilidade aos investidores no mercado de capitais. Este estudo buscou analisar os índices ESG da B3 sob a égide das teorias do stakeholder, shareholder e mercados eficientes em relação ao benchmark IBOV, ou seja, se o retorno médio de uma carteira de ações de índices ESG é superior ao referido benchmark. Para tanto, analisou o retorno diário de todos os índices ESG da B3, Sharpe para volatilidade, MRP para uma análise de risco e retorno, além do próprio IBOV, durante o período de 04 de janeiro de 2019 até 19 de julho de 2023, totalizando 1.128 observações. Após as análises, concluiu-se que os índices ESG da B3 não superaram o IBOV em termos de rentabilidade, porém, foram superiores nos quesitos mitigação de risco e retorno por volatilidade e MRP.
Análise de eficiência operacional e financeira nas empresas de transporte coletivo urbano por ônibus na cidade de São Paulo através do método de análise por envoltória de dados no ano de 2011
Hernandes Júnior, Urbano Bueno (2013-02-22)
Centro de Ciências Sociais e Aplicadas (CCSA)
This research approaches the application of DEA method (Data Envelopment Analysis) to the operational and financial performance of companies of local public transport of passengers by bus in the city of São Paulo in the year of 2011, at the same time in which it presents theoretical referential about benchmarking, about the DEA method, its concepts, methodology, and some applications in transport, and about the measurement of economic and financial performance of those companies. The methodology of this research consists in the identification of a DEA model to be applied to both the measurement of the operational efficiency and the financial one, obtaining a score of efficiency to each of them, afterward for applying Pearson’s Correlation and for verifying the level of correlation between these efficiencies. The data used in this study were verified from (i) technical and operational reports of São Paulo Transporte S/A, and from (ii) account statements of each firm, all of them from 2010 and 2011. The results attained show that there is a larger dispersion in the score of financial efficiency than in the operational one. It wasn´t possible to apply Regression Analysis. The correlational level was moderate, suggesting that new researches may be conducted for detecting other motives that complement the relationship between operational efficiency and financial one in public transportation by bus in the city of São Paulo.
Aplicação da metodologia LDA para gestão do risco operacional de companhia seguradora
Assad, Alaim Mosciaro (2013-08-19)
Administração
The Operational Risk did not receive much attention from firms, regulators and the market until the event of the fraud on Bahrings Bank, in 1995. The regulatory agencies have issued more complex and rigorous regulations in reply to this and to many other events of operational losses. Their goal is to improve the quality of the controls of the financial institutions, as well as to mitigate the occurrence of new events of this kind. As a new discipline, the regulatory agencies have been incentivizing the financial firms to develop advance approaches based on internal models. In response, they shall have a decrease on the regulatory capital applicable. In other hand, the financial firms themselves shall benefit from na internal model that fits their characteristics, and so, as taylor made. The goal of this research is to study the development of an internal model for operational risk, based on LDA, which has been largely used by financial firms worldwide. The focus on an Insurance company is due to the expressive growth of this market in the later years, which has giving it an increasing importance to the national economy as well as institutional investors role.
Avaliação do desempenho das unidades da Fundação Hemominas por meio da análise envoltória de dados
Koga, Sunaó Leonardo (2013-08-19)
Administração
Organizational performance is the result of constant analysis for organizations and their managers to evaluate the level of performance that can be translated into the creation of shareholder value and Steakholders, within the government, the performance can be explained in relation to the services offered as effective management, cost savings and benefits to the customer / user / citizen. The analysis of the performance of institutions in the public scope is essential condition for the decision making as well as endogenous and exogenous in the formulation and implementation of effective public policies. The nonparametric model of data envelopment analysis ( DEA ) can effectively translate this positioning within the context of technical efficiency , scale and allocative to identify efficient and inefficient production units. This article seeks to contribute to the discussion of efficiency of Units Foundation Hemominas in Minas Gerais making a classification efficiency using data envelopment analysis. We also tried to verify the degree of parity between operational efficiency and financial efficiency. For the analysis of operational efficiency through the approach of data envelopment analysis used as inputs the total volume of blood collected , number of employees and the expense inputs , outputs and full use of blood products produced , full of blood discarded and total clinical services performed. For financial efficiency, the inputs used were the total expenditure less personnel expenses, personnel expenses divided by the number of employees, the products use the revenue collected and expenditure budget executed. The results demonstrate a relationship with weak statistical significance between operational efficiency and financial efficiency. One Hopes that the results serve as a substrate for analysis and discussion by the managers of the units investigated and Hemominas Foundation regarding the use, allocation and efficient disposition of the treasury in order to save lives and serve customers / users / citizens who need specialized services and blood products.
