Made available in DSpace on 2014-06-12T17:17:09Z (GMT). No. of bitstreams: 2 arquivo3507_1.pdf: 2183090 bytes, checksum: ab34bbacc954797b705aed5d6f4ceefe (MD5) license.txt: 1748 bytes, checksum: 8a4605be74aa9ea9d79846c1fba20a33 (MD5) Previous issue date: 2008 / As empresas do setor elétrico brasileiro têm passado por diversas transformações desde o Plano Real, no Governo de Fernando Henrique Cardoso, incluindo privatizações, racionamento de energia elétrica e criação de uma agência reguladora para o setor a Agência Nacional de Energia Elétrica (ANEEL). Com o Governo atual de Luís Inácio Lula da Silva, foi proposto um Novo Modelo para o setor elétrico, para o qual empresas e investidores ainda estão na expectativa de consolidação. Esta pesquisa consiste na análise do comportamento do WACC (Weighted Average Cost of Capital) e do valor econômico das empresas do setor elétrico brasileiro, empregando o método do CAPM (Capital Asset Pricing Model) para calcular o custo de capital próprio, aplicando-o para o mercado brasileiro com base nos índices Bovespa e taxa Selic, considerando os dados do período de Junho de 1994 a Dezembro de 2006. As constatações foram: a) apesar de um coeficiente de correlação (r²) menor que o referido na literatura entre valor econômico e endividamento das empresas pesquisadas (distribuídas entre geração, distribuição e transmissão), o valor econômico aumentou com a alavancagem financeira; b) comparando a evolução do WACC à do valor econômico, houve aumento do valor econômico das empresas ao longo do período; c) o efeito da alavancagem financeira no LAJIR (Lucro Antes dos Juros e do Imposto de Renda) das empresas resultou em aumento no lucro da empresa; d) as empresas privatizadas apresentam um retorno capital sobre o patrimônio líquido adicionado às dívidas maior que o das empresas públicas

Os modelos autoregressivos simétricos são modelos de regressão em que os erros são correlacionados -- AR(1) -- e pertencem à classe de distribuições simétricas. O objetivo deste trabalho é discutir métodos de diagnóstico de influência para esses modelos. Para ilustrar a metodologia, são apresentados exemplos do modelo de precificação de ativos (CAPM). / The symmetric autoregressive models are regression models in which the errors are correlated and belong to the class of symmetrical distributions. The aim of this work is to discuss influence diagnostic methods for those models. To illustrate the methodology, examples of Capital Asset Pricing Models (CAPM) are presented.

