Brazilian Review of Finance 2015 Editorial Report

ID: 40905

Authors: Márcio Poletti Laurini.

Source: Revista Brasileira de Finanças, v. 14, n. 1, p. 1-5, January-March, 2016. 5 page(s).

Document type: Other (English) Show Abstract

RBFin is the main Brazilian publication outlet of academic papers about finance. Using the Open Journals System to manage the editorial process, publication of RBFin adheres to a strict publication schedule. The journal is indexed by EconLit, RedALyC, Proquest, Google Scholar, Gale and Ebsco and is listed in the JEL, DOAJ, Latindex, OpenJGate, and Cabell’s directories. RBFin is rated B2 in the business and economics areas of the Brazilian classification system. The editorial board undergoes partial turnover every year and comprises 19 individuals from four countries, the Brazilian members being affiliated with universities in five different Brazilian states. The acceptance rate was 44% for papers submitted in 2015. The average numbe rof days between receipt and first decision for articles submitted in2015 was 86. The average number of days between receipt and finalde cision for articles submitted in 2015 was 104. The worst case was 345 days. Thirty five individuals served as reviewers in 2015.

The Informational Content of Trades on Foreign Exchange Futures: an Application to the Brazilian Market

ID: 40906

Authors: Vanessa Neumann Sulzbach, João Mergulhão, Pedro L. Valls Pereira.

Source: Revista Brasileira de Finanças, v. 14, n. 1, p. 7-43, January-March, 2016. 37 page(s).

Keyword: Brazilian future FX Market , FX Microstructure approach , Order Flow , Probability of Information-based Trade (PIN)

Document type: Article (Portuguese) Show Abstract

The microstructure approach to exchange rates have received special attention in recent years, particularly because it highlights the existence of asymmetric information in this market. The Brazilian future FX market data provided from BM&F was used to test the private information effects of trading on prices. The structural VAR results confirm the existence of asymmetric information in this market, indicating that roughly 50% of all efficient price variation is due to the private information of the order flow. Additionally, the order flow observation allows the informed and uninformed arrival rates estimation, which we use to calculate the probability of information-based trade (PIN). High PIN value leads to wide spreads, which reduces the market liquidity. The PIN results about 1.53% indicate the liquidity of Brazilian future FX market is quite high, what impound fewer trading costs for the uninformed agents.

Valor-Coppead Indices, Equally Weighed and Minimum Variance Portfolios

ID: 40907

Authors: Ricardo Pereira Câmara Leal, Carlos Heitor Campani.

Source: Revista Brasileira de Finanças, v. 14, n. 1, p. 45-64, January-March, 2016. 20 page(s).

Keyword: equally weighed portfolios , investments , minimum variance portfolios , stock selection , Valor-Coppead indices

Document type: Article (Portuguese) Show Abstract

This article presents a literature review that justified the creation of the equally weighed and minimum variance Valor-Coppead stock indices and offers details about its calculation. There was no Brazilian stock index with these simple portfolio formation rules attainable by the non-sophisticated investor. An index that uses the minimum variance portfolio in the efficient frontier, with limits on the weights, offers an optimized portfolio less affected by errors in estimates. Equally weighed portfolios with up to 20 stocks displayed a performance superior to that of the majority of Brazilian stock funds and comparable to that of the minimum variance portfolio with constrained weights, but portfolios optimized with more complex methods, may outclass equally weighed portfolios. The previous three or four months Sharpe ratio stock selection criterion is relevant. The literature reviewed supported that the Valor-Coppead indices may become relevant benchmarks for non-sophisticated investors.

Is It Possible to Beat the Random Walk Model in Exchange Rate Forecasting? More Evidence for Brazilian Case

ID: 40908

Authors: Emerson Fernandes Marçal, Eli Hadad Junior.

Source: Revista Brasileira de Finanças, v. 14, n. 1, p. 65-88, January-March, 2016. 24 page(s).

Keyword: exchange rate , forecasting , Meese-Rogoff puzzle

Document type: Article (English) Show Abstract

The seminal study of Meese and Rogoff on exchange rate forecastability had a great impact on the international finance literature. The authors showed that exchange rate forecasts based on structural models are worse than a naive random walk. This result is known as the Meese–Rogoff (MR) puzzle. Although the validity of this result has been checked for many currencies, studies for the Brazilian currency are not common. In 1999, Brazil adopted the dirty floating exchange rate regime. Our goal is to run a “pseudo real-time experiment” to investigate whether forecasts based on econometric models that use the fundamentals suggested by the exchange rate monetary theory of the 80s can beat the random model for the case of the Brazilian currency. Our work has three main differences with respect to Rossi (2013). We use a bias correction technique and forecast combination in an attempt to improve the forecast accuracy of our projections. We also combine the random walk projections with the projections of the structural models to investigate if it is possible to further improve the accuracy of the random walk forecasts. However, our results are quite in line with her results. We show that it is not difficult to beat the forecasts generated by the random walk with drift using Brazilian data, but that it is quite difficult to beat the random walk without drift. Our results suggest that it is advisable to use the random walk without drift, not only the random walk with drift, as a benchmark in exercises that claim the MR result is not valid.

The Determinants of Dividend Payment: The Effec tof the Legal and Contractual Obligatory Minimumin Brazilian Companies

ID: 40909

Authors: Daniel Francisco Vancin, Jairo Laser Procianoy.

Source: Revista Brasileira de Finanças, v. 14, n. 1, p. 89-123, January-March, 2016. 35 page(s).

Keyword: Brazil , Dividend , law

Document type: Article (Portuguese) Show Abstract

This study seeks to identify the effects of the mandatory dividend in determinants of companies listed on the BM&FBovespa to pay dividends, demonstrating that the methodology proposed is a step forward in the pursuit of these determinants, mirroring the reality of actual willingness to pay. To accomplish this was used a tobit model with instrumental variables, separating the sample into three groups: the Complete Sample, ABOVE group and MINIMUM group. In total, were analyzed 1531 dividend distributions from 2007 to 2013. It was found that there is strong empirical evidence that companies paying dividends above the mandatory feature different determinants of those who only pay this. Thus, the existence of companies in the sample who pay only the mandatory dividend influence on the regression coefficients, resulting in significant biases for dividend determinants in Brazil. Because companies that pay above mandatory are the real makers of the decision to pay dividends, as companies only pay the mandatory simply comply with the legislation.

Impact Factors on Cash Balance: A Study in Non-Financial Brazilian Companies in Stock Market

ID: 40910

Authors: Júlia Peres Tortoli, Marcelo Botelho da Costa Moraes.

Source: Revista Brasileira de Finanças, v. 14, n. 1, p. 125-125, January-March, 2016. 1 page(s).

Keyword: cash available , financial management , level of liquid assets

Document type: Article (Portuguese) Show Abstract

The aim of this study is to analyze the impact factors and their effects on the corporate cash holdings in order to assist companies in achieving better financial management, corroborating the perpetuity of them. The sample consists of 917 observations of 131 listed companies in Brazil, from 2007 to 2013. The dependent variable used in this study is the natural logarithm of cash and cash equivalents divided by the total of net assets and the major independent variables are show in literature plus a dummy variable for passive financing through BNDES and a control variable for the financial crisis. The methodology used is regression with static and balanced panel data, with better results for fixed effects. Evidence is found that the variable distribution of dividends, higher level of liquid assets, existence of corporate governance, in addition to financial crisis, impact cash.