Avaliação do desempenho econômico financeiro de cooperativas de crédito: um modelo multidimensional
Pereira, Rina Xavier (2021-02-05)
Centro de Ciências Sociais e Aplicadas (CCSA)
The cooperative system contributes to economic and social development, favoring individual and collective development, in this sense, cooperative societies are non-profit entities, promoting the purpose of benefiting their members, who are also their customers. Thus, the performance of credit unions must be an ongoing concern, as the perpetuity of a credit unity depends on efficient management, with the correct allocation of resources. The general objective of this work is to advance from the contributions already made, proposing a multidimensional economic and financial performance evaluation model, which captures how different variables contribute to the performance of a credit union and the creation or destruction of value for the member. Faced with this challenge, studies were previously identified in the scientific literature that verified and analyzed the performance of credit unions considering one or two variables / dimensions that influence the performance of these organizations, sometimes limiting the potential for analysis and generalization of the results. The results achieved are somewhat aligned with most of the studies raised on the subject, that is, the analysis helps to explain the economic and financial performance and explain the Performance model of Carton and Hofer.
Capital intelectual e a criação de valor nas empresas brasileiras
Richieri, Flavio Luiz (2007-06-26)
Administração
As evidências apontam para uma participação crescente do capital intelectual e dos ativos intangíveis na economia. Esse fato torna crítico encontrar formas para medir o capital intelectual das empresas e entender a relação deste com a criação de valor das mesmas. Afetando assim, não apenas os gestores, que possuem um acesso diferenciado e abrangente aos diversos aspectos operacionais das empresas, mas principalmente, os investidores e demais partes interessadas externas às empresas. Para os últimos, a construção de índices capazes de medir capital intelectual da empresa, desenvolvidos com base em informações financeiras e contábeis disponíveis, e o estudo da associação desses índices, com a geração de valor das empresas, podem fornecer uma perspectiva nova e fundamental para a análise de investimentos em empresas intensivas em capital intelectual. Esta dissertação faz uso do CIV (Calculated Intangible Value) e do ICE (Intelectual Capital Efficiency), como medidas de estoque e fluxo de capital intelectual respectivamente. Através de tratamento estatístico por regressões multivariadas, e do uso de modelos estáticos de dados em painel (panel data), efetua-se a análise da influência desses índices de capital intelectual, na geração de valor das empresas, aqui medida através dos índices de: ROE (retorno sobre patrimônio líquido); ROA (retorno sobre ativos) e ROS (retorno sobre vendas). O estudo é feito com base numa amostra não probabilística, utilizando dados secundários provenientes da base de dados do anuário Maiores e Melhores da revista Exame e contendo 628 observações relativas a 237 empresas no período entre 2000 e 2005. Responde-se assim à questão: Qual é a relação entre o estoque e o fluxo do capital intelectual e a geração de valor da empresa ? Os resultados da pesquisa mostram a existência de relação positiva em relação ao CIV e ao ICE e as variáveis dependentes ROE, ROA e ROS. Mostram ainda que o capital intelectual parece ser um direcionador mais relevante do que o estoque de ativos físicos e financeiros para a geração de valor das empresas.