Submitted by isabela.moljf@hotmail.com (isabela.moljf@hotmail.com) on 2017-06-29T15:01:44Z No. of bitstreams: 1 carloshenriquediascordeirodecastro.pdf: 1073984 bytes, checksum: 1e54f71cff86219f84d0f0d21dc3d484 (MD5) / Rejected by Adriana Oliveira (adriana.oliveira@ufjf.edu.br), reason: Conferir cnpq. Economia não é ciências exatas e da terra on 2017-08-08T12:12:12Z (GMT) / Submitted by isabela.moljf@hotmail.com (isabela.moljf@hotmail.com) on 2017-08-08T12:17:17Z No. of bitstreams: 1 carloshenriquediascordeirodecastro.pdf: 1073984 bytes, checksum: 1e54f71cff86219f84d0f0d21dc3d484 (MD5) / Approved for entry into archive by Adriana Oliveira (adriana.oliveira@ufjf.edu.br) on 2017-08-08T17:59:19Z (GMT) No. of bitstreams: 1 carloshenriquediascordeirodecastro.pdf: 1073984 bytes, checksum: 1e54f71cff86219f84d0f0d21dc3d484 (MD5) / Made available in DSpace on 2017-08-08T17:59:19Z (GMT). No. of bitstreams: 1 carloshenriquediascordeirodecastro.pdf: 1073984 bytes, checksum: 1e54f71cff86219f84d0f0d21dc3d484 (MD5) Previous issue date: 2014-01-15 / Este trabalho tem o objetivo de verificar a eficiência do tradicional modelo de análise de desempenho e alocação de ativos baseado na estrutura média e variância de Sharpe e Treynor, conhecido como Capital Asset Pricing Model (CAPM), em contraposição ao modelo alternativo Ômega Capital Asset Pricing Model (OCAPM), um modelo baseado na medida Ômega com premissas menos restritivas, no qual não são exigidas função utilidade e distribuições de retornos dos ativos específicas. Além disso, todos os momentos das distribuições de retornos são considerados de forma indireta, ou seja, não há necessidade de serem calculados e observados pelos investidores. No decorrer do estudo foi realizada a otimização das carteiras de dos ativos que compõem os índices Dow Jones e Ibovespa, seguindo a metodologia de cada modelo, de modo a encontrar a carteira de mercado ótima sob cada abordagem. A partir dessa otimização, e seguindo a função objetivo do CAPM e OCAPM, foi verificado qual modelo melhor explica os retornos cross-sectional das ações componentes dos dois índices para o período de 1999 até 2016. Para tal, foram utilizados os testes GRS (dentro da amostra) e Diebold-Mariano (fora da amostra). O resultado do primeiro teste indicou a não rejeição da eficiência em média-variância e betas com alto poder explicativo para os retornos de todas as carteiras, sendo a carteira formada pelo modelo CAPM aquela a apresentar os resultados melhores para o índice Dow Jones, enquanto a formada pelo OCAPM obteve melhores resultados para o Ibovespa. Já no segundo teste, foi constatado que o OCAPM tem maior poder preditivo para qualquer horizonte temporal testado. / The objective of this work is to investigate the efficiency of the traditional model of performance analysis and portfolio allocation based on the mean and variance structure of Sharpe and Treynor, known as Capital Asset Pricing Model (CAPM), as opposed to the model Omega Capital Asset Pricing Model (OCAPM), a model based on the Omega measure with less restrictive assumptions, in which utility function and return distributions of the specific assets are not required. In addition, all moments of return distributions are considered indirectly, that is, there is no need to be calculated and observed by investors. During the study the optimization of the series of stock returns that compose the Dow Jones and Ibovespa indexes was performed, following the methodology of each model to find the market portfolio. From this, and following the objective function of the CAPM and OCAPM, it was verified which model best explains the cross-sectional returns of the shares of the two indices for the period from 1999 to 2016. For that, the GRS tests were used (in-sample) And Diebold-Mariano (out-sample). The result of the first test showed the non-rejection of the efficiency in mean-variance and betas with high explanatory grade for the returns for all the portfolios, being the portfolio formed by the CAPM model with better results for the Dow Jones index, while the one formed by the OCAPM obtained better results for the Ibovespa. In the second test, it was verified that the OCAPM showed greater predictive power for any time horizon tested.

Submitted by Cristiane Oliveira (cristiane.oliveira@fgv.br) on 2013-05-03T19:30:34Z No. of bitstreams: 1 1199200579.pdf: 13355374 bytes, checksum: 82e9f149e929f7aaf82069613b4b655f (MD5) / Approved for entry into archive by Vera Lúcia Mourão (vera.mourao@fgv.br) on 2013-05-03T20:52:30Z (GMT) No. of bitstreams: 1 1199200579.pdf: 13355374 bytes, checksum: 82e9f149e929f7aaf82069613b4b655f (MD5) / Made available in DSpace on 2013-05-03T21:05:03Z (GMT). No. of bitstreams: 1 1199200579.pdf: 13355374 bytes, checksum: 82e9f149e929f7aaf82069613b4b655f (MD5) Previous issue date: 1991 / Neste trabalho são examinadas as anomalias tamanho, mês do ano e a hipótese de sobre-reação no mercado de capitais brasileiro utilizando-se ações negociadas à vista na Bolsa de Valores de São Paulo, durante o período de janeiro de 1970 a dezembro de 1989. Usando-se testes estatísticos paramétricos e não-paramétricos para a análise dos retornos destas ações, verificou-se que o retorno das ações de pequenas empresas foi, em média, superior ao retorno das ações de grandes empresas, mesmo quando estes retornos eram ajustados ao nível de risco da ação. Verificou-se que este efeito foi predominante durante os meses de abril a novembro. Também foi testada a hipótese de sobre-reação dos investidores, que supõe que estes tendem a super-estimar informações recentes e a subestimar dados anteriores, fazendo com que movimentos extremos nos preços das ações sejam seguidos de um movimento subseqüente na direção oposta, contrariando alguns dos principais paradigmas da teoria de Finanças. Este efeito foi confirmado e verificou-se que é muito mais acentuado se comparado com os resultados recentes obtidos no mercado de capitais americano.

