Made available in DSpace on 2016-04-26T20:19:50Z (GMT). No. of bitstreams: 1 BRUNO MENEZES BRASIL.pdf: 1451861 bytes, checksum: 031cd365c94984dda164be350c2c7898 (MD5) Previous issue date: 2010-12-13 / An introduction of the discipline about interest on capital in the Brazilian legal system in 1995 with the publication of Law 9.249/95 brought many questions for operators of Law. On one hand, the referred legal provision allowed the accounting of amounts paid under this title as an expense of the paying legal entity for the deduction of the calculation basis of the IRPJ/CSLL. On the other hand, it s conditioned the payment of interest to limits such as the existence of profits in the period or on account of accumulated profits, which is inconsistent with the legal regime of interest under the Civil Code. In addition, it s established as a calculation basis for the payment of interest on capital the account of equity, excluding a reserve account of revaluation of assets and legal rights of the legal entity, and as percentage the variation of the LTIR during the period, which is at least a unique way to calculate an interest rate. The Federal Revenue in order to regulate the related bill has determined normative instructions that define the classification of interest on capital as expenditures for who pays and as revenues for who receives. The CVM, on its turn, has also determined a legislation on the matter by establishing that they should be classified in the retained earnings account of the paying as well as the receiving legal entity, the latter only when evaluated by the equity method and provided that the interest on capital is still integrating the equity of the investee. The possibility to impute the interest on capital to mandatory dividends also brought more questions about the actual legal nature of these, giving space to many questions about what rules apply, whether the CVM or the Federal Revenue. Moreover, the lack of clarity of the Law confirms the questions about the incidence of PIS/COFINS on the receipt of interest on capital. In this scenario, this work aims to tackle the main controversial aspects of the law that governs the institute, demonstrating doctrinal and jurisprudential positions on the matter and concluding with the author's position on the legal nature of the interest on capital / A introdução da disciplina dos juros sobre o capital próprio no ordenamento jurídico brasileiro em 1995, com a edição da Lei 9.249/95, suscitou muitos questionamentos para os operadores do direito. De um lado, esse dispositivo legal permitiu a contabilização dos valores pagos sob esse título como despesa da pessoa jurídica pagadora para fins de dedução da base de cálculo do IRPJ/CSLL. De outro, condicionou o pagamento dos juros a limites, como a existência de lucros no período ou na conta de lucros acumulados, o que não se coaduna com o regime jurídico dos juros previstos no Código Civil. Em adendo, estabeleceu como base de cálculo para pagamento dos juros sobre capital próprio a conta do patrimônio líquido, excluída a conta de reserva de reavaliação de bens e direitos da pessoa jurídica, e como alíquota a variação da TJLP do período, o que é no mínimo uma forma sui generis de se calcular uma taxa de juros. A Receita Federal do Brasil, visando regulamentar a referida lei definiu instruções normativas que determinavam a classificação dos juros sobre capital próprio como despesas para quem paga e como receitas para quem recebe. A CVM, por seu turno, também baixou regulamentação sobre a matéria, determinando que os juros sobre o capital próprio sejam classificados na conta de lucros acumulados da pessoa jurídica pagadora e também da pessoa jurídica recebedora. Essa última poderá ser considerada apenas quando pelo método da equivalência patrimonial e desde que os juros sobre o capital próprio ainda estejam integrando o patrimônio líquido da investida. A possibilidade de imputação dos juros sobre capital próprio aos dividendos obrigatórios trouxe mais dúvidas sobre a real natureza jurídica desses juros, dando espaço para muitos questionamentos sobre qual regulamentação aplicar, se a da CVM ou a da Receita Federal. A pouca clareza da Lei corrobora os questionamentos sobre a incidência do PIS/COFINS sobre o recebimento dos juros sobre capital próprio. Diante desse cenário, o presente trabalho busca enfrentar os principais aspectos polêmicos da legislação que regula o instituto, demonstrando posições doutrinárias e jurisprudenciais sobre a matéria e concluindo, com a posição deste autor, sobre a natureza jurídica dos juros sobre o capital próprio

This is a study of the ex-dividend day. The study covers six years (2007-2012) and studies the shares included in the OMXS30 on the Stockholm stock exchange. OMXS30 is a share index of the 30 most actively traded stocks on the exchange. The study comprised a total of 145 observations. The purpose of this study is to investigate if the stock price on the ex-dividend day unfolds as the efficient market hypothesis teach or if there exists room for speculation, and thus earn a return higher than the market.The ex-dividend day effect has been studied previously, both on the Swedish market but also abroad. The results of previous researchers are different but they all have one thing in common, namely that there is a certain ex-dividend day effect.When calculating the ex-dividend day effect, the stock prices had to be adjusted for the normal return that occurs during the ex-dividend day. The normal return is not something that is universally known, but must be estimated by the author. In this study, it was estimated using the OMXS30 index movements relative to each company's beta. After that price drop ratio is calculated. The authors found that the share price on average fell by about 90 % of the dividend amount, with the possibility of an excess return of approximately 0.37 %. This was according to statistical tests significantly different from one, indicating that the ex-dividend day effect exists. By studying each year the authors found significant discrepancies between the years that cannot be explained, the authors themselves could conclude that the price drop ratio exists in symbiosis with the current economic situation.

