FGV EAESP - GVcef - Working Papers


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    Análise da evolução da indústria brasileira de fundos de investimento no século XXI
    (Centro de Estudos em Finanças (GVcef), 2015) Gimenes, Lucas Dreves; Eid Júnior, William
    Este trabalho explora o comportamento na indústria de fundos de investimentos brasileiros, por meio de uma amostra selecionada daqueles que entraram no Guia Exame. A análise compreende o período de 2002 a julho de 2014. Os principais comportamentos encontrados são: Permanência de 6 grandes instituições por toda a amostra; Um aumento do patrimônio líquido sob gestão; A existência de preferencia por investimentos em renda fixa; Uma tendência a diminuição da taxa de administração; Uma participação majoritária dos Grandes gestores; E um aumento no número médio de cotistas.
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    Options listing and the volatility of the underlying asset: a study on the derivative market function
    (SSRN, 1996) Chesney, Marc; Eid Júnior, William
    There is a lot of misunderstanding about derivative markets. Many people believes that they are a kind of casinos and have no utility to the investors. This work looks on the effects of options introduction in the Brazilian market, seeking for another benefit for this introduction: changes in the stocks risk level due to this introduction. Our results are the same found in the US and other markets: the options introduction reduces the stocks volatility. We also found that there is a slight indication that the volatility became more stochastic with this introduction.
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    Does active management add value? The Brazilian mutual fund market
    (SSRN, 2009-07) Eid Júnior, William; Rochman, Ricardo Ratner
    Does active management add or destroy value? With a sample of 699 with four different main categories: stocks, fixed income, hedge and exchange rate mutual funds we conclude that the active management add value to investors in stocks and hedge funds. But in fixed income mutual funds the evidence is against the active management. We also analyze the determinants of significant alphas. For stocks and hedge funds the evidence suggests that old, big and active funds generate biggest alphas. In fixed income funds the evidence is not clear, only a positive relationship between size and alphas could be found.
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    Analysts’ recommendations in Brazil: do they add value?
    (SSRN, 2006-09) Eid Júnior, William; Rochman, Ricardo Ratner
    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.
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    Financial guarantees in Brazilian life insurance and pension plans
    (SSRN, 2005-11) Pereira, António Simões; Eid Júnior, William
    Recently regulated Brazilian life and pension products offer a benefit structure composed of minimum guaranteed annual rate, in°ation adjustment according to a price index and participation on an investment fund performance. We present a valuation model for these products. We establish a fair condition relationship between minimum guarantees and participation rates, and explore its behavior over a space of maturities, interest rates, and also fund and price index volatilities and correlation. Besides consistency to reference models, we found that the effect of the fund volatility is conditioned to the price index volatility level and the correlation between them.
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    The effect of guia exame’s ratings on the Brazilian fund industry: an analysis of net-worth flows
    (SSRN, 2006-04) Eid Júnior, William; Rochman, Ricardo Ratner
    This paper infers the impact the publication “Guia Exame” (the guide) has on the Brazilian fund industry, more specifically on the ability the concerned funds develop on attracting new investment. The impact is measured using the event-study analysis based on the variation of net worth subsequently to the event of being rated, according to the methodology applied by the guide to rank the funds. We used five years of fund ratings according to Guia Exame (2000-2004) and analyzed the changes of these funds’ net worth. We also compared the event amongst different categories of funds. The results found confirm the expected effects according to star rankings and asset manager size in all years.
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    Volatility of returns, variations in prices and volume traded: evidence from the main stocks in Brazil
    (SSRN, 2005) Caselani, César Nazareno; Eid Júnior, William
    We study the relationship between the volatility and the price of stocks and the impact that variables such as past volatility, financial gearing, interest rates, stock return and turnover have on the present volatility of these securities. The results show the persistent behavior of volatility and the relationship between interest rate and volatility. The results also showed that a reduction in stock prices are associated with an increase in volatility. Finally we found a greater trading volume tends to increase the volatility.
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    Do insiders get abnormal returns? Event studies on the trades of insiders of the firms with differentiated corporate governance of the São Paulo stock exchange
    (SSRN, 2006-11) Eid Júnior, William; Rochman, Ricardo Ratner
    The subject insider trading is controversial. This paper presents series of event studies carried through on the trades with stocks of the firm carried by insiders with the objective to detect abnormal returns, based on the access to privileged information. The sample is composed by trades performed by insiders of the companies with stocks negotiated in the São Paulo Stock Exchange, that are classified as firms with differentiated corporate governance. Indication that trades performed by insiders resulted in abnormal returns compared to the statistically significant expected ones, as in the purchases of common shares; or for selling of preferred stocks.