In the wake of the financial crisis the systemic importance of banks for the stability of the financial system became evident. Finansinspektionen classifies the banks Nordea, Skandinaviska Enskilda Banken, Svenska Handelsbanken and Swedbank as systemically important for the Swedish financial system. The Basel accords strive to increase the resilience of banks and the financial system by imposing stricter regulatory capital requirements. It is debated how these restraints affect the banks’ cost of capital which prompt the first research question of the study: How has the increase in regulation regarding the capital structure of banks affected Sweden’s major banks’ cost of capital? According to Modigliani & Miller a firm’s cost of capital is independent of its capital structure. The second research question is thus: Does the development regarding Sweden’s major bank’s cost of capital align itself with the Modigliani-Miller theorem? The purpose of the study is thus to assess how the increase in regulatory capital requirements have affected the Swedish major banks’ cost of capital and to what extent these developments align with the Modigliani-Miller theorem. The researchers utilizes a quantitative method and collected secondary data for the period 2008 to 2016 to answer the formulated hypotheses which are deduced from the theoretical framework.   The results from the study illustrate significant correlations between increased regulatory capital requirements and the cost of capital. The authors can however not assert the irrelevance of capital structure for the banks’ cost capital but find that reduced tax shields only have modest effects on the banks’ cost of capital.

The main goal of the thesis is the valuation of the company Lidl Czech Republic which is one of the major discount supermarket chain in the Czech Republic. The purpose of the valuation is to independently determine market value of the company at 1. 1. 2015. According to specifics of this market it is used discounted cash flow method, DCF Entity, which is complemented by the alternative method of market comparison. The parts of the thesis are financial and strategic analysis, value drivers and financial plan.

This thesis deals with the description and testing of the capital market models. It consists of an analysis of the most famous models such as the CAPM, the three-factor Fama-French model, the four-factor Fama-French-Carhart model and an alternative multi-factor model that includes the current relevant risk factors. In the first part, one can find the introduction to the capital market theory that is essential for the definition of model assumptions. The second part is dedicated to the description and construction of the models in reference to the relevant research papers. The last part of this thesis contains the regression model estimates, taking into account the data set of the fifteen most profitable IT companies. A portfolio of these firms is expected to exhibit a positive and statistically significant alpha. Daily portfolio returns in the period 1990 -- 2014 are regressed on risk factors of particular models. The aim of this thesis is to test whether the capital market models are valid for the long-term portfolio returns composed of the selected shares.

Thesis Variants of determining the risk free rate in the business valuation is dedicated to the issue of estimating risk free rate for the calculation of the discount rate. The objective of this work is to demonstrate the influence of methods to estimate the risk free rate to business valuation based on the example of a selected company valuation. The first part is dedicated to the cost of equity, cost of debt and weighted average cost of capital. Next chapter focuses on the definition of risk-free interest rate and rating as an indicator of credit risk. The thesis also deals with theoretical methods for estimating the risk-free interest rate and their practical application. Values calculated on the basis of theoretical approaches are then applied in the calculation of the discount rate to calculate the present value of the cash flows of company.

The current study applies a two-state switching regression model to examine the behavior of a hypothetical portfolio of ten socially responsible (SRI) equity mutual funds during the expansion and contraction phases of US business cycles between April 1991 and June 2009, based on the Carhart four-factor model, using monthly data. The model identified a business cycle effect on the performance of SRI equity mutual funds. Fund returns were less volatile during expansion/peaks than during contraction/troughs, as indicated by the standard deviation of returns. During contraction/troughs, fund excess returns were explained by the differential in returns between small and large companies, the difference between the returns on stocks trading at high and low Book-to-Market Value, the market excess return over the risk-free rate, and fund objective. During contraction/troughs, smaller companies offered higher returns than larger companies (ci = 0.26, p = 0.01), undervalued stocks out-performed high growth stocks (hi = 0.39, p i = 0.01, p = 0.02). The hypothetical SRI portfolio was less risky than the market (bi = 0.74, p i = -0.01, p = 0.03). The hypothetical SRI portfolio exhibited similar risk as the market (bi = 0.93, p

I och med att medvetenheten om klimatförändringar växer ökar trycket att övergå till ett lågutsläppssamhälle. Detta har medfört att investerare i allt större utsträckning tillämpar hållbara investeringsstrategier. Denna studie undersöker om investeringar med lågutsläppsintensitet genererar en större riskjusterad avkastning än investeringar med hög utsläppsintensitet på den svenska aktiemarknaden. Till följd av ett allt mer utbrett sentiment att investera hållbart kan en förvänta sig ett negativt samband mellan utsläppsintensitet och avkastning. Genom portföljsortering utifrån bolags utsläppsintensitet under 2010 – 2019 finner denna studie indikationer på ett positivt samband mellan utsläppsintensitet och avkastning. Portföljer bestående av bolag med hög utsläppsintensitet genererar konsekvent en högre avkastning än portföljer bestående av bolag med låg utsläppsintensitet. Däremot finner studien inga statistiskt signifikanta resultat vilket innebär att det inte går att utesluta att resultaten är slumpmässiga.