Capital intelectual e criação de valor nas empresas brasileiras: uma análise setorial na indústria de transformação no período de 2000 a 2006
Aguiar, Joao Francisco de (2009-12-14)
Administração
Ao se observar a evolução da razão valor de mercado das empresas pelo valor patrimonial, no período que vai de 1920 a 1997, observa-se uma forte elevação entre 1974 e1997. Esta mesma tendência é confirmada desta vez pela razão dos Investimentos em Ativos Intangíveis sobre o PIB, no mesmo período, de 1974 a 2007, alcançando, em 2007, uma participação da ordem de 8ª a 10% nos EUA, tão importante quando a dos Ativos Tangíveis na mesma data. O que tem surpreendido é o crescimento acima do esperado pela razão dos Investimentos em Ativos Intangíveis sobre o PIB, nos últimos 40 anos . Por este motivo, empresários, acadêmicos e pesquisadores, principalmente, têm manifestado crescente interesse em conhecer, classificar, criar indicadores, estimar o valor e, sobretudo, compreender sua influência na criação de valor nas empresas. |Um grupo importante de pesquisadores, liderados pelo economista John Kenneth Galbraith, em 1969, passou a conceituar os intangíveis como Capital Intelectual. Há várias propostas quanto à sua classificação, dentre elas uma que propôs três componentes: Capital Estrutural, Capital Humano e Capital Relacional. Nesse contexto, o objetivo desta pesquisa, foi o de testar o Modelo de Pulic (2000), do Coeficiente Intelectual do Valor Adicionado (em inglês VAIC), buscando avaliar a sua significância e a de seus componentes ( Eficiência do Capital Empregado, Eficiência do Capital Humano e Eficiência do Capital Estrutural) na criação de valor . Este modelo foi aplicado a uma base de dados ajustada a partir da Pesquisa Industrial Anual PIA, do IBGE, no período 2000 a 2006, por meio de painel de dados estáticos para os cinco setores da Indústria Brasileira de Tranformação analisados, compreendendo empresas com mais de 100 empregados. O modelo estático foi corroborado para todos os setores. O modelo dinâmico de dados em painel foi testado e confirmado pelo método de Arelano & Bond para três setores, quais sejam Fabricação e Montagem de Veículos Automotores, Reboques e Carrocerias, Fabricação de Móveis e Indústrias Diversas e Fabricação de Máquinas e Equipamentos.
Como os executivos de finanças tomam decisões de estrutura de capital e gestão de caixa em empresas brasileiras
Kuniy, Mario (2011-11-11)
Centro de Ciências Sociais e Aplicadas (CCSA)
Os estudos relacionados às Finanças Corporativas têm avaliado, de forma quantitativa, as causas e efeitos de critérios, modelos e estratégias que procuram corroborar as teorias (parcialmente, ou não) e sugerir estudos que busquem respostas às diversas lacunas da academia. Este estudo utiliza a forma qualitativa, por meio de análise de conteúdo, de seis entrevistas com executivos de Finanças (CFO – Chief Financial Officer) ou funções similares, como eles decidem ou são decididos a estrutura de capital, as análises para processos de captações de recursos, a política de gestão de caixa e os fatores que influenciam as tomadas de decisões. Desta forma, o objetivo central é identificar como os CFOS tomam decisões de estrutura de capital e gestão de caixa. A revisão da literatura abrange os conceitos relacionados ao problema de pesquisa que são a estrutura de capital, capital de giro, custo de capital, gestão de risco, diversificação, teoria de agência, pecking order/trade-off, instrumentos de decisão, restrições financeiras e folga financeira. A metodologia do estudo pode ser considerada apropriada para a análise dos testemunhos dos executivos nas tomadas de decisões. Nas entrevistas investigam-se quais os critérios utilizados por esses executivos que tomam suas decisões nas escolhas de estrutura de capital, com foco em investimentos e captação de recursos; quem decide e qual o nível de risco aceitável nas operações financeiras e de negócios. O método de análise de conteúdo sugerido por Bardin (2011) é aplicado com auxílio do programa NVIVO, na criação de categorias, subcategorias e classificações de importâncias. A literatura sugere que algumas regras utilizadas pelos CFOs não são sempre consistentes com as regras identificadas em estudos acadêmicos. As interpretações da pesquisa corroboram com parte dos estudos de estrutura de capital, pecking order/trade-off e gestão de caixa, mas parte da prática dos executivos entrevistados é diferenciada com os conceitos acadêmicos. O estudo sugere também que a gestão de caixa e o planejamento financeiro de longo prazo contribuem para a redução de despesas financeiras e melhoria nas oportunidades de negócios. As análises e interpretações do estudo indicam que a preocupação com a estratégia, processos das empresas, rating de crédito são constantes, em complemento com acompanhamentos de fatores macroeconômicos e microeconômicos contribuem com dinâmica de tomada de decisões dos CFOs.
