List of Reviewers

ID: 39754

Authors: Revista Brasileira de Finanças - RBFin.

Source: Revista Brasileira de Finanças, v. 13, n. 4, p. 1-1, October-December, 2015. 1 page(s).

Document type: Other (English)

Testing the predict power of VIX: an application of multiplicative error model

ID: 39750

Authors: Luis Fernando Pereira Azevedo, Pedro L. Valls Pereira.

Source: Revista Brasileira de Finanças, v. 13, n. 4, p. 544-570, October-December, 2015. 27 page(s).

Keyword: GARCH models , GMM , multiplicative error model , VIX

Document type: Article (Portuguese) Show Abstract

VIX - Volatility Index - emerged as an alternative calculation of implied volatility in order to mitigate some problems encountered in models of the Black-Scholes. This kind of volatility is seen as the best predictor of future volatility, given that option traders’ expectations are embedded in their values. In this paper we test whether the VIX has more predictive power for future volatility and contains relevant information not found in time series models time for non-negative variables, treated by multiplicative error model. The results indicate that the VIX has greater predictive power in periods of economic stability, but does not contain relevant information to the realized volatility which here is considered as the ”true volatility”. In periods of economic crisis the result changes, with the VIX presenting the same explanatory power, but contains relevant information in the short term.

Portfolio Optimisation and Endogenous Rebalancing Methods

ID: 39749

Authors: Guilherme do Livramento Demos, Thomas Henrique Schreurs Pires, Guilherme Valle Moura.

Source: Revista Brasileira de Finanças, v. 13, n. 4, p. 544-570, October-December, 2015. 27 page(s).

Keyword: Control Charts , Global Minimum Variance Portfolio; Statistical Processes Control

Document type: Article (Portuguese) Show Abstract

Investment managers often rebalance portfolios using ad-hoc criteria due the trade-off between gains from updating optimal weight and costs incurred from changing the portfolio composition. A common solution for this stalemate is rebalancing the portfolio based on some exogenous criteria. By monitoring the optimal weights of the portfolio through control charts, the authors propose a portfolio rebalance strategy based solely on endogenous information. The optimal portfolio weights are thus monitored daily and if statistical significant changes are detected we either rebalance or not the portfolio thus avoiding transaction costs. The performance of the rebalancing strategy is then compared with different periodical strategies based on indicators such as Turnover and Sharpe-Ratio. Our results suggest that rebalancing strategies based on signals from control charts outperform those based solely on exogenous criteria, thus yielding economical gains to the investor.

Price-Volume Relationship in the Brazilian Market, Stock Lending and Technical Analysis

ID: 39751

Authors: Antonio Zoratto Sanvicente.

Source: Revista Brasileira de Finanças, v. 13, n. 4, p. 630-649, October-December, 2015. 20 page(s).

Keyword: market efficiency , technical analysis; price-volume relationship

Document type: Article (English) Show Abstract

The paper tests the relevance of contemporaneous trading volume information for the pricing of shares of stock in the Brazilian market. As developed by Karpoff (1987), the particular relationship results from positive covariance between a stock’s market turnover and the absolute value of that stock’s price change in the same period. In Technical Analysis, it is believed that a role exists for trading information when predicting or at least explaining market price changes. The results show that the predicted V-shaped relationship is significant, so that the technical analysis argument is at least partially vindicated, and also contradicts the efficient market hypothesis, since this hypothesis says that all relevant information would already be reflected in current market prices. The paper uses daily data for 47 individual stocks traded at the BM&FBovespa over the period from January 04, 2010 to June 28, 2013, and tests the proposed hypothesis using ordinary least squares and estimation of panel data with fixed effects for both stock and day.

Analysis of term structure of interest rates in Latin America countries from 2006 to 2014

ID: 39752

Authors: Filipe Stona, Jean Amann, Maurício Delago Morais, Divanildo Triches, Igor Alexandre Clemente Morais.

Source: Revista Brasileira de Finanças, v. 13, n. 4, p. 650-690, October-December, 2015. 41 page(s).

Keyword: Diebold-Li , Interest rates , Nelson-Siegel , Principal component analysis , Term structure

Document type: Article (Portuguese) Show Abstract

This article aims to investigate the relationship between the term structure of interest rates and macroeconomic factors in selected countries of Latin America, such as Brazil, Chile and Mexico, between 2006 and 2014, on an autoregressive vector model. Specifically, we perform estimations of Nelson-Siegel, Diabold-Li and principal component analysis to test how the change of macroeconomic factors, e.g. inflation, production and unemployment levels affect the yield curves. For Brazil and Mexico, GDP and inflation variables are relevant to change the yield curves, with the former shifting more the level, and the latter with greater influence on the slope. For Chile, inflation had the greatest impact on the level and, specifically for Mexico, the unemployment variable also changed the slope of the yield curve.

Monetary and Macroprudential Policies and Banks: Empirical Evidences from Panel-VAR

ID: 39753

Authors: Fernando da Silva Vinhado, José Angelo Divino.

Source: Revista Brasileira de Finanças, v. 13, n. 4, p. 691-730, October-December, 2015. 40 page(s).

Keyword: banks , macroprudential policy , monetary policy , panel-VAR

Document type: Article (Portuguese) Show Abstract

The objective of this paper is to investigate the relationship between monetary and macroprudential policies and the banking sector of the Brazilian economy, exploiting its cross-section structure as a source of interrelations between systemic aspects of those policies and the behavior of banks. Impulse-response functions are computed from the estimation of panel -VAR for 56 institutions that were active in the Brazilian banking sector between 2001 and 2013. Among the results, we can highlight the influence of monetary and macroprudential policies on levels of exposure to financial risk, capital and financial stability of banks. There is a complementarity between the instruments of those policies and the stabilization of inflation. The relationships involving banking metrics reveal preference for liquidity in contexts of higher risks, evidence of a competitive banking structure, and formation of capital buffer that lead to financial stability. This confirms the importance of capital requirements as a tool to maintain a stable financial system.