The aim of this thesis is to develop algorithmic methods for computing particular performance measures of interest for a general class of discrete-based insurance risk models. We build upon and generalize the insurance risk models considered by Drekic and Mera (2011) and Alfa and Drekic (2007), by incorporating a threshold-based dividend system in which dividends only get paid provided some period of good financial health is sustained above a pre-specified threshold level. We employ two fundamental methods for calculating the performance measures under the more general framework. The first method adopts the matrix-analytic approach originally used by Alfa and Drekic (2007) to calculate various ruin-related probabilities of interest such as the trivariate distribution of the time of ruin, the surplus prior to ruin, and the deficit at ruin. Specifically, we begin by introducing a particular trivariate Markov process and then expressing its transition probability matrix in a block-matrix form. From this characterization, we next identify an initial probability vector for the process, from which certain important conditional probability vectors are defined. For these vectors to be computed efficiently, we derive recursive expressions for each of them. Subsequently, using these probability vectors, we derive expressions which enable the calculation of conditional ruin probabilities and, from which, their unconditional counterparts naturally follow. The second method used involves the first claim conditioning approach (i.e., condition on knowing the time the first claim occurs and its size) employed in many ruin theoretic articles including Drekic and Mera (2011). We derive expressions for the finite-ruin time based Gerber-Shiu function as well as the moments of the total dividends paid by a finite time horizon or before ruin occurs, whichever happens first. It turns out that both functions can be expressed in elegant, albeit long, recursive formulas. With the algorithmic derivations obtained from the two fundamental methods, we next focus on computational aspects of the model class by comparing six different types of models belonging to this class and providing numerical calculations for several parametric examples, highlighting the robustness and versatility of our model class. Finally, we identify several potential areas for future research and possible ways to optimize numerical calculations.

The aim of this thesis is to develop algorithmic methods for computing particular performance measures of interest for a general class of discrete-based insurance risk models. We build upon and generalize the insurance risk models considered by Drekic and Mera (2011) and Alfa and Drekic (2007), by incorporating a threshold-based dividend system in which dividends only get paid provided some period of good financial health is sustained above a pre-specified threshold level. We employ two fundamental methods for calculating the performance measures under the more general framework. The first method adopts the matrix-analytic approach originally used by Alfa and Drekic (2007) to calculate various ruin-related probabilities of interest such as the trivariate distribution of the time of ruin, the surplus prior to ruin, and the deficit at ruin. Specifically, we begin by introducing a particular trivariate Markov process and then expressing its transition probability matrix in a block-matrix form. From this characterization, we next identify an initial probability vector for the process, from which certain important conditional probability vectors are defined. For these vectors to be computed efficiently, we derive recursive expressions for each of them. Subsequently, using these probability vectors, we derive expressions which enable the calculation of conditional ruin probabilities and, from which, their unconditional counterparts naturally follow. The second method used involves the first claim conditioning approach (i.e., condition on knowing the time the first claim occurs and its size) employed in many ruin theoretic articles including Drekic and Mera (2011). We derive expressions for the finite-ruin time based Gerber-Shiu function as well as the moments of the total dividends paid by a finite time horizon or before ruin occurs, whichever happens first. It turns out that both functions can be expressed in elegant, albeit long, recursive formulas. With the algorithmic derivations obtained from the two fundamental methods, we next focus on computational aspects of the model class by comparing six different types of models belonging to this class and providing numerical calculations for several parametric examples, highlighting the robustness and versatility of our model class. Finally, we identify several potential areas for future research and possible ways to optimize numerical calculations.

