Does Good Corporate Governance Pay off in the Long-Run? Evidence from Stock Market Segment Switches in Brazil

ID: 55571

Authors: Luiz Moura, Lars Norden.

Source: Revista Brasileira de Finanças, v. 17, n. 3, p. 1-25, July-September, 2019. 25 page(s).

Keyword: Corporate governance , Disclosure , Listing segments , Long-run performance

Document type: Article (English) Show Abstract

We investigate the long-run effects of higher standards of corporate governance in the stock market. We consider Brazilian firms that switched from the traditional segment to the Nível 1, Nível 2 or Novo Mercado since 2000. We document that higher standards of governance result in significantly higher abnormal stock returns in the long run, controlling for firm and time fixed effects. The positive impact increased after the Global Financial Crisis, market microstructure has improved, and the market impact is stronger for financially healthy firms. Evidence suggests that committing to higher standards of corporate governance paid off for Brazilian firms in the long run.

Analysis of Risk Measures in Multiobjective Optimization Portfolios with Cardinality Constraint

ID: 55572

Authors: Rodrigo T.N. Cardoso, Bruno Cândido Barroso, Mariana dos Santos de Oliveira, Felipe Dias Paiva.

Source: Revista Brasileira de Finanças, v. 17, n. 3, p. 26-46, July-September, 2019. 21 page(s).

Keyword: Cardinality constraint , Multiobjective optimization , Portfolio optimization , Risk measures

Document type: Article (English)

Fifty-Year History of the Ibovespa

ID: 55573

Authors: F. Henrique Castro, William Eid Junior, Verônica F. Santana, Claudia E. Yoshinaga.

Source: Revista Brasileira de Finanças, v. 17, n. 3, p. 47-65, July-September, 2019. 19 page(s).

Keyword: Brazil , Market index , stock market

Document type: Article (English) Show Abstract

We summarize the fifty-year history (1968-2017) of the Ibovespa, a gross total return index that comprises the most liquid stocks traded on the São Paulo Stock Exchange in Brazil. We provide contextual material on the Brazilian economy during this 50-year period (such as the fight against hyperinflation, the privatization of companies, and economic crises) and its impact on the index composition and performance. We discuss the effect of the change in the index calculation methodology that took place in 2014, when companies with lower market capitalization became less representative in the index. Finally, we discuss the representativeness of each industry on the Ibovespa portfolio.

On the Predictability of High and Low Prices: The Case of Bitcoin

ID: 55574

Authors: Leandro Maciel, Rosangela Ballini.

Source: Revista Brasileira de Finanças, v. 17, n. 3, p. 66-84, July-September, 2019. 19 page(s).

Keyword: Bitcoin , cryptocurrencies , forecasting , fractional cointegration , high and low prices

Document type: Article (English) Show Abstract

Bitcoin has attracted the attention of investors lately due to its significant market capitalization and high volatility. This work considers the modeling and forecasting of daily high and low Bitcoin prices using a fractionally cointegrated vector autoregressive (FCVAR) model. As a flexible framework, FCVAR is able to account for two fundamental patterns of high and low financial prices: their cointegrating relationship and the long memory of their difference (i.e., the range), which is a measure of realized volatility. The analysis comprises the period from January 2012 to February 2018. Empirical findings indicate a significant cointegration relationship between daily high and low Bitcoin prices, which are integrated on an order close to the unity, and the evidence of long memory for the range. Results also indicate that high and low Bitcoin prices are predictable, and the fractionally cointegrated approach appears as a potential forecasting tool for cryptocurrencies market practitioners.

Accessing Financial Reports and Corporate Events with GetDFPData

ID: 55575

Authors: Marcelo S. Perlin, Guilherme Kirch, Daniel Vancin.

Source: Revista Brasileira de Finanças, v. 17, n. 3, p. 85-85, July-September, 2019. 1 page(s).

Keyword: B3 , corporate events , financial reports , GetDFPData , R

Document type: Article (English) Show Abstract

This paper presents and discusses the contributions and usage of GetDFPData, which is an open and free software for accessing corporate data from the Brazilian financial exchange, B3. The distribution and popularization of an open-source algorithm for gathering and managing financial data can improve finance research and practice in two ways. First, it increases the number and quality of research in accounting and corporate finance. Secondly, it provides retail investors with reliable data that may help their allocation decisions. Initially, we analyze the use of this kind of data in a list of recent publications to show the relevance of financial reports and corporate events data for research in the fields of accounting and finance. Finally, we illustrate the use of GetDFPData in large-scale research, an empirical and reproducible example of a corporate finance study.