Editorial

ID: 37768

Authors: Maria de Fátima Araújo Frazão.

Source: Revista de Gestão, Finanças e Contabilidade, v. 4, n. 1, p. 1-3, January-April, 2014. 3 page(s).

Document type: Editorial (Portuguese)

Volatility of stock index mid-large cap and small cap: an investigation from arima/garch models

ID: 37769

Authors: Anderson Luiz Rezende Mól, Israel José dos Santos Felipe, Franklin Medeiros Galvão Júnior.

Source: Revista de Gestão, Finanças e Contabilidade, v. 4, n. 1, p. 4-29, January-April, 2014. 26 page(s).

Keyword: ARCH , GARCH , Stock indices , Volatility

Document type: Article (Portuguese) Show Abstract

The aim of this study is to investigate the existence of persistence and asymmetry in the volatility structure of indexes returns of Mid-Large Cap and Small Cap through models of time series of symmetric and asymmetric GARCH class with Gaussian probability distribution, Student's t and GED distributions. The underlying purpose of the study is that the disclosure of the structure of propagating the volatility of returns of these two theoretical portfolios can provide important elements for proper construction of optimal hedging strategies and risk management. As main results, there is evidence of greater persistence and asymmetry in volatility Small Cap Series The quality criteria used in setting indicated, for both series, one TARCH model with Student's t distribution. The empirical results suggest that the implementation of policies that encourage the use of hedging instruments for equity portfolios should incorporate pronounced persistence of shocks in the volatility. Still, models with t-student distribution obtained better adjustments for the series. The data used represent daily rates between the years 2005 and 2011.

Impact of macroeconomic factors in the issue of shares in the exchange

ID: 37770

Authors: Jailson da Conceição Teixeira de Oliveira, Bruno Ferreira Frascaroli.

Source: Revista de Gestão, Finanças e Contabilidade, v. 4, n. 1, p. 30-51, January-April, 2014. 22 page(s).

Keyword: Initial public offering , Variance decomposition , Vector auto regressive

Document type: Article (Portuguese) Show Abstract

This study intended to analyze which are the relations between the emission of public offers of shares and the following variables: interest rate, industrial production, inflation rate, and the return of assets of the brazilian capital market. The series that analyzed in this paper were obtained from IPEA and BM&FBOVESPA, in a monthly frequency, from january 1998 to january 2012. Given the fact that the all the variables were found stationary it was adopted the Vector Autorregression model. It was recurred to the techniques of Variance Decomposition and Impulse Response Functions to verify the significance of shocks on these variables on the emission of pubic offer of shares and it was found that most of the deviations caused on the variance are explained by variations on this variable itself, with a participation higher then 90%, along ten months. After it, there are the variables Selic and IPCA. In Parallel it was applied the Granger Causality test, that indicated that all variables affect the emission of public offers, except Ibovespa.

Adhesion or migration to differentiated levels of corporate governance and shareholding evaluation

ID: 37771

Authors: Ricardo Adriano Antonelli, Marcelo Chaves Jesus, Ademir Clemente, Ana Paula Mussi Szabo Cherobim, Luciano Marcio Scherer.

Source: Revista de Gestão, Finanças e Contabilidade, v. 4, n. 1, p. 52-76, January-April, 2014. 25 page(s).

Keyword: Corporate Governance , Event Studies , Statistical Model of Market

Document type: Article (Portuguese) Show Abstract

This study aims to determine the window of event which best explains the relationship between the adhesion or migration to the Differentiated Levels of Corporative Governance ( DLCG) of the BM&FBovespa and the valuation of company stocks. For that, the event study method was adopted, with the adoption of and the Statistical Model of Market was chosen adopted to determine the optimal size of the event window for the relationship between the adhesion or migration to the DLSG and to stock valuation. Windows of different sizes were set within the range of 70 trading sessions around the event. In 49.3% of the cases, there was at least one window in which the effect of the event was significant. The results line up to previous studies by indicating abnormal returns, though they are not enough to determine the window which effectively represents the relationship between the adhesion or migration to DLCG and the stock valuation.

Different levels of corporate governance and disclosure timeliness: an exploratory study in the brazilian market

ID: 37772

Authors: Aziz Xavier Beiruth, Talles Vianna Brugni, Luiz Paulo Fávero, Antônio Oscar Santos Góes.

Source: Revista de Gestão, Finanças e Contabilidade, v. 4, n. 1, p. 77-89, January-April, 2014. 13 page(s).

Keyword: Corporate Governance , Correspondence Analysis , finance

Document type: Article (Portuguese) Show Abstract

This paper investigates whether there is association between the level of corporate governance, measured by special segments of the São Paulo Stock Exchange (BOVESPA) and the opportunity in the disclosure of financial reports to the market. To achieve the proposed objective we have collected data on 170 firms of BMF&Bovespa related to disclosure dates of annual statements of companies listed in differentiated corporate governance levels for the years 2012 and 2013 and associated with the respective corporate governance levels via correspondence analysis (ANACOR). Evidence points to a greater association between the companies of the Novo Mercado and disclosure of financial statements on dates closer to the end of the period required for disclosure suggesting a replacement relationship between the level of corporate governance and disclosure of firms.