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    Asymmetric preferences in investment decisions in the Brazilian financial market
    (SSRN, 2007) Martits, Luiz Augusto; Eid Júnior, William
    The main objective of this article is to test the hypothesis that utility preferences that incorporate asymmetric reactions between gains and losses generate better results than the classic Von Neumann-Morgenstern utility functions in the Brazilian market. The asymmetric behavior can be computed through the introduction of a disappointment (or loss) aversion coefficient in the classical expected utility function, which increases the impact of losses against gains. The results generated by both traditional and loss aversion utility functions are compared with real data from the Brazilian market regarding stock market participation in the investment portfolio of pension funds and individual investors.
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    The São Paulo stock exchange and the economic stabilization
    (SSRN, 2009-07) Eid Júnior, William
    The inflationary stabilization recently observed in Brazil brings a lot of changes in all aspects of the country’s economic life. In this work we look at the impacts on the stock market, specifically at Bovespa - the São Paulo Stock Exchange. We analyze the leading variables and statistics that describe Bovespa’s behavior, such as volatility and systematic risk, comparing the four years preceding and the four years after 1994, when the Real Plan was implemented. In order to eliminate exogenous influences, we use control series made with international Stock Exchanges Indexes. The results show that after 1994 there was reduced volatility, increased trade volume, reduced efficiency of the Bovespa Index and no changes in systematic risk.
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    The influence of macroeconomic factors on primary issues in the Brazilian market
    (SSRN, 2009-07) Matsuo, Alexandre Kazuma; Eid Júnior, William
    This research analyses the influence of the macroeconomic factors on the primary issue of stocks and debentures in the Brazilian market. Previous studies have agreed on the importance of aspects of the economic situation on a company’s capital structure, but have not established a relationship between the macroeconomic variables and the level of aggregate debt; we can mention Procianoy and Caselani (1997) and Terra (2003) as examples of this. According to Leal (2000), the limitations of the Brazilian capital market suggest that management takes advantage of moments of euphoria in the market - whether caused by a reduction in the rate of interest or by the return being offered by the equity market - to raise funds at rates that are more advantageous to the company. This characterizes the first evidence we have of opportunistic behavior influencing a company’s financing decisions. Eid Jr. (1996) provides us with the first evidence of this opportunistic behavior in his research in which 47% of those interviewed said that they chose fund sources that are economically more advantageous.
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    The influence of the tag-along rights in the value of companies: an event study of the effects on the market and service companies
    (SSRN, 2009-07) Eid Júnior, William; Rochman, Ricardo Ratner
    The aim of this work is to check the effect of granting tag-along rights to stockholders by analyzing the behavior of the return of the stock. To do so we carried out event studies for a group of 21 company stocks, divided into service provider companies and others, who granted this right to their stockholders after Law 10,303 was passed in October, 2001. In the test we used two models for estimating abnormal returns: adjusted to the market and adjusted to the risk and market. The results of the tests we carried out based on these models did not capture abnormal returns (surpluses), telling us that the tag-along rights did not affect the pattern of daily returns of the stocks of companies traded on BOVESPA (The Sao Paulo Stock Exchange). We did not expect this result because of the new corporate governance practices adopted by companies in Brazil.
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    Capital structure in Brazil: review of studies during the period of 1988-2003
    (SSRN, 2009-07) Matsuo, Alexandre Kazuma; Eid Júnior, William
    A systematic review was made of studies regarding the capital structure in Brazil during the period of 1988-2003. The recurring themes relate to the static tradeoff and pecking order in various moments of the economy, the fiscal benefits of indebtedness and interest on privately-owned capital, and the inefficacies of the stock market. The Brazilian companies enjoy little leverage as compared to other emerging markets. BNDES is responsible for 5% of the gross formation of fixed capital. The funding of resources occurs at opportune moments, and the financing decision may precede that of investment. Efficacy of the judiciary system and company transparency positively affect access to credit.
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    Medidas de desempenho de fundos considerando risco de estimação
    (2005) Eid Júnior, William; Rochman, Ricardo Ratner; Toddeo, Marcelo
    Neste artigo são apresentadas duas medidas de desempenho de fundos mútuos de investimento baseadas nos índices de Sharpe Generalizado e de Sortino, que são ajustadas para o risco de estimação através de intervalos de confiança gerados por meio de procedimentos de bootstrap. O uso das medidas propostas é útil para fundos de investimento que empregam gestão ativa, ou seja, que tenham como objetivo superar um determinado índice de referência. Os índices propostos neste artigo serão comparados com os índices de Sharpe Generalizado e de Sortino originais e com o duplo índice de Sharpe de Vinod e Morey (1999), com uma amostra de 100 fundos do mercado brasileiro no período de 2004, onde serão analisados os resultados de ranqueamento de diferentes fundos conforme seu desempenho. Os resultados dos ranqueamentos e da correlação de Spearman mostram que há grandes mudanças de ranqueamento quando se utiliza as medidas propostas em comparação com as medidas já existentes, principalmente quando se emprega o boostrap studentizado.