本研究探討稅率差異是否會影響台商海外子公司股利匯回。由於台灣目前對於國外稅額扣抵的方法採的是直接扣抵法，與大部分國家所採的國外所得免稅法及間接扣抵法不同，因此對於海外子公司只有在扣繳稅率若高於台灣營利事業所得稅率時，才必須負擔匯回的稅負。本研究將稅率差異的部分，分為海外子公司平均稅率以及扣繳稅率，來觀看在這兩個稅率之下對於股利匯回的影響。研究結果顯示，當國外扣繳稅率高於我國營利事業所得稅率時，其匯回的數目會降低，表示扣繳稅率的確是會阻礙公司股利匯回的一項障礙；但是當海外的平均公司稅率越高，則股利匯回的數目會增加，本研究認為盈餘大部分皆從稅率較高的國家匯回，因此導致這樣的結果。最後本研究將對台灣目前對於股利匯回的稅制進行建議，以健全台灣目前對於企業課稅的稅制。 / This study investigates the relationship between the tax rates and the dividend repatriation among the overseas subsidiaries of Taiwanese companies. Due to the adoption of “the direct method” for foreign tax credit, different from other countries, the Taiwanese companies will afford repatriation tax when they repatriate dividends from the countries whose withholding tax rates are higher than Taiwanese corporate tax rate. The difference of tax rates between countries defined in this study consists of two parts－average tax rate of overseas subsidiaries and withholding tax rates. And the result is the higher withholding tax rates overseas subsidiaries afford, the lower dividends are repatriated, which means the withholding tax is the barrier of the dividend repatriation. Another result shows the higher the overseas subsidiaries average corporate tax rates, the more dividend repatriates, which suggests that the dividends repatriate from the countries with higher corporate tax rate. Finally, this study also gives some recommendations for the Taiwanese tax policy about dividend repatriations in order to reform the corporate tax system.

Följande uppsats undersöker hur svensk utbetalningspolitik har utvecklats under åren 1992-2012. Urvalet består av de företag som under våren 2014 var noterade på Stockholmsbörsens “Large”, “Mid” eller “Small Cap” lista. Återköpens andel av den totala utbetalningsandelen visar sig inte vara lika hög som andra internationella studier har visat. Det är istället utdelningarna som utgör merparten av de totala utbetalningarna. Däremot så har andelen företag som enbart delar ut minskat trots att utdelningarna ökat, vilket också styrks av resultat från tidigare studier. Lägre nettoresultat under finanskrisen följs av minskade utbetalningar under 2008-2009. Återköpen minskar under denna period markant till att i stort sätt utebli, vilket bekräftar tidigare studier. / This paper provides evidence on Swedish payout policy during the past 20 years (1992-2012). The sample data consists of companies that were listed on Stockholm Stock Exchange (SSE) “Large”, “Mid” or “Small Cap” list during spring 2014. We show that repurchases of shares still represents a small proportion of the total payout, which contradicts results from other international studies. The dividends therefore still constitute the bulk of the total payments. We document a drop in net income during the financial crisis followed by reduced payments during 2008-2009. Repurchases decrease significantly during this period to virtually absent; confirming previous studies that argue that repurchases are a more flexible payout method than dividends.

Investors are continuously looking to increase the return on their investments. In an ideal world investors want to increase there return and outperform the market. Theory states that it is impossible to do so without increasing your risk. Arbitrage is a concept where investors are able to generate risk-free returns exceeding the market. Dividend is a common tool for publicly listed firms when rewarding their shareholders. On ex- dividend day, the day after the dividend payout, the stock price should according to theory decrease in order for the valuation of the stock to be held constant. In our research we investigate if there are arbitrage opportunities in connection to the dividend payouts, namely the ex-dividend effect. We want to generalize our results across experimental settings, thus across different stock markets. As a basis for our research we picked the OMXS. We base our research on three theoretical areas: the dividend irrelevancy theory, the efficient market hypothesis and the anchoring theory. The dividend irrelevancy relates to how the stock price ought to behave on ex-dividend day whereas the efficient market hypotheses states that prices on a market fully reflects all available information. Both theories concur that no arbitrage opportunities should be available on the financial market. The anchoring theory highlights the fact that investors formulate an anchor price for financial assets, for example stocks. In our research we aim to formulate a practical method on how to make abnormal returns on the ex dividend effect, based on the anchoring theory. Our census sample consists of dividend-paying firms publicly registered on the OMXS, and consists of 694 observations taken from 2009 to 2012. The sample was picked on the basis of characteristics, for example that the firm has been registered for at least four years and paid dividend one time during the four years of investigation. In order to tests for arbitrage opportunities on ex-dividend day, we used a simple mathematical model measuring the deviation between the price drop cum-dividend day to ex-dividend day, and the dividend amount. We conclude that the price drop differs from the dividend amount, only accounting for a price drop of 0.73 of the dividend amount. Thus, the price drop for each dividend unit is 0.73, in relation to a perfectly efficient market where there should be no difference; hence the price drop would be equal to the dividend amount, 1. Research on the ex-dividend effect is a thoroughly investigated area, where the first research was presented in 1955. Previous research all attempts to explain why there are market anomalies, but none examine how one can capitalize on the findings. In our research we examine if it is possible to make abnormal returns based on a segmenting of stocks, depending on their price volatility. This research is thereby first in examining how to capitalize on found arbitrage opportunities.

