Thesis (MBA)--Stellenbosch University, 2002. / ENGLISH ABSTRACT: The objective of this mini study project is to examine whether data that has been entered into the databank of the Graduate School of Business of the University of Stellenbosch is correctly recorded. This mini study project forms part of a larger research project undertaken by the USB to keep a databank of listed South African industrial companies. / AFRIKAANSE OPSOMMING: Die doel van die mini studieprojek is om data wat in die databank van die Universiteit van Stellenbosch se Besigheidsskool ingevoer is, vir korrektheid na te gaan. Die mini studieprojek is deel van 'n groter navorsingsprojek van die Besigheidsskool om 'n databank van genoteerde Suid- Afrikaanse industriële maatskappye daar te stel.

Desde a adoção das normas internacionais de relatórios financeiros (IFRS) no Brasil, em 2010, a discussão sobre a classificação de instrumentos financeiros entre instrumentos de dívida ou de patrimônio tem se intensificado. Quando a Lei 11.638/07 foi emitida, alterando a Lei das Sociedades por Ações de 1976, teve o condão de introduzir o padrão contábil internacional na contabilidade brasileira. Entretanto, muitos dos instrumentos e aspectos da legislação societária brasileira não foram alterados ou reavaliados à luz desse novo padrão. De um momento para o outro, empresas se viram obrigadas a classificar como dívida, valores antes classificados com patrimônio líquido, como foram os diversos casos de ações resgatáveis. A própria classificação das ações ordinárias e preferenciais como instrumentos de patrimônio líquido foi colocada em dúvida devido à previsão do chamado dividendo mínimo obrigatório. Nesse ínterim, companhias abertas brasileiras emitiram certos instrumentos financeiros, analisaram e os classificaram como instrumentos de patrimônio líquido. Entretanto, tiveram tal classificação questionada pela CVM e foram requeridas a refazer suas demonstrações financeiras. Mesmo internacionalmente essa classificação não é, muitas vezes, óbvia. As últimas discussões no âmbito internacional relacionados com a classificação de instrumentos financeiros como de dívida ou de patrimônio se concentraram em duas abordagens: a \"abordagem restrita do patrimônio líquido\" (Narrow Equity Approach) e a \"abordagem estrita do passivo\" (Strict Obligation Approach). Este trabalho tem como objetivo avaliar a classificação dos instrumentos financeiros patrimoniais previstos na legislação societária brasileira à luz das normas internacionais de relatórios financeiros. Primeiramente entendendo e avaliando os casos de determinação da CVM de refazimento das demonstrações financeiras de companhias em virtude de classificação considerada inadequada de certos instrumentos financeiros como de patrimônio líquido. Em seguida, avaliando a natureza dos instrumentos patrimoniais previstos na legislação societária brasileira, especialmente as ações com dividendos prioritários, e o impacto dessa prioridade nas demonstrações financeiras das companhias. Com base nos resultados do estudo, concluiu-se que os casos de refazimento estavam relacionados a uma tentativa de classificar instrumentos típicos de dívida como patrimoniais, a partir da alteração de certos termos, mas sem atender a todos os requisitos da norma contábil. Adicionalmente, para as companhias com ações preferenciais com dividendos prioritários, observamos que os instrumentos atendiam a classificação de patrimônio líquido e que a prioridade no recebimento trouxe benefícios de fato para os seus detentores. / Since the adoption of the International Financial Reporting Standards in Brazil, in 2010, the discussion on the classification of financial instruments between debt or equity instruments has intensified. When the law 11,638/07 was issued, changing the Brazilian Corporate Law of 1976, had the effect of introducing international accounting standards in the Brazilian accounting environment. However, many of the instruments and aspects of Brazilian corporate legislation have not changed or reassessed in the light of this new standard. From one moment to the next, companies were required to reclassify amounts from equity to debt, as were the various cases of redeemable shares. Even the classification of ordinary and preferred shares as equity instruments was questioned due to the statutory minimum mandatory dividend. In the meantime, Brazilian listed companies have issued certain financial instruments, analyzed and classified them as equity instruments. However, they had such a classification questioned by the Brazilian Securities and Exchange Comission (CVM) and were required to restate their financial statements. Even internationally, this classification is not often obvious. The latest discussions in the international forum related to the classification of financial instruments as debt or equity focused on two approaches: the Narrow Equity Approach and the Strict Obligation Approach. This study aims to evaluate the classification of equity financial instruments as per the Brazilian corporate legislation in light of the International Financial Reporting Standards. Firstly, understanding and evaluating the cases of restatement of the financial statements of companies as determined by CVM due to misclassification of certain financial instruments as equity. Then, assessing the nature of equity instruments as per the Brazilian corporate legislation, especially the shares with priority dividends, and the impact of this priority in the financial statements of the company. Based on the results of the study, it was concluded that the restatements were related to the attempt of classifying typical debt instruments as equity, by amending certain of their terms, but not meeting all the requirements of the relevant accounting standard. Additionally, for companies with preferred shares with priority dividends, we observed that the instruments were classified as equity and that the priority has effectively brought benefits to these shareholders.

