Editorial

ID: 38922

Authors: Maria de Fátima Araújo Frazão, Raimundo Nonato Lima Filho.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 1-5, September-December, 2015. 5 page(s).

Document type: Editorial (Portuguese)

Theoretical Essay about the Relation between Financial Leverage and Investment in Brazilian Companies

ID: 38925

Authors: Aline Midori Kuroda, Andrei Aparecido de Albuquerque.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 6-25, September-December, 2015. 20 page(s).

Keyword: Capital Structure , Financial Leverage , Investments

Document type: Article (English) Show Abstract

The quest for understanding the relationship between the capital structure and investment decisions resulted in many different authors contribution. In the Brazilian economic scenario, an empirical study performed by Albuquerque and Matias (2013) identified the existence of a strong negative relation between finance leverage and investment in Brazilian public companies. The purpose of this study was to investigate whether the theory of finance supports these empirical findings or if there is a discrepancy between the practical behavior and the theoretical rules. To this end, it was performed a bibliographic research of scientific works related with this theme, among them Carneiro, Salles and Wu (2006), Hadlock and Pierce (2010) and Dang (2011). The methodology of this research can be classified as exploratory, according to its purpose, qualitative in terms of approach and bibliographical considering its technical procedures. All the developed analysis led to the formulation of six theoretical propositions that support the relation between financial leverage and investment. The negative and positive effects of debt were considered according to growth opportunities, the supply of credit in the Brazilian context, the raising of risk and cost of capital and the allocation of resources obtained through external funding. Briefly, it can be concluded that these six theoretical propositions could serve as the fundamentals of the relation in question, two being based on the under-investment and overinvestment theories and the other four, on the Brazilian financial market aspects. All of them must be considered in the decision making of a financial manager, especially the related with the financing options.

Performance of Traditional Investment Funds and ETFs Linked to Sustainability and Corporate Governance

ID: 38927

Authors: Elisângela de Magalhães Soares, Bruno Milani.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 26-42, September-December, 2015. 17 page(s).

Keyword: Investment Funds , Performance , Sustainability Indexes

Document type: Article (English) Show Abstract

The objective of this study is to compare the performance of traditional investment funds and Exchange traded funds (ETFs), which benchmarks are Ibovespa, IBrX and Sustainability Indexes, as well as free funds using daily frequency data covering the period from 20 June 2012 to 31 October 2013. The survey is descriptive with a quantitative approach. Analyses were performed using the Capital Asset Pricing Model (CAPM) and the Sharpe Ratio (1966). In order to obtain an index of ETFs linked to sustainability, the nomenclature and prospectus of each ETF were analyzed to see which ones were linked to this sector. Then the average return of these funds was calculated, weighted by its Net Asset Value, generating a series of the same period and frequency of others. The results show that the funds linked to sustainability and corporate governance indices are one of the best investment options, surpassed only by free funds.

Impact of Dividend Policy in Market Value of Financial Institutions in Brazil

ID: 38932

Authors: Alexandre Oliveira Silva, José Alves Dantas.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 43-63, September-December, 2015. 21 page(s).

Keyword: BMF&Bovespa , Dividend Policy , Financial Institutions , Market Value , Payout

Document type: Article (Portuguese) Show Abstract

This study seeks to address the lack of studies about the impact on capital market of the dividend policy practiced by financial institutions in Brazil. Aims to identify whether there is a relationship between the dividend policy adopted by the financial institutions listed on the BM&FBovespa and its market value. Using data from 25 financial institutions, for the period between the first quarter of 2000 and the second quarter of 2014 was estimated regression with panel data to test that theory applies more appropriately to Brazilian financial institutions - the irrelevance of dividends theory, proposed by Miller and Modigliani (1961), or the relevance of dividends theory, defended, among others, by Gordon (1959). Considering an empirical-analytic approach, the test results confirmed the hypothesis irrelevance of dividend policy in the market value of financial institutions. This study also evidence that smaller banks found, less leveraged, more efficient, under foreign and private capital have greater control relationship between the market value and the book value.

