Editorial

ID: 24264

Authors: L. Nelson Carvalho.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 3-3, September-December, 2006. 1 page(s).

Document type: Editorial (Portuguese)

Value and growth strategies in Bovespa Stocks: an analysis of seven risk indicators

ID: 24265

Authors: Luciano Rostagno, Rodrigo Oliveira Soares, Karina Talamini Costa Soares.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 7-21, September-December, 2006. 15 page(s).

Keyword: Growth and Value Portfolios , Investment Strategies , Risk Analysis , Risk Parameters

Document type: Article (Portuguese) Show Abstract

This paper aims to investigate risk-related aspects of investment strategies involving value and growth stocks at Bovespa. To assemble the portfolios, we used six market indicators capable of identifying value stocks traded in the period from December 1994 to April 2003. The risk analysis was conducted using seven parameters. We also included Lakonishok, Shleifer, and Vishny’s (1994) risk approach, which consists of verifying short-term relative returns involving both strategies. The main results show that value strategies involving the fundamental variable earnings/price present consistent higher returns than growth strategies. Concerning risk analysis, the liquidity index was capable of rationalizing, with statistical signifi cance, the higher returns attained by value strategies. On the other hand, the Sharp index analysis, applied in all parameters used to assemble the portfolios, shows a greater premium per unit of risk for value strategies in comparison with growth strategies.

Extreme losses in risk markets

ID: 24266

Authors: Ronaldo A Arraes, Alane S. Rocha.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 22-34, September-December, 2006. 13 page(s).

Keyword: Distribution of Extreme Values , Extreme Losses , Financial Investment Risk , Value-at-Risk (VaR)

Document type: Article (Portuguese) Show Abstract

This paper aims to infer about the distribution of extremes values of a continuous random variable, represented as the severe daily losses in financial markets investments. The Extreme Value Theory (EVT) plays a fundamental role in modeling rare events associated with great losses and very small probabilities of occurrence. One of the great concerns in risk management is to develop analytic techniques to foresee those exceptions. In that way, the tails of the rare losses’ probability density function (pdf) are of great importance in evaluating that kind of risk, turning EVT into a valuable tool for an accurate evaluation of high loss risks. The stimations of expected maximum losses in fi nancial series are investigated by means of: i) traditional methods, which used all sample data in fitting the random variable pdf; ii) the Extreme Value methodology, particularly the Generalized Extreme Value distribution (GEV), which only used a set of maximum values detected in the sample data in estimating the pdf of expected maximum losses. The findings indicate, firstly, an important underestimation of extreme losses with the traditional methods, mainly in the pdf lower tail limits, and, secondly, that the GEV distribution proved to be more effi cient in forecasting extreme losses in the analyzed series: Ibovespa, Merval, Dow Jones.

Corporate Governance and capital markets’ reaction to financial statement disclosure

ID: 24267

Authors: Paulo Renato Soares Terra, João Batista Nast de Lima.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 35-49, September-December, 2006. 15 page(s).

Keyword: Corporate Governance , Disclosure , Emerging Markets , Event Study , Market Effi ciency

Document type: Article (Portuguese) Show Abstract

This study investigates whether disclosure of companies’ financial statements infl uences the market pricing of their stocks by employing an event study in the Brazilian stock market. Also, it examines whether market reaction to the information contained in the financial statements is different for fi rms which signal good corporate governance practices in comparison with firms in general. The study comprises 3,682 observations of 255 firms over an 8-year period (1995-2002), representing the most liquid stocks listed in the Sao Paulo Stock Exchange (Bovespa). Eight subsamples are segmented from the “Total” sample, with the purpose of investigating investors’ reaction to different types of firms. Empirical results indicate that investors react differently to firms that show some signs of good corporate governance practices. Signifi cant abnormal returns are found for only two sub-samples (firms with timely financial statement disclosure and privately-owned firms) in relation to their peers (firms that delayed disclosure of their fi nancial statements and state-owned firms).

Use of Factor Analysis to identify the main financial performance assessment indicators: an application in insurance companies

ID: 24268

Authors: Francisco Antônio Bezerra, Luiz João Corrar.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 50-62, September-December, 2006. 13 page(s).

Keyword: Analysis of Insurance Companies , Factor Analysis , Financial Indicators

Document type: Article (Portuguese) Show Abstract

Financial indicators have been used for a long time to assess organizational performance. Usually, these indicators are used to compare companies or even units of the same company. However, these indicators tend to be analyzed individually and sequentially. In other words, analyses are based on comparisons of liquidity ratios for example, with a view to finding the best companies on the basis of a mean liquidity standard, followed by a new analysis for profi tability ratios etc. That type of sequential and individualized assessment does not permit the evaluation of some indicators’ infl uence on others, besides depending on subjective criteria to evaluate which are the most relevant indicators. This study intends to propose a methodology that: (1) reduces the subjectivity degree in the choice of the indicators to be used for company assessment and (2) allows for a simultaneous analysis of the behavior of several indicators. In this research, we used one multivariate data analysis technique: Factor Analysis (FA), to create the fi nancial indicator selection criteria

Company value, cost of capital and competitiveness of nations: does location matter?