Thesis (Ph.D.)--University of Canterbury, 2006. / Typescript (photocopy). Includes bibliographical references (p. 223-236). Also available via the World Wide Web.

This paper examines the short and long-term interdependencies between stock prices and dividends. I utilize firm level data from FTSE ALL SHARE from 1990-2014 and apply panel vector error correction model estimated with Engle & Grangers (1987) two-step procedure. The results show that there is a bi-directional long-term relationship between stock prices and dividends, i.e. an adjustment process is at work when a disequilibrium occurs. I also find a bi-directional short-term relationship. This paper also shows that Lintners model and the present value model are relevant frameworks in stock valuations.

Submitted by Luciana Fernandez (lucianalopescsf@gmail.com) on 2017-12-19T22:08:09Z No. of bitstreams: 1 Dissertação - Luciana Lopes - FGV MEX 2017 final.pdf: 9572334 bytes, checksum: c289a6af3459a55d5724d697acf092aa (MD5) / Approved for entry into archive by Janete de Oliveira Feitosa (janete.feitosa@fgv.br) on 2017-12-20T11:29:15Z (GMT) No. of bitstreams: 1 Dissertação - Luciana Lopes - FGV MEX 2017 final.pdf: 9572334 bytes, checksum: c289a6af3459a55d5724d697acf092aa (MD5) / Made available in DSpace on 2017-12-26T18:37:16Z (GMT). No. of bitstreams: 1 Dissertação - Luciana Lopes - FGV MEX 2017 final.pdf: 9572334 bytes, checksum: c289a6af3459a55d5724d697acf092aa (MD5) Previous issue date: 2017-11-24 / Este estudo pretende inferir sobre a influência que a política tributária brasileira de dividendos exerce, quando prevê a isenção do imposto, na capacidade das empresas de angariarem recursos através do investimento direto, especificamente as empresas L TOA. Para atender ao objetivo deste trabalho, a metodologia utilizada foi a pesquisa qualitativa, do tipo exploratório e explicativa, considerando uma amostragem não probabilística, usando a seleção por julgamento. Foram realizadas entrevistas semiestruturadas em profundidade com 16 profissionais. Os dados obtidos foram analisados por meio da técnica de análise de entrevista utilizando o método de análise de conteúdo à luz das seguintes categorias: atratividade na captação de recursos, planejamento tributário, falta de transparência e divulgação, carga tributária e risco, e boa prática para a sociedade. Os resultados da pesquisa demonstraram que a política de dividendos é um instrumento de atratividade para o investimento, especialmente o estrangeiro. Todavia, o investidor brasileiro vê risco na prática dado o histórico de constantes mudanças na legislação brasileira e no inócuo esclarecimento e divulgação sobre o tema. Salientam-se as limitações do estudo quanto à difícil organização das informações colhidas nas entrevistas: a pouca sistematização, a dificuldade de expressão do entrevistado; a incompreensão acerca das perguntas; a disposição do entrevistado em dar informações; e a retenção de dados importantes por parte dos entrevistados. A partir desses resultados a autoridade política pode identificar pontos de melhoria, objetivando otimizar a aplicabilidade da política atual. Ao identificar focos que inibem o engajamento da sociedade, os cidadãos podem avaliar o papel e importância do investimento privado no desenvolvimento da economia brasileira. / This study intends to infer about the influence that the Brazilian tax policy of dividends exerts, when it foresees the exemption of the tax, in the ability of the companies to raise resources through the direct investment, specifically the companies LTDA.In order to meet the objective of this study, the methodology used was the qualitative research, of the exploratory and explanatory type, considering a non-probabilistic sampling, using selection by judgment. In-depth semi-structured interviews were conducted with 16 professionals. The data obtained were analyzed through the interview analysis technique using the content analysis method in light of the following categories: attractiveness in fundraising, tax planning, lack of transparency and disclosure, tax burden and risk, and good practice for the society.The research results showed that the dividend policy is an instrument of attractiveness for investment, especially to foreigner. However, the Brazilian investor sees risk in practice given the history of constant changes in Brazilian legislation and in innocuous clarification and disclosure on the subject.The limitations of the study regarding the difficult organization of the information collected in the interviews are highlighted: the lack of systematization, the interviewee's difficulty of expression; misunderstanding about the questions; the willingness of the interviewee to give information; and the retention of important data by respondents.From these results the political authority can identify improvement points, aiming to optimize the applicability of the current policy.By identifying focuses that inhibit the engagement of society, citizens can assess the role and importance of private investment in the development of the Brazilian economy.