Submitted by Ramon Frigi Rigoni (ramon.rigoni@fgvmail.br) on 2015-06-24T23:30:36Z No. of bitstreams: 1 Dissertacao_Final_posdefesa.pdf: 561087 bytes, checksum: c691979c21b91a8050acfbbf11b4b56c (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-06-30T20:13:12Z (GMT) No. of bitstreams: 1 Dissertacao_Final_posdefesa.pdf: 561087 bytes, checksum: c691979c21b91a8050acfbbf11b4b56c (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2015-07-03T16:58:51Z (GMT) No. of bitstreams: 1 Dissertacao_Final_posdefesa.pdf: 561087 bytes, checksum: c691979c21b91a8050acfbbf11b4b56c (MD5) / Made available in DSpace on 2015-07-03T16:59:03Z (GMT). No. of bitstreams: 1 Dissertacao_Final_posdefesa.pdf: 561087 bytes, checksum: c691979c21b91a8050acfbbf11b4b56c (MD5) Previous issue date: 2015-05-29 / The present study has a twofold objective: (i) evaluate determinants of the franchising option as a company´s strategy growth model and, (ii) analyze how franchising contract terms are affected by risk sharing, incentive problems related to moral hazard and financial constraints problems. The discussion is based on the empirical approach proposed by Lafontaine (1992). The models are estimated using a database containing information on 350 Brazilian franchisors. The results suggest that moral hazard problems from franchisee side as well as risk sharing are relevant to the definition of royalty rate value. Particularly, in business where the franchisee effort has significant influence on the input quality of the services provided, the royalty rate tends to decrease. Our results fails to identify a negative tradeoff between risk and incentives. CConcerning the expansion strategy option, as expected by the theory, results indicate that firms tend to expand through franchising when agent effort is relevant. However, opposed to the capital constraint hypothesis, our findings suggests that decisions to adopt franchising as a growth strtategy are not related to capital restrictions. / O presente estudo tem um duplo objetivo: (i) analisar os determinantes da escolha das firmas por um modelo de franchising na estratégia de expansão de seus negócios, e (ii) analisar como os termos de um contrato de franchising podem potencialmente ser influenciados por questões relativas a compartilhamento de risco, problemas de incentivo relacionados ao risco moral (moral hazard) e restrições de recursos financeiros. Essa discussão se dará seguindo a abordagem empírica proposta por Lafontaine (1992). Os modelos são estimados a partir de dados para uma amostra de 350 redes de franquias brasileiras relativas ao ano de 2011. Os resultados sugerem que a definição do valor da taxa de royalties leva em conta os problemas decorrentes do risco moral por parte dos franqueados e do compartilhamento de risco. Em particular, nos negócios onde o esforço dos franqueados afeta significativamente a provisão dos serviços prestados, observa-se uma tendência de cobrança de menores taxas de royalties e uma relação positiva entre risco e incentivos, com a cobrança de menores taxas de royalties em setores de atividade com maior risco. Em relação ao percentual de unidades franqueadas, obteve-se resultados coerentes com a expectativa teórica para o problema de risco moral do franqueado, de modo que quanto mais importante o trabalho do agente, maior o índice. Entretanto, para a restrição de capital, contrário a expectativa teórica, quanto maior a disponibilidade de recursos maior o número de franquias.

