Using hierarchical risk parity in the Brazilian market: An out-of-sample analysis

ID: 73888

Authors: Felipe Reis, Anderson Sobreira, Carlos Trucíos, Boris Asrilhant.

Source: Revista Brasileira de Finanças, v. 21, n. 4, p. 0-0, October-December, 2023. 1 page(s).

Keyword: Asset allocation; Diversification; Machine Learning; Markowitz; Portfolio selection

Document type: Article (English) Show Abstract

Abstract Portfolio allocation is an important tool for portfolio managers and investors interested in diversification as well as improvements in out-of-sample portfolio perfor- mance. Recently, new portfolio allocation strategies based on unsupervised machine learning have been proposed in the literature, with hierarchical risk parity being one of the most popular. This article uses assets from the Brazilian financial market to per- form an extensive out-of-sample comparison of hierarchical risk parity against widely- known, traditional portfolio allocation techniques. The results suggest that, in general, hierarchical risk parity does not report the best performance but, in some performance measures, performs equally well to other approaches. Overall, hierarchical risk parity outperforms the market index.

The importance of expectations in determining sovereign spreads

ID: 73887

Authors: Natalia Poiatti.

Source: Revista Brasileira de Finanças, v. 21, n. 4, p. 0-0, October-December, 2023. 1 page(s).

Keyword: Debt crisis , Expectations , Macroeconomic fundamentals , Sovereign spreads , Structural breaks

Document type: Article (English) Show Abstract

Abstract This paper investigates how changes in expectations regarding the ability of the European Monetary Union to address the debt crisis have asymmetrically impacted the cost of sovereign borrowing in central and peripheral European countries. It shows that most of the variations in sovereign spreads can be explained by fundamentals in a model that allows for structural breaks. We test for both the presence and the time of structural breaks, deriving their asymptotic distribution and confidence intervals. The two estimated breakpoints are: the second quarter of 2010, a period when financial mar- kets lacked confidence in a resolution for the crisis; and the third quarter of 2010, when financial markets regained confidence following Mario Draghi’s ‘whatever it takes’ an- nouncement. Market fears, measured by the degree of international risk aversion, be- came more important to price sovereign debt only for peripheral economies during the crisis

Gerenciamento de resultados em períodos de eleições presidenciais no Brasil

ID: 73886

Authors: Marcus Vinicius R. de Souza, Talles Vianna Brugni, Juliana Costa Ribeiro Prates, Silvania Neris Nossa, Aziz Xavier Beiruth, Danilo Soares Monte-Mor.

Source: Revista Brasileira de Finanças, v. 21, n. 4, p. 0-0, October-December, 2023. 1 page(s).

Keyword: accruals discricionários , Conexões políticas , Decisões ope- racionais , Eleições presidenciais , Gerenciamento de resultados

Document type: Article (Portuguese)

Connectedness in the Brazilian yield curve

ID: 73885

Authors: Adonias Evaristo da Costa Filho.

Source: Revista Brasileira de Finanças, v. 21, n. 4, p. 0-0, October-December, 2023. 1 page(s).

Keyword: Connectedness , Monetary policy , Shocks , Yield curve

Document type: Article (English) Show Abstract

Abstract This paper uses the connectedness approach to understand yield curve dynam- ics in Brazil. I find that the medium part of the curve is mainly a transmitter of shocks, while the short- and long-end are both net receivers of shocks. Medium-term expecta- tions about the Brazilian economy therefore play a key role in yield curve dynamics in Brazil

A decade of corporate governance in Brazil: 2010-2019

ID: 73884

Authors: Bernard Black, Antonio Gledson De Carvalho, Humberto Gallucci Netto.

Source: Revista Brasileira de Finanças, v. 21, n. 4, p. 0-0, October-December, 2023. 1 page(s).

Keyword: Boards of directors , Brazil , Corporate governance , Disclosure , Minority shareholders

Document type: Article (English) Show Abstract

Abstract We take advantage of the Brazilian mandatory corporate governance (CG) reporting system to build an overall Brazil Corporate Governance Index (BCGI) and subindices (CGIs), and track changes in firms’ scores over the 10-year period from 2010-2019. We show that overall CG level improved significantly between 2010 and 2019, with most of the improvement over the first part of this period. The improvement has two sources: an increase in the proportion of high-standard listings (Novo Mer- cado and Level 2, NML2) versus low-standard listings (Level 1 and regular, L1R), and within-firm improvement in CG practices. In the first half of the sample period, both NML2 and L1R firms improved CG practices considerably. Overall improvement in the second half of the sample period reflects an increasing proportion of NML2 firms, plus gradual improvement in L1R CG levels; with nearly constant NML2 levels. Improve- ments were stronger for Board Procedure and Disclosure subindices. Firms in both list- ings improved their CG. Overall improvement was stronger in NML2 than in L1R, but was concentrated in the period from 2010-2015