Notes From the Editor

ID: 4522

Authors: Ricardo Pereira Câmara Leal.

Source: Revista Brasileira de Finanças, v. 8, n. 3, p. 1-1, July-September, 2010. 1 page(s).

Document type: Editorial (English)

Wavelet smoothed empirical copula estimators

ID: 4521

Authors: Pedro Alberto Morettin, Clélia Maria de Castro Toloi, Chang Chiann, José Carlos Simon de Miranda.

Source: Revista Brasileira de Finanças, v. 8, n. 3, p. 263-281, July-September, 2010. 19 page(s).

Keyword: copula , empirical copula , time series , wavelet estimators , wavelets

Document type: Article (English) Show Abstract

We introduce copula estimators based on wavelet smoothing of empirical copulas for the case of time series data. We then study the properties of this estimator via simulations and compare its performance with other estimators. Applications to real data are also given.

Advertising expenditures interaction with business cycles and firm value: an empirical analysis with US companies

ID: 4518

Authors: Graziela Fortunato, Walter Ness, Arilton Teixeira, Paulo Cesar Motta.

Source: Revista Brasileira de Finanças, v. 8, n. 3, p. 283-306, July-September, 2010. 24 page(s).

Keyword: advertising , finance , marketing , optimization , stochastic process

Document type: Article (Portuguese) Show Abstract

This study aims to verify the contribution of advertising expenditures to firm value. To reach this goal, we considered business cycles, which follow a stochastic process and may influence the decision as to the amount to be spent in advertising. With the optimization of these expenditures under the business cycle effect, it is, in fact, possible to analyze whether the results positively contribute to firm value. Data from US companies of the consumer staples sector from 1997 to 2008 were employed to test the proposed model through multiple regression and panel data. The results indicate favorable evidences which confirm the proposed model.

Effects of price stabilization in IPOs onlong-run liquidity

ID: 4517

Authors: Antonio Gledson De Carvalho, Rodrigo Andrade Tolentino.

Source: Revista Brasileira de Finanças, v. 8, n. 3, p. 307-328, July-September, 2010. 22 page(s).

Keyword: aftermarked short covering , IPO , liquidity , price stabilization

Document type: Article (Portuguese) Show Abstract

This article investigates the effect of the aftermarket short covering (ASC) carried out by the underwriter during the price stabilization period on long-term liquidity. For nearly 10% of the IPOs in our sample that were stabilized, the ASC represented more than 40% of the whole trade volume during the first month after the IPO; for 60% of the IPOs, more than 20%; and for only less that 20% of the IPOs, below 10% of the trade. We conjecture that because liquidity is a persistent characteristic of stocks, the effect of the ASC on liquidity may be last longing. In fact, we show that the ASC has a positive effect on liquidity over the 6 months subsequent to the stabilization period. This positive relation holds true even after controlling for many variables considered important to explain liquidity by previous authors, and the instrumentalization of the ASC.

An application of the real options method to the valuation of a license to operate 3G mobile phone service in Brazil

ID: 4520

Authors: Rafael Stille, Celso Funcia Lemme, Luiz Eduardo Teixeira Brandão.

Source: Revista Brasileira de Finanças, v. 8, n. 3, p. 329-349, July-September, 2010. 21 page(s).

Keyword: 3G mobile phone systems , Project Valuation , Real Options , Telcommunications

Document type: Article (Portuguese) Show Abstract

We analyze the contributions of the real option method to the decision making process in the telecommunications industry. We study the case of a public auction purchase of the license to operate a 3G mobile phone system in Brazil. The results indicate that the embedded flexibilities increase the value of the project by 64% in relative to the discounted cash flow method, which could justify the high premiums paid by the winning firms, which are incompatible with the value obtained from traditional methods of analysis. This suggests that the real options approach used, which can be easily replicated and is fairly intuitive, can be a useful tool to support the decision making process of these firms.

Time series properties of quarterly earnings of Brazilian open companies

ID: 4519

Authors: Thiago Rocha Fabris, Newton Carneiro Affonso da Costa Junior.

Source: Revista Brasileira de Finanças, v. 8, n. 3, p. 351-376, July-September, 2010. 26 page(s).

Keyword: ARIMA models , Earnings forecasting , Quarterly earnings

Document type: Article (Portuguese) Show Abstract

This paper analyzes the time series behavior of quarterly earnings (operating and net) of a sample of 109 Brazilian listed companies during the period 1995 to 2008. To perform the study, we used five models of earnings forecasting that were previously estimated in the international literature, here called common-structure models, as well as using the Box end Jenkins (BJ) method to verify the possibility of finding a model appropriate to the conditions of the Brazilian market. Empirical evidence is provided showing that only operating earnings can be predicted. It is not possible to apply BJ method to predict net income, as it presents a random behavior, described by a random walk with drift. Also, it is not possible to identify any common-structure ARIMA model for all companies. A model should be identified individually for each company.