Made available in DSpace on 2016-03-15T19:32:28Z (GMT). No. of bitstreams: 1 Carlos dos Reis Neto.pdf: 1762994 bytes, checksum: ee19957e4e03071af1aed766e17e9bc0 (MD5) Previous issue date: 2011-08-02 / Fundo Mackenzie de Pesquisa / The acceleration of the financial crisis in late 2008 impacted currencies and markets so that companies operating derivative hedging purposes other than those they were surprised by sudden changes in their positions. This brought the derivative financial instruments to the center of attention and questioning what the role of accounting in providing information to stakeholders. These instruments are used to manage the risks to which companies are exposed because of their business, but these same tools can also be used to leverage a result, bringing great risks to stakeholders. This attitude is motivated mainly by the asymmetry of information between the parties, since the risks involved with the operation and derivatives are not fully reflected in financial statements, thereby causing an agency conflict. Accounting, through to recent international standards and pronouncements of the CPC, aims to reduce this information asymmetry through adequate disclosure of important information so that users can assess the nature and extent of risks arising from derivative financial instruments that the entity is exposed and how these risks are managed. This study aimed to show whether non-financial companies are adopting accounting standards adequately explained by the pronouncements of the Accounting Standard Committee (CPC) with regard to items concerning the disclosure of derivative transactions. To this were consulted Notes to Financial Statements. The Securities Commission has the power to search data from standardized financial statements. The methodology was developed a checklist with key standards for disclosure of transactions with derivative financial instruments, issued by the CPC. Firms in the sample were 98 companies with the most actively traded shares on the BOVESPA in 2010. The main results showed that the companies are, in general, adequately showing the operations with financial instruments, even though the need to adjust the financial disclosures for the year since 2010 and these rules are published in late 2009. / A aceleração da crise financeira no final de 2008 impactou moedas e mercados fazendo com que empresas que operavam derivativos com finalidades diversas das de hedge fossem surpreendidas por variações bruscas de suas posições. Isso trouxe os instrumentos financeiros derivativos para o centro das atenções e o questionamento de qual seria o papel da contabilidade na divulgação de informações para os stakeholders. Estes instrumentos são utilizados para o gerenciamento de riscos aos quais as empresas estão expostas devido aos seus negócios, porém estes mesmos instrumentos também podem ser utilizados para a alavancagem do resultado, trazendo grandes riscos para os stakeholders. Esta atitude é motivada principalmente pela assimetria de informação entre as partes, já que os riscos envolvidos com a operação com derivativos não são perfeitamente evidencias nas demonstrações financeiras, causando assim um conflito de agência. A contabilidade, através das recentes normas internacionais e dos pronunciamentos técnicos do CPC, tem como objetivo reduzir essa assimetria de informação através da evidenciação adequada de informações importantes para que os usuários possam avaliar a natureza e extensão dos riscos resultantes dos instrumentos financeiros derivativos que a entidade está exposta e como estes riscos são gerenciados. Este trabalho teve por objetivo mostrar se as empresas não financeiras estão adotando adequadamente as normas contábeis explicitadas pelos pronunciamentos técnicos do Comitê de Pronunciamento Contábil (CPC), com relação aos itens que dizem respeitos à evidenciação de operações com derivativos. Para isso foram consultadas as Notas Explicativas às Demonstrações Contábeis. A Comissão de Valores Mobiliários foi a fonte de consulta dos dados das demonstrações financeiras padronizadas. Como metodologia, foi elaborado um checklist com as principais normas referentes à evidenciação de operações com instrumentos financeiros derivativos, emitidas pelo CPC. As empresas da amostra foram as 98 empresas com as ações mais negociadas na BM&FBOVESPA no ano de 2010. Os principais resultados mostraram que as empresas estão, no geral, evidenciando adequadamente as operações com instrumentos financeiros, mesmo tendo à necessidade de adequar as divulgações financeiras já para o exercício de 2010 e sendo essas normas publicadas no final de 2009.

本研究分析各類型機構投資人持股份額及持股變動，與企業併購長短期績效的關聯性，藉以探討各類型投資人在公司治理中所扮演的角色。本研究結果發現，機構投資人持股對企業監督的功能在短期不明顯。然而就長期而言，外資持股對併購長期績效有正面影響。無論由法人、機構投資人及總持股等層面來看，外資持股皆與併購企業長期績效有顯著的正相關。 進一步將各類型投資人持股拆解為細項，發現外資信託基金持股與併購長期績效的關係由負轉正;反觀本國方面，本國信託基金持股對長期績效則有非常顯著的負向影響；而包含職工福利會及基金會持股的本國其他法人持股及證券自營商持股則對長期績效有顯著的正向影響。 由持股變動也能觀察到一致性的結果。機構投資人持股變動與對併購績效的影響，於短期多為不顯著且方向不一致；長期而言，雖然包含外資機構投資人在內的多數持股變動變數皆未有顯著結果，但本國信託基金的持股變動與併購績效仍然存在非常顯著的負相關。 由公司治理及外部監督的角度而言，本研究結果顯示外資整體投資人在企業中扮演著重要的監督者角色。以細項來看，外資信託基金、本國其他法人及證券自營商較能有效地監督企業決策，為企業帶來長期的價值提升；反觀本國信託基金則非良好的企業監督者，且帶來顯著的負向影響。 / In this paper, we examine the relationship between different types of institutional ownership and acquiring firms’ performance on M&A activities. We found that the monitoring effect is weak in the short-term horizon; however, there is a significantly positive relationship between foreign institutional ownership and long-term performance on M&A activities. More specifically, the result shows that the ownership of foreign mutual funds, domestic foundations and securities dealers is positively related to M&A performance, while the ownership of domestic mutual funds has a significantly negative relation with M&A performance. At the same time, we have a consistent result from change in institutional ownership. While the relationship between change in most kinds of institutional ownership and long-term M&A performance is weak, the change in domestic mutual funds’ ownership has a strong negative relation with M&A performance. This paper shows that foreign investors’ monitoring has a positive influence on firm’s M&A decision. On the contrary, domestic mutual funds is not a good monitor that their holdings lead to poor M&A performance.

