Made available in DSpace on 2015-12-03T18:33:16Z (GMT). No. of bitstreams: 1 Marcelo_Rodrigues_de_Oliveira.pdf: 572879 bytes, checksum: 561a9772aa0bb467cfc2cb7f0721796f (MD5) Previous issue date: 2015-08-25 / Bid-ask spread is a key measure to evaluate the dynamics of stock prices. The literature show us that the main determinants of bid-ask spread are market capitalization, price level, price volatility and traded volume. Theories for bid-ask spread, discussed by Market Microstructure, define three reasons for their existence: (i) order processing costs; (ii) inventory control and (iii) information asymmetry. The information asymmetry, that is a key concept for the efficient market hypothesis, establishes the link between bid-ask spread and those factors that influence prices in a way not related to risk, which should be discussed by behavioral finance s perspective. The behavioral finance s literature searches for answers of questions in which stock prices does not reflect their values in a rational way. These situations are called market anomalies. Among the main anomalies, there are calendar anomalies, where it is possible to observe price behaviour related to moments of time, consistently. The objective of this study is to make a empirical and quantitative evaluation of the Day-of-Week Effect (DoW) on bid-ask spread of BOVESPA s stock prices. The work of Narayan, Mishra and Narayan (2014), about the relation between bid-ask spread determinants and Day-of-Week Effects, using NYSE stock data, found evidence of those effects, at first. Secondly, they found that bid-ask spread, stock price, traded volume and price volatility, in panel data setting are cointegrated and prices, volume and volatility have different effects in the bid-ask spread for each trading day. In this study, using BOVESPA data of 2012, from march to december, calendar anomalies are not confirmed in bid-ask spread. However, when we analized diary returns of stock prices, it was observed that Day-Of-Week and End-Of-Month effects were significant at 1% and Day-Of-Week effect is augmented in the period of end of month / O bid-ask spread ?? uma medida importante para a avalia????o da din??mica de pre??os de a????es. A literatura mostra que os seus principais determinantes s??o a capitaliza????o de mercado da empresa, o n??vel de pre??o da a????o, a volatilidade do pre??o da a????o e o volume negociado. As teorias para o bid-ask spread, tratadas pela Microestrutura de Mercado, definem tr??s raz??es para sua exist??ncia que s??o: (i) os custos de processamento das ordens; (ii) controle de invent??rio e (iii) assimetria informacional. A assimetria informacional, que ?? um conceito central na discuss??o sobre a efici??ncia dos mercados, estabelece a liga????o entre o bid-ask spread e os fatores que influenciam os pre??os de maneira n??o relacionada a riscos, os quais devem ser abordados sob o enfoque das finan??as comportamentais. A literatura de finan??as comportamentais aborda uma variedade de situa????es em que os pre??os de a????es n??o refletem de maneira racional o seu valor. Estas situa????es s??o chamadas de anomalias de mercado. Entre as principais anomalias, temos as anomalias de calend??rio, em que observamos o comportamento dos pre??os relacionado a um momento no tempo, de forma consistente. O objetivo deste estudo ?? avaliar, de maneira emp??rica e quantitativa, se existe o efeito dia-da-semana no bid-ask spread na Bovespa. O estudo de Narayan, Mishra e Narayan, de 2014, sobre a rela????o entre os determinantes do bid-ask spread e o efeito dia-da-semana para a bolsa de NY comprovou a exist??ncia do efeito dia-da-semana no bid-ask spread. Tamb??m teve como achados que o bid-ask spread, o pre??o da a????o, volume negociado e a volatilidade do pre??o da a????o, tomados em painel, s??o cointegrados e que o pre??o, o volume e a volatilidade tem efeitos diferentes no bid-ask spread nos diferentes dias de negocia????es. Neste estudo, com dados da bolsa de valores de S??o Paulo de Mar??o a Dezembro de 2012, n??o foram comprovadas as anomalias de calend??rio no bid-ask spread, por??m nos testes com retornos di??rios, observou-se que os efeitos dia-da-semana e fim-de-m??s s??o significantes a 1% e que o efeito dia-da-semana ?? mais pronunciado quando ocorre nos dias de fim do m??s