Uma comparação entre a PPP e o enfoque da produtividade na taxa de câmbio de longo prazo
Rebelo, Helene Albuquerque (2014-10-23)
Administração
The dissertation examines the behavior of the exchange rate in the long term from the perspective of the classical model of purchasing power parity theory (PPP), developed empirically by Cassel and the alternative model proposed by Basso originating from the Marxist benchmark, which emphasizes prices and productivities to determine the exchange rate. The exchange rate behavior is examined for three countries over the 1977-2006 period, with annual frequency. To test the models, it was used the consumer price index (CPI), the GDP, the value-added price index and gross producer price index (EU KLEMS database). The essay uses the causality tests of Johansen, the Dickey-Fuller and Phillips-Perron unit root tests, the VAR (vector autoregression) and VEC (vector error correction) models and performing a projection with the Model Confidence Set. It is ascertained that PPP was not supported for any of the 12 models generated. In Basso s approach, the 48 models generated, cointegration was found in only four models, therefore it is not possible to generalize the new model.
Comparando modelos alternativos de precificação de ativos : uma análise do mercado brasileiro
Fernandes, Ricardo Antonio (2017-11-29)
Centro de Ciências Sociais e Aplicadas (CCSA)
Este trabalho realiza testes utilizando séries de dados de preços e dividendos das ações que compuseram a carteira teórica do IBOVESPA para o período entre 1986 e 2016 com o objetivo de avaliar a racionalidade do mercado por meio de modelos de Valor Presente. A metodologia utilizada é a análise de vetores cointegrados de preços e dividendos e o uso da abordagem VAR e cointegração. Foi avaliada a influência dos dividendos sobre os preços das ações em 30 anos e a hipótese de mercados eficientes. Conclui-se que o mercado brasileiro não se ajusta ao modelo proposto. Foram utilizadas duas metodologias, sendo uma para avaliar a relação entre preços e dividendos, e outra para avaliar a eficiência do mercado.
Decisões financeiras em condições de risco por gerentes, diretores e firmas brasileiras: uma análise baseada nas finanças comportamentais
Sá, Marcelo Martins de (2008-01-23)
Administração
Esta pesquisa de natureza exploratória visa descobrir por que gerentes, diretores e firmas tomam decisões financeiras sob condições de risco no Brasil. Para isso realizou levantamento em estudos baseados nas Finanças Comportamentais (FC), a fim de identificar possíveis anomalias relacionadas à propensão ao risco, particularmente, às já identificadas por meio das características e percepções dos decisores frente ao risco, níveis de referência, contabilização mental, reversão à média, excesso de confiança, além das influências ligadas tanto ao ambiente organizacional, quanto à busca por resultados nas firmas brasileiras. A amostra não probabilística é composta por 143 respondentes e foi coletada via web, entre os meses de outubro de 2006 a novembro de 2007, a partir da utilização de dois questionários independentes. Tais instrumentos foram criados pioneiramente para explorar estes mesmos objetivos em decisores australianos (COLEMAN, 2006). Os resultados da pesquisa original foram confrontados com os dados desta pesquisa com intuito de conhecer melhor as diferenças que a demografia, atitudes voltadas ao estilo/ processo decisório e ambiente/ resultados das firmas, podem exercer na tomada de decisões financeiras sob condições de risco. Acima de dois terços dos executivos apresentaram propensão ao risco, entretanto, contrariando o estudo australiano, as análises estatísticas da variabilidade das respostas revelaram baixos poderes explicativos sobre as possíveis anomalias existentes na amostra brasileira. Assim como na pesquisa original, a manipulação das situações de risco propostas aos respondentes de acordo com quatro dimensões apresentou baixa significância em relação à propensão ao risco. Este estudo foi inovador em levantar informações no mundo real sobre o comportamento de decisores sob condições financeiras de risco e pretende oferecer novas perspectivas para as futuras pesquisas relacionadas ao conhecimento das Finanças Comportamentais aplicadas no Brasil.
