Relatório Anual de Gestão - 2007

ID: 4472

Authors: Ricardo Pereira Câmara Leal.

Source: Revista Brasileira de Finanças, v. 6, n. 1, p. 1-4, January-April, 2008. 4 page(s).

Document type: Other (Portuguese)

Transmissão financeira entre o Mercado Acionário e o Mercado de Títulos de Dívida

ID: 4467

Authors: Francisco Eduardo de Luna e Almeida Santos.

Source: Revista Brasileira de Finanças, v. 6, n. 1, p. 1-11, January-April, 2008. 11 page(s).

Keyword: heteroscedasticity , identification , securities market , stock market , strucutual VAR

Document type: Article (Portuguese) Show Abstract

The aim of this paper is to measure the endogenous relationship between stock and bond markets. To recover the structural form of this relationship, the author applied the method of identification through heteroskedasticity. Both coefficients were found to be negative which is consistent with the notion that, given an opportunity cost of capital, the returns move in opposite directions in order to promote the equilibrium of the capital flow. However, only the coefficient that measures the impact of bond market over stock markets was significantly different from zero. Thus, the intensity of this relationship also depends on the relative size of the markets under study.

Aplicação de modelos de avaliação por múltiplos no Brasil

ID: 4468

Authors: Rafael Victal Saliba.

Source: Revista Brasileira de Finanças, v. 6, n. 1, p. 13-47, January-April, 2008. 35 page(s).

Keyword: market multiples , multiples valuation , peer groups , relative value , value drivers

Document type: Article (Portuguese) Show Abstract

Based on two different samples, this article tests the performance of a number of Value Drivers commonly used for evaluating companies by finance practioners, through simple regression models of cross-section type which estimate the parameters associated to each Value Driver, denominated Market Multiples. We are able to diagnose the behavior of several multiples in the period 1994-2004, with an outlook also on the particularities of the economic activities performed by the sample companies (and their impacts on the per- formance) through a subsequent analysis with segregation of companies in the sample by sectors. Extrapolating simple multiples evaluation standards from analysts of the main fi- nancial institutions in Brazil, we find that adjusting the ratio formulation to allow for an intercept does not provide satisfactory results in terms of pricing errors reduction. Results found, in spite of evidencing certain relative and absolute superiority among the multiples, may not be generically representative, given samples limitation.

Determinant factors of Brazilian country risk: an empirical analysis of specific country risk

ID: 4469

Authors: Mariana Felix Teixeira, Marcelo Cabus Klotzle, Walter Lee Ness Jr..

Source: Revista Brasileira de Finanças, v. 6, n. 1, p. 49-67, January-April, 2008. 19 page(s).

Keyword: Brazil , country risk , determinant factors , specific country risk

Document type: Article (English) Show Abstract

Many studies in international finance try to investigate to what extent domestic and external economic factors constitute significant determinant factors of international country risk. This article tries to analyze, for the period 1992-2003, Brazilian country risk from the point of view of three empirical models: i) First, the internal economic determinants of the country risk; ii) the second has the same purpose as the first, with the difference that the variable “intensity of global risk aversion”, that serves as proxy for the external component of the risk, is included in the group of explanatory variables; iii) in the last model the emphasis is on the relation between specific country risk (country risk minus the external component) and the internal and external economic determinants.

Cópulas Dinâmicas de Lévy e suas aplicações no apreçamento de opções multidimensionais com dependência na trajetória

ID: 4470

Authors: Edson Bastos e Santos, Nelson Ithiro Tanaka.

Source: Revista Brasileira de Finanças, v. 6, n. 1, p. 69-111, January-April, 2008. 43 page(s).

Keyword: dynamic copulas , Lévy processes , multidimensional options , path-dependent

Document type: Article (Portuguese) Show Abstract

This article presents an alternative to modeling multidimensional options, where the payoffs depend on the paths of the trajectories of the underlying-asset prices. The proposed technique considers Lévy processes, a very ample class of stochastic processes that allows the existence of jumps (discontinuities) in the price process of financial assets, and as a particular case, comprises the Brownian motion. To describe the dependence among Lévy processes, extending the static concepts of the ordinary copulas to the Lévy processes context, considering the Lévy measure, which characterizes the jumps behavior of these processes. A comparison between the Clayton and the Frank dynamic copulas and their impact in asset pricing of Asian type derivatives contracts is studied, considering gamma processes and Monte Carlo simulation procedures.

Finance Journals: características dos principais periódicos, autores importantes e artigos mais citados

ID: 4471

Authors: Flávia Cruz de Souza, José Alonso Borba, Newton Carneiro Affonso da Costa Junior, Fernando Dal-Ri Murcia.

Source: Revista Brasileira de Finanças, v. 6, n. 1, p. 113-132, January-April, 2008. 20 page(s).

Keyword: authors , finance , financial , journals , papers

Document type: Article (Portuguese) Show Abstract

The objective of this paper is to characterize the Finance journals available in CAPES’s Basis and to know the most important authors in this Area. After eliminating the publications that did not meet the proposed criterion, a total of 72 journals that contained the expression finance and financial in their titles have been analyzed. Main findings are: Journal of Finance has the highest impact factor (2,549); the great majority of journals are North- American (70,83%) and published four times a year; 51% of them charge a submission fee that varies from US$ 40 to US$ 450; most part takes around six months to publish a paper once it gets accepted; Research in International Business and Finance has the most internationalized editorial board; the most cited article has been published in the Journal of Finance in the year of 1997; and Andrei Shleifer is the author of the three most cited papers in Scopus.