Option Pricing Using the Implied Trinomial Tree Model: An Application in Vale and Petrobrás

ID: 38933

Authors: Paulo Roberto Lima Dias Filho, Luciana de Souza Lima, Antonio Carlos Figueiredo Pinto, Marcelo Cabus Klotzle, Vinicius Mothé Maia.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 64-82, September-December, 2015. 19 page(s).

Keyword: Implied Trinomial Tree , Implied Volatility , Option Pricing

Document type: Article (Portuguese) Show Abstract

Within the theme of the use of implied volatility rather than the historical volatility, the present study sought to compare the performance of the Black-Scholes model, widely studied in Brazil and around the world, with the model of Implied Trinomial Tree relatively unexploited by national surveys. Because of the implied trinomial tree provides greater freedom of choice of the underlying prices of the nodes of the tree in the spaces of state and leaves only the transition probability be restricted by market prices, it is expected a more accurate valuation of the option price. In this vein, it sought to analyze the advantages and disadvantages of the model and its application to the Brazilian stock market. Because it is a model little studied in Brazil, this empirical research was classified as exploratory and relied on a survey bibliography to situate the reader in the state of the art that is the studied subject. The results suggest that to obtain theoretical prices close to market values, an accurate calculation of the "smile" in volatility is required.

Predictable and Price Volatility Risk in the Brazilian Market Integration of Shrimp

ID: 38935

Authors: Israel José dos Santos Felipe, Anderson Luiz Rezende Mól, Bernardo Borba de Andrade.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 83-107, September-December, 2015. 25 page(s).

Keyword: Integration pricing , Previsibility , Shrimp , Volatility

Document type: Article (English) Show Abstract

The present paper has the purpose of investigate the dynamics of the volatility structure in the shrimp prices in the Brazilian fish market. Therefore, a description of the initial aspects of the shrimp price series was made. From this information, statistics tests were made and selected univariate models to be price predictors. It´s presented as an exploratory research of applied nature with quantitative approach. The database was collected through direct contact with the Society of General Warehouses of São Paulo (CEAGESP).The results showed that the great variability in the active price is directly related with the gain and loss of the market agents. The price series presents a strong seasonal and biannual effect. The average structure of price of shrimp in the last 12 years was R$ 11.58 and external factors besides the production and marketing (U.S. antidumping, floods and pathologies) strongly affected the prices. Among the tested models for predicting prices of shrimp, four were selected, which through the prediction methodologies of "One Step Ahead" with 12 periods horizon , proved to be statistically more robust. We concluded that the dynamic pricing of commodity shrimp is strongly influenced by external productive factors and that these phenomena cause seasonal effects in the prices. Through statistical modeling is possible to minimize the risk and uncertainty embedded in the fish market, thus, the sales and marketing strategies for the Brazilian shrimp can be consolidated and widespread.

Management Earnings Forecast Disclosure: A Study on the Relationship between EBITDA Forecast and Financial Performance

ID: 38936

Authors: André Folster, Raphael Vinicius Weigert Camargo, Ernesto Fernando Rodrigues Vicente.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 108-124, September-December, 2015. 17 page(s).

Keyword: EBITDA , Financial indicators , Forecast , Guidance

Document type: Article (English) Show Abstract

The creation of overly optimistic information can compromise the decision-making process on part of shareholders and other stakeholders. Considering that this type of information can create problems and additional costs stemming from erroneous choices made by users, the present work sought to identify financial indicators associated with the disclosure of Earnings Before Interest, Tax, Depreciation and Amortization (EBITDA) estimates in Management Earnings Forecasts (Guidance) reporting. The sample examined was composed of 42 companies and analyses were carried out using logistic and multiple linear regression techniques. The results showed that larger (as per total assets) and more-leveraged companies show a higher level of disclosure. Companies with higher return on equity (ROE) and Current Liquidity ratios, as well as lower Net Margins, present less precise earnings forecast. The companies providing more timely forecasts are also the ones that show higher ROE and Current Liquidity ratios, as well as lower Net Margins. These results indicate that users must take caution when basing decisions on such information, given that the possibility exists that companies bearing these characteristics are more likely to better-timed albeit less-accurate disclosure.

