List of Reviewers - 2013

ID: 27115

Authors: Revista Brasileira de Finanças - RBFin.

Source: Revista Brasileira de Finanças, v. 11, n. 4, p. 1-1, October-December, 2013. 1 page(s).

Document type: Other (English)

Long run estimations for the volatility of time series in the Brazilian financial market

ID: 27078

Authors: Alex Sandro Monteiro de Moraes, Antonio Carlos Figueiredo Pinto, Marcelo Cabus Klotzle.

Source: Revista Brasileira de Finanças, v. 11, n. 4, p. 455-479, October-December, 2013. 25 page(s).

Keyword: GARCH models , integrated volatility , long-term volatility

Document type: Article (Portuguese) Show Abstract

The models of the GARCH family, normally used for the estimates of volatility for longer periods, keep unchanged the relative weights assigned to the observations both old and new, regardless of the volatility´s forecasted horizon. The purpose of this article is to verify if the increase in relative weights assigned to the earlier observations due to the increase of the forecast horizon results in better estimates of volatility. Through the use of seven forecasting models of volatility and return series of financial markets assets, the estimates obtained in the sample (in-sample) were compared with observations outside the sample (out-of-sample). Based on this comparison, it was found that the best estimates of expected volatility were obtained by the modified EGARCH model and the ARLS model. We conclude that the use of traditional forecasting models of volatility, which keeps unchanged relative weights assigned to both old and new observations, was inappropriate.

Executive compensation, value and performance of Brazilian listed companies

ID: 27079

Authors: Andre Luiz Carvalhal da Silva, Alisson Chen Yi Chien.

Source: Revista Brasileira de Finanças, v. 11, n. 4, p. 481-502, October-December, 2013. 22 page(s).

Keyword: Brazil , executive remuneration , firm value and performance

Document type: Article (Portuguese) Show Abstract

The aim of this study is to identify the relationship between executive compensation, firm value and performance in Brazil. The literature provides mixed results but most studies show that firms with higher executive compensation tend to have greater value and performance in comparison with companies with lower compensation. We analyze a unique Brazilian database to test this hypothesis. This paper differs from previous studies on executive remuneration in Brazil since it uses dynamic models, estimated by systemic generalized method of moments, to control potential sources of endogeneity. The analysis of 420 Brazilian companies from 2002 to 2009 does not indicate a significant relation between executive compensation and firm value (price-to-book and Tobin’s Q), suggesting that companies that pay greater executive remuneration do not have higher value. Furthermore there is no significant relation between executive compensation and operational performance (ROA and sales growth).

The informational content of credit ratings in Brazil: an event study

ID: 27112

Authors: Flávia Cruz de Souza Murcia, Fernando Dal-Ri Murcia, José Alonso Borba.

Source: Revista Brasileira de Finanças, v. 11, n. 4, p. 503-526, October-December, 2013. 24 page(s).

Keyword: Brazilian market , credit rating , event study

Document type: Article (English) Show Abstract

This study analyzes the effect of credit rating announcements on stock returns in the Brazilian market during 1997-2011. We conducted an event study using a sample of 242 observations of listed companies, 179 from Standard and Poor’s and 63 from Moody’s, to analyze stock market reaction. Abnormal returns have been computed using the MarketModel and CAPM for three windows: three days (-1, +1), 11 days (-5, +5) and 21 days (-10, +10). We find statistically significant abnormal returns in days -1 and 0 for all the three types of rating announcement tested: initial rating, downgrades and upgrades. For downgrades, consistently with prior studies, our results also showed negative abnormal returns for practically all windows tested. Overall, our findings evidence that rating announcements do have information content, as it impacts stock returns causing abnormal returns, especially when they bring ’bad news’ to the market.

Risk exposure and net flow in investment funds: do shareholders monitor asset allocation?

ID: 27113

Authors: Rafael Felipe Schiozer, Diego Lins de Albuquerque Pennachi Tejerina.

Source: Revista Brasileira de Finanças, v. 11, n. 4, p. 527-558, October-December, 2013. 32 page(s).

Keyword: asset allocation , financial crisis , informational asymmetry , investment funds , net flow , risk

Document type: Article (Portuguese) Show Abstract

This study investigates the impact of asset allocation on the net flow of fixed income funds in the Brazilian market, by exploiting the exogenous variation in the risk perception of bank liabilities (CDs) caused by the financial turmoil that followed Lehman Brothers’ demise in September 2008. The central hypothesis is that the exposure to assets negatively affected by the crisis impacts negatively the fund’s net flow. We find that, for mutual funds, the larger proportion of assets negatively affected by the crisis the larger the net outflow of resources, indicating that shareholders monitor asset allocation and exert disciplining power on fund managers by withdrawing their resources. In exclusive funds (fundos exclusivos, i.e., funds with a single shareholder), for which the shareholder is presumed to exert more influence on asset reallocation, we find no significant relationship between the exposure to assets negatively affected by the crisis and net flows.

On the Linearly Increasing System of Amortization

ID: 27114

Authors: Clovis José Daudt Lyra Darrigue de Faro.

Source: Revista Brasileira de Finanças, v. 11, n. 4, p. 559-576, October-December, 2013. 18 page(s).

Keyword: amortization systems , mathematics of finance , mortgage financing

Document type: Article (Portuguese) Show Abstract

Aiming to reach a compromise solution to the issues of default risk and the payment capacity of takers of housing loans, Jorge Oscar deMello Flôres submitted to the Banco Nacional de Habitação, which was then in charge of the Brazilian System of Housing Financing, what he named as the Linearly Increasing System of Amortization (LISA). Following a critical analysis of the LISA, it is proposed the alternative named as the Generalyzed System of Mixed Amortization (GSMA).