ID: 24269

Authors: Martim Francisco de Oliveira e Silva, Luiz Felipe Jacques da Motta.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 63-76, September-December, 2006. 14 page(s).

Keyword: Competitiveness of Nations , Cost of Capital , Value of companies

Document type: Article (Portuguese) Show Abstract

The identifi cation of variables associated with companies’ value and cost of capital is an old and still unclear issue in management. This article studies the relation between countries’ environments and their companies’ value and cost of capital. The research was carried out using annual data on the competitiveness of nations produced by the International Institute for Management Development (IMD), as well as company value data by Morgan Stanley Capital International (MSCI). The results show the importance of the nation’s environment in explaining country differences in companies’ value and cost of capital. The relative importance of different factors of competitiveness, according to the countries’ stage of development is also shown.

Ergonomics-based Costing Methodology

ID: 24270

Authors: José Roberto Dourado Mafra.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 77-91, September-December, 2006. 15 page(s).

Keyword: Cost Benefit , Costing , Ergonomic Work Analysis , Shadow Cost

Document type: Article (Portuguese) Show Abstract

This paper discusses an ergonomics-based costing methodology, in which the costing process and the ergonomic work analysis are realized at the same time. A brief bibliographic review is presented. Two questions are pointed out regarding the economic evaluation of ergonomic interventions: one is the costing problem and the other evaluation itself. This costing methodology involves an initial costing estimate of the lack of ergonomics in the study case, followed by the checking of data validity; then, the costs of solutions are calculated and the benefi ts of the new conception are assessed. The methodology is applied to one example, i.e. a case study of an industrial kitchen, where an ergonomic work analysis was performed. In the studied case, the lack of ergonomics is characterized by economic indicators of company effi cacy. This costing methodology shows how performance problems affect the business in economic terms, characterized in health, quality of life and productivity at work. In this sense, we believe this methodology has contributed to practice by accounting for and evaluating costs and assessing the viability of solutions.

Assessment of default risk reduction strategies in revolving credit portfolios of individual borrowers

ID: 24271

Authors: José Odálio dos Santos, Rubens Famá.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 92-103, September-December, 2006. 12 page(s).

Keyword: Consumer Credit , Credit Portfolio , Default Risk

Document type: Article (Portuguese) Show Abstract

In recent years, the main private Brazilian banks have presented a continuous increase in the number of clients in their portfolios and, consequently, successive growth of credit operations and revenues obtained through the high interest rates or spread charged on loans to individual borrowers, such as credit limit and revolving credit. Moreover, the increase in the number of clients also increases the risk of default. Hence, it is essential that banks carry out strategies to implant default prevention actions. In order to contribute to this endeavor, this paper presents three propositions or action strategies, aimed at reducing risks in natural-person revolving credit portfolios: 1. “The Moral Risk Discouraging Agent”, 2. The Determination of the Effi cient Risk-Return Frontier”, and 3. “The Futures Market of Default Ratios”. This paper also proposes an econometric model to assess the impact of nineteen systemic variables related to individual default risk observed in revolving credit. The results obtained through the simulations led to the conclusion that the econometric model and the implementation of each of the three strategies contribute to the inhibition and better monitoring of default in individual revolving credit portfolios.

An institutionalist approach to Accounting

ID: 24272

Authors: Manuel Castelo Branco.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 104-112, September-December, 2006. 9 page(s).

Keyword: Accounting , New institutional economics , Old institutional economics

Document type: Article (Portuguese) Show Abstract

Accounting and its standards contribute to the stable functioning of socioeconomic life. Due to the importance of accounting as a social knowledge creation and communication mechanism, and due to the role of accounting standards in mediating the relations between different economic agents, they should be analyzed with reference to the concept of institution, which permits understanding their characteristic aspects. In this text, an institutionalist approach is used to understand the social role of accounting and the standards regulating its social practice, with a view to using it to understand the conceptual structures of fi nancial information as an accounting regulation instrument.

The polytechnic school: possibly the first formal Accountancy Course in the State of São Paulo

ID: 24273

Authors: Eliseu Martins, Amado Francisco da Silva, Alvaro Ricardino.

Source: Revista Contabilidade & Finanças, v. 17, n. 42, p. 113-122, September-December, 2006. 10 page(s).

Keyword: Accounting Teaching , Álvares Penteado School of Commerce , Horácio Berlinck , Polytechnic School

Document type: Article (Portuguese) Show Abstract

This study demonstrates that, as opposed to what is commonly told, the first accounting teaching institution in São Paulo state was the Polytechnic School, which was founded in 1894 and offered, as part of its Preliminary Course, equivalent to the first year of the engineering course, Mercantile bookkeeping classes, granting to students who graduated in the subjects of this first module the degree of Accountant. On 12/08/1900, Federal Decree no 727 officially recognized the degrees issued by the institutions since the time of its foundation, independently from whether the profession was exercised. The Álvares Penteado School of Commerce Foundation, which was founded in 1902, was the second institution oriented towards accounting teaching in that State. In view of an eight-year gap between the founding of the two institutions, it is beyond doubt that the Polytechnic School is the first accounting teaching institution in São Paulo State. Nevertheless, one name is important at both institutions: Horácio Berlinck.