One of the ways how to solve the agency problem is to align the managers and shareholders interests. Such concord can be achieved through an appropriate selection and set-up of remuneration policy for the top managers of companies. This thesis studies the compensation methods of five biggest corporations in each of the G7 countries and then further analyses the outcomes of the research using statistical and descriptive methods. The analysis is done through a comparison of performance of the company and the industry in order to identify if there is a link between the used compensation method and the company s under or over performance. The findings are described and eventual implications are presented at the end of the paper.

The main goal of this dissertation was to obtain an understanding as to the true economic nature of employee share options and the problems surrounding the accounting thereof. The main conclusion of this study is that employee share options should be expensed in the income statement as and when the employee's services are performed. The reason is that employee share options are valuable financial instruments which the employer has used to compensate the employee for his services. It was also concluded that exercise date accounting and classification of outstanding employee share options as liabilities on the balance sheet is the most appropriate accounting treatment. Such accounting treatment trues up the accounting of employee share options with that of cash-settled share appreciation rights, which are economically equivalent transactions. The measurement of employee share options should be based on their fair value using an option-pricing model adapted for the specific features of employee share options. / Accounting / Thesis (M. Com. (Accounting Science))

La Porta 等人以提高內部人持股可使內、外部股東利益一致，進而降低代理問題的觀點出發，在2002 年發表的實證研究中指出，提高內部人持股有助於提升公司的價值，特別是在對外部投資人保護較差的國家；他們也發現，對投資人保護程度愈好的國家，該國企業的價值也較高。本研究則從提高內部人持股可能產生的代理問題著手，在利弊同時存在之下，以涵蓋範圍更廣、時間更長的樣本，探討在不同的投資人保護環境下，提高內部人持股對公司價值的影響，以及投資人保護程度對於內部人持股集中與分散的公司價值是否也有不同的影響。 本研究發現，在投資人保護較佳的國家，提高內部人持股會傷害公司價值，但在投資人保護較差的國家，提高內部人持股可增加公司價值。另外，公司價值與內部人持股率之間呈現曲線關係，當內部人持股率相對較低時，提高內部人持股對公司價值是弊多於利；當內部人持股水準相對較高時，提高內部人持股則是利多於弊。而投資人保護程度對於內部人持股較分散的公司而言，顯得較為重要。因此，法律層面對投資人的保護程度和內部人持股集中度對於公司價值的影響有顯著的替代效果。 / This paper uses a sample of companies from 34 countries around the world to shed light on the relationships among legal protection of shareholders, ownership structure, and firm value. La Porta et al. (2002) indicate a positive relationship between cash flow, ownership, and firm value, especially in countries with poor investor protection. Besides, they also find evidence of higher valuation of firms in countries with better protection of minority shareholders. However, they don’t consider the effect of higher ownership on the cost of stealing, which may cause the controlling shareholders to expropriate more from minority shareholders. Also, their study covers only large firms with a controlling shareholder by one year data. Their results can be restricted to large firms and a particular year. Therefore, we use more comprehensive time series and cross section data to probe into the subject. Using various specifications of the valuation regressions of Fama and French (1998), we find that higher ownership improves valuation in poor protection countries while higher ownership deteriorates valuation in good protection countries. In addition, stronger legal protection improves firm value, especially the firms with low ownership concentration. That is, there is a substitute effect of legal protection and ownership concentration on firm valuation. Finally, we also testify that dividends are valued more in poor protection countries and firms with low ownership concentration.