Desempenho financeiro e atividade inovativa nas empresas
Taques, Fernando Henrique (2019-12-16)
Centro de Ciências Sociais e Aplicadas (CCSA)
Organizational innovation has been the subject of debate for several decades from its most diverse perspectives. As a central focus, it involves discussions about its effects on firms 'financial performance, which can lead to competitive advantages, cost reductions or scale gains, conditions that affect companies' own market value. Under this approach, the thesis is divided into three chapters with distinct but complementary objectives, as well as introduction and conclusion. The first involves the perception that innovation can be a source of competitive advantage for companies by improving methods and techniques that can generate new products or services, or even improve existing ones. Along these lines, it is particularly important to measure innovation and discuss the results associated with it. The purpose of this chapter is to address the key innovation indicators in the organizational realm and discuss the advantages and disadvantages inherent in this choice. The results suggest advances in the literature to improve measurement from a variety of perspectives: products and processes, manufacturing and services, as well as input, intermediate and output indicators, but there are still difficulties and limitations, including biases that may distort the effects found in the estimates of researchers. Moreover, multidimensional indicators provide a broader and more accurate view of the phenomenon of innovation in companies as they are broader in the conceptual understanding of the debate itself, unlike the one-dimensional choice that carries constraint to discuss the real effects in the organizational context, especially in the case of the industry. services. The second stage of research is to understand whether organizational innovation can explain companies' market value from published patent indicators, cited patents, and R&D disbursements. With a sample of 1342 companies for the period 1986-2016, estimates were made for panel data models (fixed and random effects) and quantile regression for panel data. There was partial support in the evidence that innovation positively affects companies' market value. Although occurrences of the positive effect of innovation on market value were identified in both methods employed, this result differs from the indicator applied in the estimates and the methodology employed. Regardless of the empirical method, the variables total assets and gross revenues were able to explain the variations in market value of organizations in most models. However, the coefficients vary among the sample quantiles, a condition that suggests the importance of company size in this relationship. Finally, the third part of the research discusses whether resources allocated to innovation are essentially classified as investments under uncertainty or if there are market difficulties in understanding the expected return derived from this type of investment with publicly available information. That said, the object of the research is to assess whether organizations' ability to innovate may be able to explain abnormal returns to firms by composing risk factor models. Using R&D investment indicators and published patents from a global sample of companies for the period 1992 to 2018, the 3-factor, 4-factor and 5-risk models were applied. Partly the case is that increased investment in innovation contributes to better sales performance and, consequently, excess returns. The composition of several risk factors suggests that broadening these criteria may help the phenomenon and affect returns differently. Regarding the rolling regression method, the results show few scenarios in which the ability to innovate (individually or combined with another indicator) is na explanatory factor for financial performance.
Determinantes da estrutura de capital: evidências da orientação econômica a mercado versus bancos nos países desenvolvidos-G5 e BRIC
Silva, Cinthia Barbosa (2015-05-04)
Administração
In this research paper we examine the determinants of capital structure using data of the investigated countries: Brazil, Russia, India, China, France, Germany and Japan (Banks Oriented); and United States and the United Kingdom (Market Oriented). The observations of the sample firm-year for the period period from 2000 up until 2013 collected in the Compustat database, Thomson Reuters datastream and The World Bank - World Development Indicators. Our results indicate the positive effect of market liquidity in the leverage of Brazilian firms, Indian, German and American. In addition, the positive impact of the interaction between the bank credit and the leverage of firms in Brazil and Germany, and negative leverage of firms from India, Japan and the USA. The research also suggests the negative impact of the interaction between leverage and profitability of firms. The results of variables: growth opportunities, performance in the stock price, the tax benefit of not debt, size and tangibility of the effect is different between the investigated countries.
