Performance and persistence of Brazilian hedge funds during the financial crisis

ID: 4553

Authors: Gustavo Passarelli Giroud Joaquim, Marcelo Leite Moura.

Source: Revista Brasileira de Finanças, v. 9, n. 4, p. 465-488, October-December, 2011. 24 page(s).

Keyword: alpha calculation , Brazilian funds , hedge funds , multimarket funds , performance evaluation , persistence

Document type: Article (English) Show Abstract

This study investigates the performance and persistence of the Brazilian hedge fund market using daily data from September 2007 to February 2011, a period marked by what was characterized by many as the world’s worst financial crisis since the great depression of the 1930s. Despite the financial turmoil, the results indicate the existence of a representative group of funds with abnormal returns and evidence of a joint persistence of funds with time frames of one to three months. Individual evaluations of the funds, however, indicate a reduced number of persistent funds.

The effects of price stabilization on short-term returns of IPOs

ID: 4549

Authors: Douglas Beserra Pinheiro, Antonio Gledson De Carvalho.

Source: Revista Brasileira de Finanças, v. 9, n. 4, p. 489-520, October-December, 2011. 32 page(s).

Keyword: aftermarket short covering , IPO , price stabilization

Document type: Article (Portuguese) Show Abstract

During the price stabilization in IPOs the underwriter repurchases part of the issue (ASC for aftermarket short covering). Such activity raises question about its real purpose: to keep price artificially high and deceive investors, or avoid price fluctuation resulting from the initial flow of information and the action of flippers. Our analysis indicates that in the post stabilization period stabilized IPOs underperform non-stabilized ones; the higher the intensity of the stabilization the lower are post-stabilization returns; IPOs for which the overallotment is fully covered in the ASC underperform non-stabilized IPOs in the post-stabilization period; the same does not happen when the ASC is only partial. Therefore, both views of the stabilization process are partially right: in some cases, stabilization is used to avoid price volatility and in other cases to keep price artificially high.

Small Worlds and Board Interlocking in Brazil: a longitudinal study of Corporate Networks, 1997-2007

ID: 4552

Authors: Wesley Mendes-da-Silva.

Source: Revista Brasileira de Finanças, v. 9, n. 4, p. 521-548, October-December, 2011. 28 page(s).

Keyword: Board Interlocking , Company Boards , Social Network Analysis in Finance

Document type: Article (English) Show Abstract

Social Network Analysis (SNA) is an emerging research field in finance, above all in Brazil. This work is pioneering in that it is supported by reference to different areas of knowledge: social network analysis and corporate governance, for dealing with a similarly emerging topic in finance; interlocking boards, the purpose being to check the validity of the small-world model in the Brazilian capital market, and the existence of associations between the positioning of the firm in the network of corporate relationships and its worth. To do so official data relating to more than 400 companies listed in Brazil between 1997 and 2007 were used. The main results obtained suggest that the configuration of the networks of relationships between board members and companies reflects the small-world model. Furthermore, there seems to be a significant relationship between the firm’s centrality and its worth, described according to an “inverted U” curve, which suggests the existence of optimum values of social prominence in the corporate network.

Reserves and valuation using multiples for oil and gas companies

ID: 4548

Authors: Eduardo Pontual Ribeiro, Luiz Teles Menezes Neto, Rosemarie Bröker Bone.

Source: Revista Brasileira de Finanças, v. 9, n. 4, p. 549-569, October-December, 2011. 21 page(s).

Keyword: Market Value , Multiples Valuation , Oil and Gas Reserves

Document type: Article (Portuguese) Show Abstract

The aim of the article is to evaluate the effect of oil and gas reserve increases on firm market value. The estimates are based on Olson’s market value prediction model – that nests the multiples P/E (price-earnings), P/B (price-book value) and in the oil industry, the P/R (price-reserves) ratio. Reserves are an important characteristic of these firms, but they are not part of equity under usual accounting practices. Using data from firms listed on NYMEX, the results suggest that reserves are positively correlated with firm equity market price. Yet, reserve increases without profit or equity expansions will be penalized by the market, if the reserve increases do not boost profits or the book value of the firm. The evaluation using price multiples appears inefficient, as earnings (or equity) and price proportionality is rejected in our empirical model.

Returns predictability and stock market efficiency in Brazil

ID: 4551

Authors: Regis Augusto Ely.

Source: Revista Brasileira de Finanças, v. 9, n. 4, p. 571-584, October-December, 2011. 14 page(s).

Keyword: bootstrap , efficient markets , predictability , random walk , variance ratio

Document type: Article (English) Show Abstract

This paper searches for evidence of predictability in the Brazilian stock market using portfolios grouped by sector and firm size with data from 1999 to 2008. I conduct an automatic variance ratio test using wild bootstrap. This methodology eliminates the arbitrary choice of the holding period as well as improves small sample properties. The results suggest (i) stocks from the industrial sector are highly predictable, (ii) stocks from small firms tend to be more predictable than the ones from large firms, (iii) the Brazilian stock market, measured by the Ibovespa index from 1986 to 2008, shows an increase of efficiency since 1994.

The supply of Trade Credit by Brazilian publicly traded firms

ID: 4550

Authors: Rafael Felipe Schiozer, João Alberto Peres Brando.

Source: Revista Brasileira de Finanças, v. 9, n. 4, p. 585-612, October-December, 2011. 28 page(s).

Keyword: crédito comercial , endividamento de curto prazo , trade credit

Document type: Article (Portuguese) Show Abstract

This paper investigates the determinants of trade credit supply by Brazilian publicly traded companies between the years of 2005 and 2008. International literature (both theoretical and empirical) documents that the main determinants of trade credit supply are the size of the firm and the size of its debt. Both indicate that the availability of resources to the firm is an important factor for the supply of trade credit. In addition, the literature confirms strategic uses of trade credit such as those for price discrimination purposes. The results obtained using a sample of 157 Brazilian companies do not support that size and indebtedness are relevant determinants for trade credit supply, but they confirm the supply of trade credit as a strategic tool for the firms. Additionally we observed a significant decrease in trade credit supply in 2008, the year in which a severe international financial crisis took place.

List of Reviewers

ID: 4554

Authors: Revista Brasileira de Finanças - RBFin.

Source: Revista Brasileira de Finanças, v. 9, n. 4, p. 613-614, October-December, 2011. 2 page(s).

Document type: Other (English)