中國新上市公司（Initial Public Offerings，以下簡稱IPO）上市後經營績效大幅衰退之現象時有所聞，IPO績效變化不僅影響投資者的利益，也攸關轉型經濟過程中，中國證券市場能否有效引導社會資源的配置。本研究調查2001年至2005年間，在中國深圳以及上海交易所A股市場IPO公司經營績效變化以及可能原因，延伸討論保薦制度及政治關聯對前述現象的影響。首先測試樣本公司上市前後經營績效之差異，並調整同業平均數。實證結果指出，上市後兩年ROA及ROE(無論是否調整產業因素)皆不如上市前兩年，杜邦分析發現獲利能力衰退是造成財務績效衰退的主因。 保薦制度於2004年2月1日正式施行，藉由提升保薦人及保薦機構的執業水準，以建立市場約束機制。本研究依保薦制度實施及政治關聯分別分組，採用分群組T檢定與Wilcoxon做差異分析。實證結果顯示保薦制度下IPO公司上市前的各項財務績效較佳，顯示其能篩選體質較好公司上市；而上市後績效衰退的情形也較為趨緩，中介機構制衡機制有所發揮。政治關聯度低的低國有股公司在上市前的各項財務績效指標較高國有股公司好，推論政治關聯可能影響上市機會，使其上市前需極大化自身績效；相對而言，上市後較難維持績效。 進一步分析績效衰退原因，本研究比較各期間IPO公司各項應計數變化。實證結果顯示。整體而言上市後總應計、流動應計數、營業相關應計數以IPO當年呈倒V型，有上市後反轉的現象，並與經營活動現金流量變動呈反向變動，推論與盈餘操縱有關；保薦制度的在應計數反轉現象沒有顯著抑止效果，而政治關聯度低的IPO公司亦沒有顯著操縱應計數的現象以極大化上市前經營績效。最後，代理問題探討中結果顯示，董監持股變動以及大股東持股變動與績效衰退顯著相關，符合利益一致假說。 / The article investigates whether there is a significant change in financial performance of firms after they went to public for the period between 2001 and 2005 in China A –share market. First, we use ROA and ROE as main performance index. The results indicate a significant decline in ROA and ROE. Following Du Pont framework, return on sales is the most important reason about the decline. Second, we find under new Sponsor’s System, IPO firms had better perfomanace before they went public and they suffered less declined after IPO. We also find the low political connection firms maximize financial performance before they went public to win the IPO opportunity, and they hardly maintain operating performance. At last, we examine the reason for financial performance decline. We compared the change between accruals and operating cashflow the period of IPO for inspecting wether earnings management existed. The empirical results indicate IPO firms maximize accruls when IPO.This study also indicates a significant correlation between post-IPO performance and agency problem.

本文主要分別探討家族控制、負債與高階經營團隊薪酬的關係。實證結果發現，根據利益一致效果，家族企業通常會發放較少變動薪酬給高階經營團隊。然而，當家族企業偏離問題較嚴重，且由家族成員擔任高階經理人時，則會支付較高變動薪酬給家族高階經營團隊，此種現象在非電子業中尤為明顯。本文亦探討負債與薪酬的關係，結果發現，負債與高階經營團隊薪酬呈非線性關係，再將負債進一步細分，發現長期銀行負債對薪酬的監督效果高於短期銀行負債及一般公司債。本文也發現相較於非家族企業，負債對高階經營團隊薪酬的監督效果在家族企業中較弱。 / This paper investigates the variable compensation of top management teams. Prior literature suggests that compensation policy can help firms reduce the agency problem between principals and agents. Most of these studies, however, emphasize the agency problem between shareholders and managers, and only a few examine those between controlling and minority shareholders and between shareholders and debtholders. This study investigates the effects of family control and debt on top management compensation, respectively. The empirical results show that, on average, family-controlled firms are associated with a lower proportion of variable compensation, which is consistent with the alignment effect. However, family-controlled firms with greater control divergence and whose CEO is a family member, which gives rise to a central agency problem, pay higher variable compensation to family top management, as evident in the non-electronic industry. Furthermore, the empirical results find a U-shaped relationship between debt and top management compensation. In addition, the monitoring effect of long-term bank debt on top management compensation is greater than that of short-term bank debt and common bond. Finally, the monitoring effect of debt on top management compensation is weaker in family-controlled firms than in non-family-controlled firms.