The chinese stock exchange crisis: an analysis of the effects on international stock markets

ID: 37773

Authors: Antônio André Cunha Callado, Aldo Leonardo Cunha Callado, Carla Renata Silva Leitão.

Source: Revista de Gestão, Finanças e Contabilidade, v. 4, n. 1, p. 90-106, January-April, 2014. 17 page(s).

Keyword: Event study , Market efficiency , Stock markets

Document type: Article (Portuguese) Show Abstract

Event studies have been widely used to investigate the Efficient Market Hypothesis over the last two decades. The objective of this article is to investigate the international stock market reaction of Chinese stock market crisis in February of 2007. To accomplish this study, twelve indexes were investigated (Germany, Argentina, Australia, Brazil, United States of America, France, Hong Kong, India, Indonesia, England, Japan and Mexico). The methodological procedures performed in this study considered both the time window and the event study as well as to investigate possible abnormal accumulated returns. The results obtained demonstrated reactions of some of the stock markets considered to the Chinese crisis. The fall observed in the Sharpe performance index corroborate the significance of the consequences of the crisis. These results obtained point out that that the relative importance of the Chinese stock market in the international scenario must not be underestimated from now on.

Self-initiated foreign work experience: french executives in Brasil

ID: 37774

Authors: Gilberto Sarfati, Marília Mian Ferlim.

Source: Revista de Gestão, Finanças e Contabilidade, v. 4, n. 1, p. 107-122, January-April, 2014. 16 page(s).

Keyword: Characteristics and Motivation, Labor Market , Self-initiated foreign work experience

Document type: Article (Portuguese) Show Abstract

Traditionally, international work experience was a result of expatriation by the company. However, many executives are looking for jobs outside their countries, selfmotivated. In this scenario, there are individuals with self-initiated foreign work experience (SFE), which are the object of the present study. This article sought to explore why French executives are seeking SFEs at Brazil. This article explores a qualitative methodology through semi-structured interviews until saturation was reached, with 7 interviews with Frenchs in SFE in Brazil. Results allowed to cluster the EIAs interviewed in the motivations` categories in the literature. It was also possible to understand the influence of family in decision-making, the relevance of cultural proximity and the attractiveness of the Brazilian economy. Interviewed were attracted to Brazil mainly due to economic opportunities and sympathy towards Brazilian Culture. This paper contributes to the literature and practice of managing people in multicultural environments by identifying factors that attract qualified executives for the Brazilian labor market and by studying a subject almost not explored in national literature.

Evaluation of intangible assets: alternative models for determining the value of patents

ID: 37775

Authors: Hudson Fernandes Amaral, Robert Aldo Iquiapaza, Laise Ferraz Correia, Gustavo Henrique de Oliveira Amaral, Marcos Villela Vieira.

Source: Revista de Gestão, Finanças e Contabilidade, v. 4, n. 1, p. 123-143, January-April, 2014. 21 page(s).

Keyword: Discounted Cash flow , Intangible evaluation methods , Patents , Real options

Document type: Article (Portuguese) Show Abstract

In this paper, we analyze models to evaluate the intangible assets - more precisely, patents - in two approaches: one traditional, which encompasses the discounted cash flow model; and another heterodox, namely the real options theory. First, we discuss the relevance of the evaluation process and investment analysis in innovation as well as the relevance of the economic and financial evaluation in Brazil and worldwide. In this perspective, the investment in innovation starts a cycle that works as a strong driver of the nation’s wealth. The analysis of the results found is presented in the case study of a technology transfer at a Higher Education Institution – HEI. We consider that the technology is protected (by a patent) in the first simulation and that has no protection (without a patent) in the second simulation. To carry out this procedure, we discuss the pricing of intangible assets and the application of those methods in each circumstance proposed in the case study. The results show a significant superiority of the model with patent compared to the model without patent, even though these results also reveal the need of additional researches to improve evaluation of patents through the real options theory. Finally, the analyses suggest that the process to get the patent of a technology developed by the HEI can increases its transfer value. The models can also be used as a parameter in defining the value of technology transfer in the HEI.

Classification of the municipalities mineiros in relation to the composition of your revenue

ID: 37776

Authors: Wellington de Oliveira Massardi, Luiz Antônio Abrantes.

Source: Revista de Gestão, Finanças e Contabilidade, v. 4, n. 1, p. 144-161, January-April, 2014. 18 page(s).

Keyword: Cluster Analysis , Makeup , Minas Gerais , Municipalities , Revenue

Document type: Article (Portuguese) Show Abstract

Since the promulgation of the 1988 Constitution, municipalities have benefited from the fiscal decentralization process, either by increasing the revenue available because of intergovernmental transfers or the expansion of tax powers. However, the increase in disposable income came with responsibilities related to public services that were previously funded by the Union this scenario, the balance between own revenue and intergovernmental transfers constitutes a challenge within the context of fiscal federalism. Within the federation, the Brazilian state of Minas Gerais is presented more economic and social heterogeneity, moreover, is also the state with the largest number of municipalities, thus, the present study aims to classify municipalities miners in relation the composition of its revenues. To achieve this goal, we used a cluster analysis method for k-means, being established four groups of different municipalities in relation to the composition of the total collection, taking into account the level of exploitation of own tax base and dependence on transfers intergovernmental.