Made available in DSpace on 2015-12-04T11:45:30Z (GMT). No. of bitstreams: 1 Francisco_Jose_Olivieri.pdf: 1069736 bytes, checksum: c18174480004b7c780d801962901878c (MD5) Previous issue date: 2003-03-24 / From the formulation of the Efficient Market Hypothesis and the discovery of the direction of relationships between a sets negotiated in the market and one determined elect standard (representative of the market), relationships this translated by the BETA, whose stability was questioned with the advent of the APT, developed it concern with the assets pricing and its relationship with the systematic risk. Together with the evolution of the risk valuation and quantification theories and, consequently of the formation of prices (waited returns) of assets, many studies and verifications had started to be done at the investors relatively behavior that, for times opposed the propagated market efficiency. Studies developed in diverse countries had demonstrated to have certain homogeneity in the behaviors of the investors with relation to the purchase movements and sell of share, but that they opposed the efficiency of the markets, or either, the immediate reply and objective front the macroeconomic, social alterations, politics and announcements of performance of companies, over all. To this contrary behavior to that to that it called efficiency or the markets was given the name: anomaly. Initial studies had been developed in the market of the United States of America having, the phenomena, been observed in countries as England and Japan. Inevitable investigations had elapsed of the comments: if the markets ploughs efficient, wich the reason of anomalies occur? It would not be natural that the investor, in view of experience gotten, reacted of form to prevent its occurrence or to get an excedent return? If he does not make it, why does not make it? Thus, this work objectified to study, after capital the necessary recital about the capital markets and yours risk and performance evaluation instruments, the applicability of the analysis ware in the Brazilian case, once showed in the foreign markets. / A partir da formula????o da Hip??tese dos Mercados Eficientes e da descoberta do sentido das rela????es entre os ativos negociados no mercado e um determinado padr??o eleito (representativo do mercado), rela????es estas traduzidas pelo BETA, cuja estabilidade foi questionada com o advento da APT, desenvolveu-se a preocupa????o com a precifica????o dos ativos e sua rela????o com o risco sistem??tico. Juntamente com a evolu????o das teorias da avalia????o e quantifica????o do risco e, conseq??entemente da forma????o de pre??os (retornos esperados) dos ativos, alguns estudos e verifica????es passaram a ser feitos relativamente ao comportamento dos investidores que, por vezes contrariava a propagada efici??ncia dos mercados. Estudos desenvolvidos em diversos pa??ses demonstraram haver certa homogeneidade nos comportamentos dos investidores com rela????o aos movimentos de compra e venda de a????es, mas que contrariavam a efici??ncia dos mercados, ou seja, a resposta imediata e objetiva frente a altera????es macroecon??micas, sociais, pol??ticas e an??ncios de desempenho de empresas, sobretudo. A esse comportamento contr??rio ao que se denominou efici??ncia dos mercados foi dado o nome de "anomalia". Estudos iniciais foram desenvolvidos no mercado dos Estados Unidos da Am??rica tendo, os fen??menos, sido observados em pa??ses como a Inglaterra e o Jap??o. Indaga????es inevit??veis decorreram das observa????es: se os mercados s??o eficientes, qual o motivo das anomalias ocorrerem? N??o seria natural que o investidor, tendo em vista a experi??ncia obtida, reagisse de forma a evitar sua ocorr??ncia ou obter um retorno excedente? Se ele n??o o faz, por qu?? n??o o faz? Assim, este trabalho objetivou estudar, ap??s a fundamenta????o necess??ria acerca do mercado de a????es e seus instrumentos de avalia????o de risco e de desempenho, a aplicabilidade do ferramental de an??lise no caso brasileiro, j?? que demonstrada sua utiliza????o nos mercados exteriores.