Determinants of credit ratings and their impact as a measure of financial performance
Oliveira, Nazário Augusto de (2023-11-21)
Centro de Ciências Sociais e Aplicadas (CCSA)
This research focuses on investigating the determinants of credit ratings and evaluating their significance as indicators of financial performance for companies listed on the S&P 500. To identify the determinants of credit ratings, the study treats credit ratings as the dependent variable, recognizing their essential role in providing insights into financial risk. The analysis incorporates ten independent variables, which fall into subcategories including leverage, profitability, liquidity, market-related factors, survival indicators, and macroeconomic factors. To further assess the impact of credit ratings on financial performance, the study considers two dependent variables: Return on Assets (ROA) and Tobin's Q (TQ). These variables are studied in relation to credit ratings (CRWLTA), along with a set of independent variables, encompassing Total Debt to Total Assets (TDTA), Total Shareholder Return (TSR), EBITDA Interest coverage (EBITDAICOV), Quick Ratio (QR), Altman's Z-Score (AZS), and macroeconomic factors like GDP growth, Consumer Price Index (CPI) inflation, and the Federal Reserve Interest Rate (FDRI). The empirical analysis is based on data from 2398 observations of 240 companies rated by S&P Global Ratings over the period 2009-2013. The study employs the Generalized Method of Moments (GMM) methodology to estimate the models, chosen for its ability to address potential endogeneity issues in the independent variables. The findings related to the determinants of credit ratings reveal that interest coverage and Altman's Z-score are statistically significant factors, with a significance level of 1%, in explaining variations in credit ratings. This suggests that these two variables have a substantial impact on a company's creditworthiness. Overall, this study offers valuable insights into the factors influencing corporate credit ratings, providing useful information for financial institutions and companies when making informed lending and financing decisions. In terms of examining the impact of credit ratings as indicators of financial performance, the results indicate a negative association with TQ, although statistical significance is not achieved. Additionally, there is a negative relationship with ROA that approaches statistical significance. These findings imply that while credit ratings may not directly influence TQ, they could potentially have implications for a company's profitability.
Ensaios de câmbio sob as perspectivas da produtividade e da competitividade
Rebelo, Helene Albuquerque (2018-10-01)
Centro de Ciências Sociais e Aplicadas (CCSA)
This work is composed of three independent researches, however with themes that show constancy and relation between them. The first investigation examines the long-term exchange rate, considering purchasing power parity for 25 developing countries, admitting the United States of America as the base country. To test the models, the behavior of four different price indices are observed, for the period of 1960 - 2015, with annual frequency. From the projections performed, only four combinations corroborated the theory, not being possible to prove a favorable performance for PPP. The second study evaluates the long-term exchange rate from the perspective of the Balassa-Samuelson Effect. Original from purchasing power parity, it shows that the exchange rate can be explained by the relationship between the productivities of two countries. Thus, the relative purchasing power parity and total factor productivity are evaluated by applying a new classification for productivity, where some service sectors are considered tradable goods. The database is composed of 10 pairs of countries, with the United States of America as the base country, for the period between 1980 to 2007, finding that only a few countries corroborate the Balassa-Samuelson Effect. For the first two essays, time series analyzes were used. The third search evaluates whether productivity is explained by competitiveness and if the real effective exchange rate plays a moderating role on the four competitiveness variables, since it is possible to evaluate the losses or gains of competitiveness as a function of the exchange rate. It is applied the real effective exchange rate, the total factor productivity, and the world competitiveness index for 20 countries for the period from 2001 until 2018. The results show that the real effective exchange rate is a moderating variable for all variables, but only for half of the countries evaluated. In this third paper, the empirical approach is supported in a panel data analysis. The three essays are run on the software STATA 14.
