Relatório Anual de Gestão - 2008

ID: 4488

Authors: Ricardo Pereira Câmara Leal.

Source: Revista Brasileira de Finanças, v. 7, n. 1, p. 1-5, January-March, 2009. 5 page(s).

Document type: Other (Portuguese)

The effect of institutions on the external financing of the Brazilian firms

ID: 4483

Authors: Antonio Gledson De Carvalho.

Source: Revista Brasileira de Finanças, v. 7, n. 1, p. 1-27, January-March, 2009. 27 page(s).

Keyword: corruption; inneficiency of the , external financing , financial development , institutional development , judicial system

Document type: Article (English) Show Abstract

This article examines the effect of the level of institutional development across the different Brazilian states on the choice of external financing of Brazilian firms. Our analysis is based on a unique dataset, the Investment Climate Survey (ICS) of the Worldbank, stratified to be representative across size; 13 federal states; and 9 industry sectors. Our main results indicate that corruption and inefficiency of the judicial system have a negative impact on the access to bank credit and formal sources of funds. Financial development has a positive impact on the use of the same sources. Furthermore, this effect is more severe on smallest firms. These results suggest that low institutional development can foster financial repression, making firms rely more intensively on informal sources of funds or, otherwise, limit their investments. It also suggests that institutional underdevelopment has the perverse effect of promoting industrial concentration.

Local estimation of Copula based value-at-risk

ID: 4484

Authors: Eduardo F. L. de Melo, Beatriz Vaz de Melo Mendes.

Source: Revista Brasileira de Finanças, v. 7, n. 1, p. 29-50, January-March, 2009. 22 page(s).

Keyword: copulas , local maximum likelihood estimation , value-at-risk

Document type: Article (English) Show Abstract

In this paper we propose the local maximum likelihood method for dynamically estimate copula parameters. We study the estimates statistical properties and derive the expression for their asymptotic variance in the case of Gaussian copulas. The local estimates are able to detect temporal changes in the strength of dependence among assets. These dynamics are combined with a GARCH type modeling of each individual asset to estimate the Value- at-Risk. The performance of the proposed estimates is investigated through Monte Carlo simulation experiments. In an application using real data, an out-of-sample test indicated that the new methodology may outperform the constant copula model when it comes to Value-at-Risk estimation.

Formas de financiamento das empresas: um Modelo Teórico

ID: 4485

Authors: Cláudio R. Lucinda, Richard Saito.

Source: Revista Brasileira de Finanças, v. 7, n. 1, p. 51-71, January-March, 2009. 21 page(s).

Keyword: debt , financing choices

Document type: Article (Portuguese) Show Abstract

This paper aims to understand under which circumstances the employment of the services of a financial intermediary is preferred to the decentralized capital market, as well as to provide some reasons why these types of financing coexist. In order to do that, it will be developed a model in which the free-rider effects lead to profit opportunities for an intermediary when asymmetric information between lenders and borrowers is present. The analysis is extended to a multi-period setting, where the focus is ascertain if, under repeated interaction between the agents, the availability of information on payment history of a borrower alters the previous results.

Os ratings de risco soberano e os fundamentos macroeconômicos dos países: um estudo utilizando redes neurais artificiais

ID: 4486

Authors: Bruno Ferreira Frascaroli, Luciano da Costa Silva, Osvaldo Cândido da Silva Filho.

Source: Revista Brasileira de Finanças, v. 7, n. 1, p. 73-106, January-March, 2009. 34 page(s).

Keyword: artificial neural networks , macroeconomics foundations , sovereign risk rating

Document type: Article (Portuguese) Show Abstract

To minimize the consequences of asymmetric information, the sovereign risk ratings are instruments that constitute a key piece in the determination of credit market conditions, essential to the growth of developing countries like Brazil. In the present work we studied based on macroeconomics foundations, a classification to sovereign risk ratings realized by the ratings agencies finding the classification using Artificial Neural Networks. We observed homogeneity degree between the attributions of agencies and macroeconomics foundations in the countries of sample which four of foundations seem to be more directly connected with these attributions. After, in a comparative static exercise, we use the model to make simulations of sceneries of the credit external conditions for the Brazilian economy, changing the macroeconomics foundations which we noted that agencies expected for more per capita income increasing and decrease of public debt.

Adesão aos novos mercados da BOVESPA: Novo mercado, nível 1 e nível 2 – determinantes e consequências

ID: 4487

Authors: Jairo Laser Procianoy, Rodrigo Verdi.

Source: Revista Brasileira de Finanças, v. 7, n. 1, p. 107-136, January-March, 2009. 30 page(s).

Keyword: ADRs , BOVESPA markets , corporate governance , disclosure

Document type: Article (Portuguese) Show Abstract

This paper studies the determinants and consequences of firms that adopted the Brazilian new stock exchanges – Novo Mercado, Nível 1 and Nível 2. Since 2001 more than 61 companies chose to be traded in these exchanges with the intention to raise their levels of disclosure and corporate governance. In terms of determinants, firms that adopted the new markets are larger, more profitable, more likely to be traded as ADRs and have more dispersed ownership. As for the consequences, shares of firms that adopted the new markets are more liquid than shares of firms traded in the regular exchange (BOVESPA). In addition, firms that adopted the Nível 2 and the Novo Mercado – markets with stricter disclosure and governance requirements - also experienced an increase in liquidity when compared to their liquidity prior to the adoption.