Notes from the Editor

ID: 4499

Authors: Ricardo Pereira Câmara Leal.

Source: Revista Brasileira de Finanças, v. 7, n. 3, p. 1-1, July-September, 2009. 1 page(s).

Document type: Editorial (English)

“Ombro-Cabeça-Ombro”: testando a lucratividade do Padrão Gráfico de Análise Técnica no mercado de ações brasileiro

ID: 4495

Authors: Pedro Gabriel Boainain, Pedro L. Valls Pereira.

Source: Revista Brasileira de Finanças, v. 7, n. 3, p. 265-303, July-September, 2009. 39 page(s).

Keyword: bootstrap , charting , E-GARCH , head and shoulders , investment strategy , Osler and Chang , technical analysis

Document type: Article (Portuguese) Show Abstract

Starting from an adapted version of Osler and Chang (1995) methodology, this article empirically evaluates the profitability of investment strategies based on identification of the Head and Shoulders chart pattern in the Brazilian stock market. For that purpose, several investment strategies conditioned by the identification of the Head and Shoulders pattern (in its basic and inverted forms) by a computer algorithm in daily price series of 30 stocks from January 1994 to January 2009 were defined. Confidence intervals consistent with the null hypothesis that no strategies with positive returns can be based only on historical data were constructed using the Bootstrap sample inference technique in order to test the predictive power of each strategy. More specifically, the mean returns obtained by each strategy when applied to the stock's price series were compared to those obtained by the same strategies when applied to 1.000 artificial price series -- for each stock -- generated in a parametric manner, by an E-GARCH, and in a nonparametric one. Overall, our results show that it is possible to create strategies conditioned by the occurrence of Head and Shoulders, with positive returns, which indicates that these patterns can capture from stock historical prices some signals about their future price trend that makes possible to create profitable strategies. Nevertheless, the same conclusions are not valid for the pattern in its inverted form and when the effects of taxes and transaction costs are considered, depending on their magnitude, neither in its basic form.

Securitização de recebíveis - Análise dos riscos inerentes

ID: 4494

Authors: Fernando Antonio Perrone Pinheiro, José Roberto Ferreira Savoia.

Source: Revista Brasileira de Finanças, v. 7, n. 3, p. 305-326, July-September, 2009. 22 page(s).

Keyword: credit risk , FIDC , receivables , securitization , structured finance

Document type: Article (Portuguese) Show Abstract

Securitization is a modality of structured finance which allows a company to raise funds based on its receivables through capital markets. In Brazil, securitization was developed mostly in the form of mutual funds – the FIDC, which raise money by issuing senior cotes for qualified investors, and subordinated cotes, usually bought by the company that originated the receivables. This paper evaluates the risk and return for both kinds of investors through a stochastic model with two main variables: interest rates and default rates. The model is still sensible to the characteristics of the fund, like the amount of subordinated cotes, the type of asset being securitized; and the amount of receivables in relation to the assets. Regarding the case of senior cotes, the risk of returns under the basic level of interest rates is highly improbable; and in the case of subordinated cotes, the risk of returns under the basic interest rate may be considered still low, due to the high spreads observed in the Brazilian financial market. The simulations indicated that under historically mean interest rate volatility the default rates are the main component of the total risk. Accordingly to the developed analysis of international standards of regulation, the Brazilian Central Bank imposes very strong capital requirements to banks that securitize their assets and purchase the corresponding subordinated cotes.

Securitização de recebíveis no setor bancário brasileiro: um estudo empírico

ID: 4497

Authors: Gustavo Campos Catão, Raimundo Nonato Rodrigues, Jeronymo José Libonati, Umbelina Cravo Teixeira Lagioia.

Source: Revista Brasileira de Finanças, v. 7, n. 3, p. 327-345, July-September, 2009. 19 page(s).

Keyword: banks , risk , securitization

Document type: Article (Portuguese) Show Abstract

This paper aimed to verify whether there is any relation between asset securitization and the leverage, liquidity and credit quality portfolio of Brazilian banks. It was used a sample of 10 out 12 banks, that do have public offers of direct credit investment funds registered on CVM, ranging a period of 30 trimesters between 2001 and 2008. The Wilcoxon non parametric test was applied in order to verify the significance of the variable relations, additionally the Pearson correlation coefficient was used to verify how the asset securitization has influenced these variables. The results revealed that 90% of the banks presented a significant statistic relation between the asset securitization and leverage, liquidity and credit quality. The results also revealed that asset securitization influenced the credit quality of the portfolio of the banks negatively (70%), decreased the leverage index (70%) and increased liquidity (80%).

An alternative model of risk in non-financial companies applied to the Brazilian pulp and paper industry

ID: 4496

Authors: Hsia Hua Sheng, Cristiane Karcher, Paulo Hubert Jr..

Source: Revista Brasileira de Finanças, v. 7, n. 3, p. 347-360, July-September, 2009. 14 page(s).

Keyword: earning at risk , international finance , PCR model , risk management

Document type: Article (English) Show Abstract

Earnings at Risk (EaR) is a financial risk measure that can be applied to non-financial companies, similarly to Cash Flow at Risk (CFaR). It is based on a relation that can be quantified using a multiple linear regression model, where the dependent variable is the change on the company's results and the independent variables are changes in distinct risk factors. The presence of correlation between explanatory factors (multicollinearity) in this kind of model may cause problems when calculating EaR and CFaR. In this paper, we indicate some possible consequences of these problems when calculating EaR, and propose a method to solve it based on Principal Component Analysis technique. To test the model, we choose the Brazilian agriculture-business industry, more specifically the paper and pulp sectors. We will show that, on the absence of significant correlation between variables, the proposed model has equivalent performance to usual multiple linear regression models. We find evidence that when correlation appears, the model here proposed yields more accurate and reliable forecasts.

Evaluating cash benefits as real options for a commodity producer in an emerging market

ID: 4498

Authors: Fernando Antonio Lucena Aiube, Edison Americo Huarsaya Tito.

Source: Revista Brasileira de Finanças, v. 7, n. 3, p. 361-375, July-September, 2009. 15 page(s).

Keyword: cash holdings , commodity producer , emerging markets , real options

Document type: Article (English) Show Abstract

The amount of cash a firm should maintain is an old problem tackled by finance literature. The recent advances in finance, mainly in the derivatives area, has opened the opportunity to revisit this subject. Cossin and Hricko (2004) studied the benefits of cash holdings using the Real Options approach. We follow their ideas extending the problem to a specific commodity producer firm in an emerging economy. We evaluate the benefits considering that raising capital takes time (timing benefit) and also the benefit of avoiding the issue of securities at unfavorable moments (underpricing benefit). We use numerical procedures to solve the problem. Despite the fact that the results are not totally intuitive, we verify that the timing benefit is much more relevant than that of avoiding the underpricing benefit and that firms in emerging economies have greater advantage holding cash than those in developed economies. There is empirical evidence of this last result in the literature.