Ensaios de câmbio sob as perspectivas da produtividade e da competitividade
Rebelo, Helene Albuquerque (2018-10-01)
Centro de Ciências Sociais e Aplicadas (CCSA)
This work is composed of three independent researches, however with themes that show constancy and relation between them. The first investigation examines the long-term exchange rate, considering purchasing power parity for 25 developing countries, admitting the United States of America as the base country. To test the models, the behavior of four different price indices are observed, for the period of 1960 - 2015, with annual frequency. From the projections performed, only four combinations corroborated the theory, not being possible to prove a favorable performance for PPP. The second study evaluates the long-term exchange rate from the perspective of the Balassa-Samuelson Effect. Original from purchasing power parity, it shows that the exchange rate can be explained by the relationship between the productivities of two countries. Thus, the relative purchasing power parity and total factor productivity are evaluated by applying a new classification for productivity, where some service sectors are considered tradable goods. The database is composed of 10 pairs of countries, with the United States of America as the base country, for the period between 1980 to 2007, finding that only a few countries corroborate the Balassa-Samuelson Effect. For the first two essays, time series analyzes were used. The third search evaluates whether productivity is explained by competitiveness and if the real effective exchange rate plays a moderating role on the four competitiveness variables, since it is possible to evaluate the losses or gains of competitiveness as a function of the exchange rate. It is applied the real effective exchange rate, the total factor productivity, and the world competitiveness index for 20 countries for the period from 2001 until 2018. The results show that the real effective exchange rate is a moderating variable for all variables, but only for half of the countries evaluated. In this third paper, the empirical approach is supported in a panel data analysis. The three essays are run on the software STATA 14.
Ensaios de câmbio sob as perspectivas da produtividade e da competitividade
Rebelo, Helene Albuquerque (2018-10-01)
Centro de Ciências Sociais e Aplicadas (CCSA)
This work is composed of three independent researches, however with themes that show constancy and relation between them. The first investigation examines the long-term exchange rate, considering purchasing power parity for 25 developing countries, admitting the United States of America as the base country. To test the models, the behavior of four different price indices are observed, for the period of 1960 - 2015, with annual frequency. From the projections performed, only four combinations corroborated the theory, not being possible to prove a favorable performance for PPP. The second study evaluates the long-term exchange rate from the perspective of the Balassa-Samuelson Effect. Original from purchasing power parity, it shows that the exchange rate can be explained by the relationship between the productivities of two countries. Thus, the relative purchasing power parity and total factor productivity are evaluated by applying a new classification for productivity, where some service sectors are considered tradable goods. The database is composed of 10 pairs of countries, with the United States of America as the base country, for the period between 1980 to 2007, finding that only a few countries corroborate the Balassa-Samuelson Effect. For the first two essays, time series analyzes were used. The third search evaluates whether productivity is explained by competitiveness and if the real effective exchange rate plays a moderating role on the four competitiveness variables, since it is possible to evaluate the losses or gains of competitiveness as a function of the exchange rate. It is applied the real effective exchange rate, the total factor productivity, and the world competitiveness index for 20 countries for the period from 2001 until 2018. The results show that the real effective exchange rate is a moderating variable for all variables, but only for half of the countries evaluated. In this third paper, the empirical approach is supported in a panel data analysis. The three essays are run on the software STATA 14.