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2016-03-30T20:23:26Z No. of bitstreams: 2 Joao_Valente_Filho.pdf: 7421165 bytes, checksum: aad91aa0415ce64e49f43f719fb06e8b (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) / Made available in DSpace on 2016-03-30T20:23:26Z (GMT). No. of bitstreams: 2 Joao_Valente_Filho.pdf: 7421165 bytes, checksum: aad91aa0415ce64e49f43f719fb06e8b (MD5) license_rdf: 23148 bytes, checksum: 9da0b6dfac957114c6a7714714b86306 (MD5) Previous issue date: 2015-12-16 / Since the beginning of trading in stock exchanges there are studies concerning its behaviour, evolution and economic-financial models for many purposes. Theories like Markowitz and Sharpe have become classicals, and are still used nowadays for historical data studies. In this context, the aim of this research was to analyse the correlations between the Market indexes of different countries, from 1999 to 2014. Moreover, to verify whether there was correlation or not between the stock exchange indexes, foreign currency variation, geographical distance and the fluctuation of stock exchange indexes. The methodology was the survey of weekly historical data from closing prices and geographical distance. Data was obtained through three-yearly cuts for analysing its evolution and the conclusion of the proposed aim. It could be concluded that in all periods, there was a relevant majority of significances in correlations of stock Exchange returns at 1%. The same significance could not be observed for the foreign currency return correlations at 1%. It could also be concluded that there is statistic significance at 1% between the independent variable foreign Exchange correlation, and the dependent variable stock Exchange indexes correlation. Moreover, in most periods, the same statistic significance can be seen for the independent variable geographical distance, together with the dependent variable stock Exchange indexes correlation. / Desde o in??cio das negocia????es em bolsa de valores, h?? estudos sobre seu comportamento, sua evolu????o e modelos econ??mico-financeiros para os mais diversos fins. Cria????es de teorias como as de Markowitz e Sharpe se tornaram escolas cl??ssicas, utilizadas at?? os dias atuais para estudos de dados hist??ricos. Nesse sentido, o objetivo deste estudo foi analisar as correla????es entre ??ndices acion??rios de pa??ses diferentes entre 1999 e 2014 e verificar se h?? rela????o entre as correla????es entre ??ndices de bolsas de valores, varia????es cambiais, dist??ncia geogr??fica e as volatilidades dos ??ndices das bolsas. A metodologia aplicada foi o levantamento dos dados hist??ricos semanais de fechamento da bolsa, c??mbio e dist??ncia geogr??fica. Os dados foram obtidos com cortes trienais para an??lise de sua evolu????o e conclus??o do objetivo proposto. Pode-se concluir que, em todos os per??odos analisados, houve uma maioria relevante de signific??ncias nas correla????es dos retornos da bolsa de valores em n??vel de signific??ncia a 1%. A mesma signific??ncia n??o p??de ser observada para as correla????es dos retornos do c??mbio em n??vel de signific??ncia a 1%. Pode-se concluir, tamb??m, que h?? signific??ncia estat??stica ao n??vel de 1% relevante entre a vari??vel independente correla????o do c??mbio e a vari??vel dependente correla????o dos ??ndices acion??rios. Ainda, ?? vista, na maioria dos per??odos analisados, a mesma signific??ncia estat??stica para a vari??vel independente dist??ncia geogr??fica com a vari??vel dependente correla????o de ??ndices acion??rios

Made available in DSpace on 2015-12-03T18:33:16Z (GMT). No. of bitstreams: 1 Claudia_Silva_Araujo.pdf: 711284 bytes, checksum: 13837971e69ad2fca94d630dba48649f (MD5) Previous issue date: 2015-08-25 / By investigating the IPO pricing process from the moment of the release of preliminary prospectus when the price range is revealed, going through the bookbuilding until the moment of the definition of final price. This research contributes in an unprecedented way for national literature, by finding empirical evidence that IPO price update is predictable according to factors such as: (1) Offer characteristics: the offer size, the volume of secondary issues and also the presence of Retail investors can influence the level of price update; (2) As well as the company characteristics as industry sector, for example; (3) the investment bank's reputation also is directly related to the price update. (4) Contrary to intuition, the prices are not updated in accordance with market movements related to bookbuilding period, and neither the updates are higher during hot market periods / Investigando o processo de forma????o de pre??o do IPO desde o momento do lan??amento do Prospecto Preliminar com a divulga????o do range de pre??os para o bookbuilding, at?? o momento da defini????o do pre??o final de lan??amento. Esta pesquisa contribui de forma in??dita para literatura nacional, por encontrar evid??ncias emp??ricas de que a atualiza????o de pre??o do IPO pode ser previs??vel de acordo com fatores como: (1) caracter??sticas da oferta: tamanho da emiss??o, volume de emiss??o secund??ria e ainda a presen??a de investidores do varejo podem influenciar o n??vel de atualiza????o do pre??o; (2) Bem como as caracter??sticas da empresa como setor, por exemplo; (3) a reputa????o do banco de investimentos tamb??m tem rela????o direta com a atualiza????o deste pre??o. (4) Contrariamente a intui????o, os pre??os n??o s??o atualizados de acordo com movimentos de mercado relativos ao per??odo de bookbuilding, e tampouco, as atualiza????es s??o maiores em momentos de mercado aquecido