Submitted by Mariana Dornelles Vargas (marianadv) on 2015-05-21T17:51:48Z No. of bitstreams: 1 crise_financeira.pdf: 2510044 bytes, checksum: 47cbe8e20f5fb7074788788160ce47d0 (MD5) / Made available in DSpace on 2015-05-21T17:51:48Z (GMT). No. of bitstreams: 1 crise_financeira.pdf: 2510044 bytes, checksum: 47cbe8e20f5fb7074788788160ce47d0 (MD5) Previous issue date: 2011-05-31 / Nenhuma / A política de dividendos tem sido um dos temas mais controversos em finanças corporativas nos últimos anos, no que concerne a sua definição, por parte dos gestores, afetar ou não o valor da companhia. Sendo esta uma das questões ainda não completamente resolvidas em finanças corporativas, buscou-se identificar quais os fatores influenciaram as políticas de dividendos das empresas brasileiras com ações negociadas na BM&F Bovespa, entre 1995 e 2009, e observar como se comportaram tais políticas ante a crise financeira internacional de 2008/2009. Foi a aplicada técnica de Regressão Linear Múltipla sobre dados em painel nas amostras global e segmentadas por setor, para o objetivo de identificar os fatores, e o teste de diferença de médias para o exame do efeito da crise. No presente estudo, que teve como variável dependente a política de dividendos, substituiu-se o termo 'dividendos' por 'proventos', pois este último abrange a distribuição total, em dinheiro, em relação ao lucro líquido, envolvendo, também, os juros sobre o capital próprio, sendo chamado de índice Pay Out (PO). Os resultados indicaram relação negativa entre o retorno e o PO e positiva entre o endividamento e o PO, ambas significantes. Ao passo que os fatores tamanho, investimento e folga financeira não apresentaram significância estatística nas relações com o PO. Ambos, retorno e endividamento, apresentaram sinais de influência, surpreendentemente, contrários aos resultados encontrados em estudos anteriores. Em contrapartida, o PO passado resultou positivamente relacionado com o PO corrente, com significância estatística, conforme o esperado. Por fim, os efeitos da crise não alteraram, significativamente, os PO. O estudo ratificou um dos resultados de Lintner (1956), válido até hoje em diversos ambientes, também encontrado em tantos outros estudos, qual seja: indícios de que as empresa procuram seguir políticas de proventos estáveis e agradáveis ao "olhar" dos mercados e dos investidores. / The dividend policy has been one of the most controversial subjects in corporate finance in the past years, mainly about its definition to affect or not the firms value. As the dividend policy is one of the issues not yet fully solved in corporate finance, the aims of this study were to identifies which factors influenced the dividend policies of Brazilian firms traded on the BM & F Bovespa, between 1995 and 2009, and to observe how behaved such policies before the international financial crisis by 2008/2009. Was applied a multiple linear regression on panel data in the aggregate sample and segmented by sector to the purpose of identifying factors, and difference of means test to examine the effect of the crisis. In the present study, which was as dependent variable dividend policy, replaced the term dividends for proceeds, because this last covers the entire distribution in cash, compared to net earnings, involving also the interest on equity, called Pay Out (PO). The results indicated a negative relationship between return and PO and positive relationship between debt and PO, both significant. While the factors size, investment and financial slack did not showing statistical significance in relations with the PO. Both return and debt, showed signs of influence, unexpected, contrary to results found in previous studies. In contrast, the PO passed resulted positively related with PO current, with statistical significance, as expected. Finally, the effects of the crisis did not changing significantly the PO's. The study has ratified one of the results of Lintner (1956), valid even today in many markets, also found in many other studies, namely: evidences that firms tend to follow dividends policy stable and pleasant to the look of markets and investors.