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    A relevância do rating e de outros fatores na determinação do rendimento das debêntures emitidas no mercado brasileiro
    (2005-04) Fraletti, Paulo Beltrão; Eid Júnior, William
    O artigo aborda um tema bastante explorado no contexto internacional, mas ainda pouco pesquisado no Brasil. A compreensão dos fatores relevantes na precificação de debêntures é de primordial importância para os investidores e para as empresas interessadas na captação de recursos através deste meio. A inexistência de um mercado secundário líquido de títulos privados de renda fixa restringe a análise empírica às informações, também limitadas, do mercado primário. Foram utilizados no trabalho dados referentes a 67 debêntures indexadas ao CDI-over e 30 indexadas ao IGP-M, todas distribuídas entre abril de 2000 e setembro de 2004. O método dos mínimos quadrados ordinários foi utilizado para testar a influência do rating e de um conjunto de variáveis de controle na formação da taxa de remuneração dos títulos. Foram estimadas relações lineares e não lineares entre as variáveis independentes e o spread expresso em duas formas: nominal e over Treasury. Dentre as evidências encontradas destacam-se as seguintes: i) o rating é variável significante para os dois grupos de debêntures; ii) algumas outras variáveis (prazo e volume da emissão, por exemplo) são relevantes, especialmente para títulos corrigidos pelo IGP-M; iii) a precificação de debêntures é imperfeita e aparentemente sujeita a fatores não econômicos.
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    Insiders conseguem retornos anormais? Estudos de eventos sobre as operações de insiders das empresas de governança corporativa diferenciada da Bovespa
    (2006) Rochman, Ricardo Ratner; Eid Júnior, William
    O assunto insider trading é bastante polêmico há muito tempo, como, exemplo disto se tem o Securities Exchange Act of 1934 sobre Insider Trading nos Estados Unidos, e a discussão continua nos dias de hoje com casos como da Ambev e da Martha Stewart em 2004. Este trabalho apresenta um conjunto de estudos de eventos realizados sobre as operações com ações da empresa realizadas por insiders com o objetivo de detectar retornos excedentes aos esperados, em função do acesso a informações privilegiadas. O banco de dados é composto por operações realizadas pelos insiders das empresas com ações negociadas na Bovespa, que são classificadas como de governança corporativa diferenciada. Foram constatados indícios de operações realizadas pelos insiders que resultaram em retornos excedentes aos esperados estatisticamente significativos, como nas compras de ações ordinárias pelos Controladores, Familiares, e Clubes de Investimentos; ou pelas vendas de ações preferenciais pelos Diretores, Conselheiros, Assessores, e Consultores do Conselho.
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    O efeito tamanho na Bovespa
    (1999) Romaro, Paulo; Eid Júnior, William
    Após aplicação de testes empíricos sobre carteiras de ações na Bovespa, no período que vai de 1995 a 1998, os autores constatam a existência da anomalia conhecida como Efeito Tamanho no mercado de capitais brasileiro. Identificando no período analisado, 1995 a 1998, que há evidências de que a média dos retornos das carteiras compostas pelas empresas de baixa capitalização é menor do que as compostas por empresas de alta capitalização. O autores advertem que os resultados, refletem apenas o período estudado, não devendo ser generalizados e são indicativos de que novas pesquisas são necessárias.
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    A saída: uma análise da deslistagem na Bovespa
    (2005-06) Eid Júnior, William; Horng, Wang Jiang
    By the definition of the characteristics that distinguish Brazilian listed companies which apply their delisting and the remaining listed companies in the market, this issue investigates, as a preliminary mean, the motivations that make companies to decide to go private. There are evidences that companies with small growth, shares that are not liquid and companies with low free float have higher probability of delisting. These results are consistent to the theory that delisting occurs when the company does not have perspectives of take benefits from being a public company, which means, it does not use the market as a source of funding, once there is no growth; its original shareholders did not reach the patrimonial liquidity, since the free float is low; and it is likely that the costs of adverse selection are high due to the lack of liquidity of its shares.