Cette thèse est composée de 3 essais. Le 1er essai traite de la problématique du risque de pertes extrêmes dans le secteur bancaire dans un contexte du problème d'agence entre les actionnaires et les top managers des banques. Pour pouvoir inciter les banques à ne pas prendre le risque de pertes extrêmes, il est proposé d'appliquer la régulation des fonds propres sous forme d'une politique de recapitalisations obligatoires, dont les paramètres sont choisis pour inciter les actionnaires à rémunérer leurs managers de la manière à les détourner des stratégies au risque de pertes extrêmes.Le 2ème essai développe le design de la supervision bancaire qui vise à éliminer le problème d'aléa moral au sein d'une banque, tout en assurant un coût minimum de supervisions. Les banques, dont la situation financière commence à se dégrader, doivent être soumises à des audits aléatoires. Les banques, dont la valeur de l'actif s'est dégradée considérablement, doivent être mises sous tutelle pour un redressement financier. Les auditeurs externes peuvent être impliqués dans le processus de supervision, mais ne doivent pas complètement remplacer les régulateurs. Le 3ème essai étudie comment la capacité d'emprunt de l'entreprise non-financière affecte sa politique d'investissement en présence des coûts d'émission de la dette. Il est montré que les entreprises, dont la capacité d'emprunt est moyenne, ont intérêt à réaliser un investissement plus important par rapport aux entreprises dont la capacité d'emprunt est relativement faible/forte. Cela est entièrement dû à l'effet des coûts fixes d'émission de la dette, qui émerge dans le contexte dynamique d'investissement. / This dissertation consists of 3 self-contained theoretical essays.Essay 1 brings into focus the problem of "manufacturing" tail risk in the banking sector. This work shows that, in order to prevent banks from engaging in tail risk, bank capital regulation should account for the internal agency problem between bank shareholders and bank top managers. It is proposed to design bank capital requirements in the form of incentive-based recapitalization mechanism which would induce bank shareholders to shape executive compensation in such a way as to prevent top managers from engaging in tail-risk.Essay 2 deals with the problem of moral hazard in bank asset management. It proposes the concept of incentive-based bank supervision aimed at preventing moral hazard at a minimum cost to the regulator. It is shown that the intensity of supervision efforts should be gradually adjusted to the bank's financial health: banks in the mild form of distress should be subject to random audits, whereas deeply distressed banks should be placed under temporary regulatory control. To prevent double moral hazard, external auditors involved in supervision should be offered the optimal incentive contract.Essay 3 examines the impact of credit rationing (debt capacity) on corporate investment in the setting with costly debt financing. It is shown that, when credit constraints are binding, the firms with intermediate levels of debt capacity will establish larger investment projects than the firms with relatively low or high debt capacity. This non-monotonicity of investment on debt capacity arises due to the effect of the lump-sum debt issuance costs in the dynamic context of investment.

已開發國家中，無論個人或是法人所擁有之財富大多透過金融中介機構管理，因此，財富委由他人管理衍生出現代資本市場中重要的委託關係。委託人與基金管理人產生委任契約時，也必然產生代理問題，即雙方利益不一致所額外增加的成本。為降低代理成本，於委任合約加入對管理人下檔投資風險的要求成為降低代理成本的重要機制。本研究因此探討當基金管理人面對契約存在最低報酬要求時，如何進行最適資產配置決策，並同時分析下檔風險限制改變時對管理人投資行為的影響。研究結果顯示，委任合約增加經理人最低保證收益時，基金管理人傾向增加持股，而經理人風險趨避程度增加時，將減少風險性股票資產，進而持有債券；如果投資目標收益於受委託期間皆不改變，將造成經理人持有債券組合以規避下檔風險，同時卻喪失追求資本利得。 / In most developed countries, financial wealth is not managed directly by the investors, but through a financial intermediary. Hence, the delegated portfolio management is one of the most important principal-agency relationships in the current economy. In addition to that, the principal-agency relationships between the investor and portfolio manager must produce agency cost. In order to reduce these costs, the mandates in the contract become an important factor in reducing the principal-agent problem in a delegated portfolio management framework. In this research, we study how fund managers do asset allocation when they face some guaranteed returns and the relationships between the choices of mandates and the behavior of fund managers. We suppose that the objective of the delegated fund managers is to maximize the expected utility of wealth of the long-term fund at the end of each period and fund managers also have to fulfill some constrains given at the beginning. Finally, we explain how fund managers do optimal asset allocation by our model and some numerical analysis.