Made available in DSpace on 2015-12-03T18:33:10Z (GMT). No. of bitstreams: 1 Paulo_Sergio_Pereira_da_Rocha_Junior.pdf: 6043436 bytes, checksum: a22f083748370c7d978940b279a5bd88 (MD5) Previous issue date: 2014-08-18 / This paper investigated the ability of the cross listing, through the issuance of ADR (American Depositary Receipt), to change the influence of the institutional environment in discretionary power. Several economic factors are mentioned to justify investments in ADR programs. Moreover, this study seeks to understand if the cross listing is a channel of influence in conservatism. It is an ex-post-facto research that seeks to observe in Brazilian ADRs issuers a behavior more conservative than in the rest of the companies traded on BOVESPA, between the period of 2008 to 2013. The econometric model of Basu (1997) was used to measure the degree of conservatism. This model evaluates whether reported earnings incorporate bad news faster than good news, considering as a proxy for the bad news the negative stock returns. Therefore, we test the relationship of reported earnings with simple stock returns. It was found with the application of the model that there are signs that Brazilian ADRs issuers are more conservative, even when they adopt practices of earnings management (ECKEL, 1981). The results, however, do not show statistical significance / Este trabalho investigou a capacidade que a listagem dupla, por meio da emiss??o de ADR (American Depositary Receipt), tem para alterar a influ??ncia do ambiente institucional no poder discricion??rio. Diversos fatores econ??micos s??o apontados para justificar os investimentos em programas de ADRs. Por outro lado, este estudo objetiva compreender se a listagem dupla ?? um canal de influ??ncia no conservadorismo. Trata-se de pesquisa ex-post-facto que busca observar nas emissoras de ADRs brasileiras um comportamento mais conservador do que o das demais empresas negociadas na BOVESPA, entre o per??odo de 2008 a 2013. Utilizou-se o modelo econom??trico de Basu (1997) para mensurar o grau de conservadorismo. Este modelo avalia se o lucro divulgado incorpora m??s not??cias mais rapidamente do que as boas not??cias, considerando como proxy para as m??s not??cias o retorno negativo das a????es. Com isto, testa-se a rela????o do lucro divulgado com o retorno simples das a????es. Verificou-se com a aplica????o do referido modelo que existem sinais de que as emissoras de ADRs brasileiras s??o mais conservadoras, mesmo quando adotam pr??ticas de gerenciamento de resultados (ECKEL, 1981). Os resultados, no entanto, n??o apresentam signific??ncia estat??stica

Made available in DSpace on 2015-12-03T18:33:11Z (GMT). No. of bitstreams: 1 Marcelo_Bueno_de_Morais.pdf: 923077 bytes, checksum: 0240fffe544bfb3c0675036c9ebb3cbd (MD5) Previous issue date: 2014-11-04 / This dissertation considers the relationship between the practice of corporate governance and the implied cost of capital by the Brazilian??s publicly held companies seeking companies in the Novo Mercado da BM&FBovespa has lower implied cost of capital over the business of Traditional Market. The sample was used in this research includes the 228 largest non-financial publicly held companies in Brazil, in which 114 include Novo Mercado and 114, Traditional Market. The period considers from 2000 to 2013. As a proxy for corporate governance was used companies included in Novo Mercado segment. The Easton estimation method was used to calculate the implied cost of capital. The results show strong evidence of lower cost of capital for higher levels of corporate governance during the last ten years. / Esta disserta????o investiga a rela????o entre a pr??tica da governan??a corporativa e o custo de capital impl??cito das empresas brasileiras de capital aberto, buscando verificar se as empresas do Novo Mercado da BM&FBovespa possuem menor custo de capital impl??cito em rela????o as empresas do Mercado Tradicional. A amostra utilizada contempla as 228 maiores empresas n??o financeiras de capital aberto do Brasil, sendo 114 do Novo Mercado e 114 do Mercado Tradicional. O per??odo de an??lise compreende os anos 2000 a 2013. Como proxy de governan??a corporativa foi utilizada a participa????o da empresa no Novo Mercado e para o c??lculo do custo de capital impl??cito foi utilizado o m??todo de Easton. Os resultados mostram que nos ??ltimos 10 anos existem fortes ind??cios apontando para custos de capital menores para maiores n??veis de governan??a corporativa.