Performance and Characteristics of Mutual Funds: Evidence from the Portuguese Market

ID: 38938

Authors: Júlio Lobão, Sofia Cruz Gomes.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 125-148, September-December, 2015. 24 page(s).

Keyword: fund characteristics , mutual funds , panel data , Portugal , risk-adjusted performance

Document type: Article (English) Show Abstract

In this paper we aim to study the relation between fund performance and fund attributes in the Portuguese market. The sample includes 124 equity funds, bond funds and money market funds that traded in the 2004-2011 period. A comprehensive set of fund-specific characteristics, never used before in conjunction in the literature, was considered. The methodology which was adopted had two distinct phases. Firstly, we compared the returns of each category of funds with the appropriate reference markets. Secondly, the fund performance, measured by the Jensen’s alpha, was used in a multi-factor model with panel data in which the independent variables were the fund attributes. The results show that Portuguese funds were, in general, not able to beat the benchmarks which is consistent with the existence of efficient financial markets. Only the fixed income mutual funds performed well. Moreover, it is possible to conclude that, for each category of mutual funds, their characteristics are useful to the investor in the moment of choosing the best funds. For example, in the case of funds that invest in Portuguese stocks, the best performance occurs among older and larger funds, funds with higher costs, funds with good past performance and funds whose trading activity is low.

The Postulate Systems of Auditing in the Evolution of the American Thought: A Historical Interpretative Approach

ID: 38939

Authors: Bruno Almeida.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 149-170, September-December, 2015. 22 page(s).

Keyword: Accountability , Auditing , Conceptual structure , Postulate system

Document type: Article (English) Show Abstract

From all the authors who most distinguished themselves in the development of the task of providing auditing with an adequate theoretical framework, Mautz and Sharaf (1961) and Tom Lee (1993) are considered to be the most important. The purpose of this study is to examine, the evolution of the American thought. To do so, we have used an appropriate methodology, based on a normative, interpretive and empirical basis, where we include the formulation of hypotheses which, duly contrasted, allow us to conclude that the postulate systems proposed follow a logic evolution and have a strong theoretical consistence and reflect the practices existing in the USA

Intrinsic Motivation vs. Extrinsic Motivation: The Application of WPI Scale in the Context of Portuguese Public Sector

ID: 38941

Authors: Miguel Lira, Victor Paulo Gomes da Silva.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 171-195, September-December, 2015. 25 page(s).

Keyword: Extrinsic motivation , Intrinsic motivation , Performance appraisal , Portugal , Public sector

Document type: Article (Portuguese) Show Abstract

Much of the literature focusing on the construct of „motivation‟ in the public sector feeds the idea that organisational peculiarities of this sector and the individual circumstances of its employees translate into a prevalence of intrinsic motivation and, as a consequence, of the value of intrinsic rewards. However, this assumption has never been scrutinised within the Portuguese public sector; hence, the central goal of this work is, precisely, to offer a contribution to overcome this gap, that is, to provide an answer to the following question: „in general terms, what is the predominant type of motivation among Portuguese civil servants: intrinsic motivation or extrinsic motivation?‟. So as to achieve this goal, we have carried out an empirical study based on the scale „The work preference inventory‟, developed by Amabile, Hill, Hennessey and Tighe (1994). This study involved the survey, through a questionnaire, applied to the non-teaching staff of three public higher education institutions. Although the study, by its nature, is not be generalizable to all Portuguese civil servants, it clearly indicates the prevalence, among these, of intrinsic motivation and, as a consequence, of the value of intrinsic rewards. Yet, not negligible levels of appreciation of extrinsic rewards should be emphasised. This indication has led to a goal of a peripheral nature for the present study: to alert for the possible inadequacy of the performance appraisal system of most Portuguese civil servants, given that this system, in exchange for the performance, only offers extrinsic rewards.

Relatório Anual de Gestão

ID: 38923

Authors: Revista de Gestão, Finanças e Contabilidade.

Source: Revista de Gestão, Finanças e Contabilidade, v. 5, n. 4, p. 196-199, September-December, 2015. 4 page(s).

Document type: Other (Portuguese)