Ensaios em finanças corporativas empíricas
Portal, Márcio Telles (2016-05-10)
Centro de Ciências Sociais e Aplicadas (CCSA)
Esta tese estuda outcomes reais e financeiros de três questões importantes no contexto de mercados emergentes: regulação da discricionariedade sobre fundos internos, debt tax bias e estrutura de propriedade. Para tanto, esta tese está dividida em três ensaios. O primeiro verifica o efeito da regulação da discricionariedade sobre a política de dividendos no mercado de capitais chinês sobre eficiênca do investimento corporativo. Os resultados sugerem que a regulação implementada impacta positivamente a ineficiência do investimento e a propensão a subinvestir, sendo este efeito crescente com a o grau de restrição financeira e descrecente com o nível de folga financera, respectivamente. Os testes são robustos a diferentes especificações e testes de robustez. O Segundo ensaio analisa se o efeito do Allowance for Corporate Equity (ACE-type system) brasileiro reduz o viés tributário da dívida. Especificamente, investiga-se se o efeito tratamento contínuo dos juros sobre capital próprio afeta negativamente o nível de alavancagem financeira. Os resultados indicam que a política tributária implementada é similar a uma política de dividendos dedutíveis e não a um ACE. A implicação empírica é que o tratamento por juros sobre capital próprio aumenta o viés, produzindo um efeito rebote em relação ao que é esperado para essa política sobre o comportamento tomador de risco e estrutura de capital corporativa. Esse efeito rebote é homogêneo em firmas com diferentes status de restrição financeira. Há evidências de que acionistas influenciam a política de distribuição de caixa a acionistas, ajustando-a às suas próprias preferências tributárias. O terceiro ensaio investiga o efeito da empresa familiar sobre a performance corporativa e políticas financeiras (estrutura de capital, cash holding, e cash dividends). Usando uma amostra de firmas brasileiras, este estudo usa um treatment effect model para considerar os problemas de autoseleção e endogeneidade. Os resultados mostram que a firma familiar tem um efeito líquido negativo sobre a performance. O controle familiar tem um efeito sobre as políticas financeiras que indicam um comportamento de aversão ao risco para preservar o controle. Os resultados indicam mais comportamento tomador de risco em companhias de gestão familiar, sugerindo que tal comportamento de aversão ao risco é reduzido quando a família tem o controle e gestão da firma. Este é o primeiro estudo que considera o efeito do comportamento da empresa familiar por meio de múltiplas políticas financeira.
Ensaios sobre câmbio e competitividade
Siessere, Arthur Tornatore (2018-05-03)
Centro de Ciências Sociais e Aplicadas (CCSA)
This work is composed of three essays dealing with the themes of exchange rate and competitiveness for the Brazilian, North American and European economy. The first part aims to verify empirically the validity of the theory of purchasing power parity and the Balassa-Samuelson effect for the Brazilian and North American economy, from 1948 to 2016. The second part seeks to analyze the relationship between exchange rate and wages for the brazilian economy in the post-trade liberalization period, from 1999 and 2015. The third part analyzes the influence of intellectual capital and its components on the national wealth of European Union countries. Thus, theories about the topics are presented an, econometric techniques of time series and analysis panel data has been used to analyze the data collected. The results of the first essay showed that there is no causal relationship between PPP and the Balassa-Samuelson effect, in addition the tests revealed a long-term causality between the variables. The results of the second part did not show evidence of cointegration between the exchange rate and wages, suggesting that, in the period analyzed, it is not possible to conclude that there is any relationship between the exchange rate and wages for the Brazilian economy. However, Granger's causality tests suggest that over time wages cause changes in the exchange rate. The results of the third research fail to find evidence of the influence of structural capital on national wealth, on the other hand, relational capital was positive and significant in all estimated models. Finally, despite finding evidence of a positive moderating effect between innovation and sophistication in the relationship between human capital and national wealth, it is not possible to validate that there is a moderating effect on the relationship between intellectual capital and national wealth.
Ensaios sobre o uso de redes neurais na previsão de taxa de câmbio
Costa, Marisa Gomes da (2020-04-24)
Centro de Ciências Sociais e Aplicadas (CCSA)
This study aims to compare and evaluate the predictive power of artificial neural network models on exchange rates. Initially, a bibliometric study and literature review is carried out in order to identify the current research status in the area. Then, an empirical study is propesed to forecast various Exchange rates using data of opening, closing,high and low in daily frequency. The data sample includes exchange rates (BRL / USD, EUR / USD and GBP / USD) from January 2014 to December 2019. Forecasts are made for a period ahead. Different architectures of the LSTM recurrent neural network model were tested. To rank the models in terms of predictive power, the results of the predictions are compared to the prediction of the random walk model, using it as a benchmark, as well as ARIMA. The selection of models is made by the model confidence set (MCS). Lunde and Nason. The results indicated that the LSTM model is superior to the random walk and ARIMA for all analyzed currencies.

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