The dividend policy and the distribution of cash dividend can be of interest to the investors from many angles. Consequently, many theories have been built on the relevance of dividend policy and there are several theories proposing that dividends increase shareholder value. However, the most famous theory on dividend policy might be Miller and Modigliani's dividend irrelevance theory which implies that the dividend policy does not affect shareholder value. Although investors are concerned with shareholder value they are also concerned with achieving the highest possible return with the lowest volatility (risk). As many studies have focused on the dividend policy, especially dividend yield or the dividend payout ratio, and its relation with stock price movement we felt that there was a lack of information regarding the relation between return volatility and cash dividends. This resulted in the following research question: Does a change in cash dividend affect stock return volatility on NASDAQ OMX Stockholm? Answering this research question is the main purpose of the research. Additionally, the relationship between changes in cash dividend and return volatility will be compared in the different size segments that are to be found on NASDAQ OMX Stockholm. The study is quantitative with a deductive approach where historical data ranging from 2006-2012 has been gathered. Two measures of return volatility has been used, beta and standard deviation of return. Statistical tests have been conducted in an approach to answer the research question, mainly correlation tests and logistic regression analysis. No correlation between changes in cash dividend and changes in beta, nor changes in standard deviation were found. The same results were found when examining small, mid and large cap individually. In the logistic regression analysis no evidence was found that changes in dividend could explain changes in return volatility. Contrary to changes in dividend, the results indicate that the size of the company can explain changes in return volatility. Specifically, large cap companies explain increases in return volatility better than companies in the small cap segment. Therefore, the research question is concluded with no, a change in cash dividend does not affect stock return volatility. The findings could also be argued to be in support of the dividend irrelevance theory. Furthermore, the conclusion implies that investors need not regard the dividend policy when diversifying their portfolios. Additionally, managers need not be worried that a change in dividend policy should affect return volatility.

The dividend payout policy is one of the most debated topics within corporate finance and some academics have called the company’s dividend payout policy an unsolved puzzle. Even though an extensive amount of research regarding dividends has been conducted, there is no uniform answer to the question: what are the determinants of the companies’ dividend payout ratios? We therefore decided to conduct a study regarding the determinants of the companies’ dividend payout ratios on large and medium cap on Stockholm stock exchange. The purpose of the study is to determine if there is a relationship between a number of company selected factors and the companies’ dividend payout ratios. A second purpose is to determine whether there are any differences between large and medium caps regarding the impact of the company selected factors. We therefore reviewed previous studies and dividend theories in order to conclude which factors that potentially could have an impact on the companies’ dividend payout ratios. Based on the literature, we decided to test the relationship between the dividend payout ratio and six company selected factors: free cash flow, growth, leverage, profit, risk and size. The data used in the research are secondary data collected during a time period of five years, between 2006 and 2010. The study follows a quantitative research method with a deductive approach and we have based the study on four dividend theories: the dividend irrelevance theory, the bird in hand theory, the signaling theory and the agency theory. In order to determine whether there is a relationship between the companies selected factors and the dividend payout ratio we conducted both an Ordinary least square (OLS) and a Tobit regression. Multicollinearity tests were also conducted in order to ascertain that no multicollinearity affected the results of the study. The results indicate that some of the company selected factors have an impact on the companies’ dividend payout ratios and there are some differences between large and medium caps. The dividend payout ratios of large caps have a significant relationship to free cash flow, growth and risk. While the dividend payout ratios of medium caps have a significant relationship to free cash flow, leverage, risk and size.

Institutional investors influence corporate payout and research and development (R&D) investment policies. Higher payouts are encouraged by institutional investors, especially in firms with high free cash flow and poor investment opportunities. They also positively influence stock repurchases, particularly in firms with high information asymmetry. The substitution of stock repurchases for dividends as a percentage of total payout is encouraged by institutional investors. Institutional owners persuade firm management to increase research and development (R&D) investment overall and specifically in firms with higher stock liquidity, higher information asymmetry, lower free cash flow, and better investment opportunities. Institutional investors decrease agency costs in payout and R&D investment policy decisions.

In this thesis, I take a theoretical dynamic stochastic general equilibrium (DSGE) approach to investigate optimal aggregate dividend policy. I make the following contribution: 1. I extend the standard DSGE model to incorporate a residual dividend policy, external financing and default and find that simulated optimal aggregate payouts are much more volatile than the observed data when other variables are close to the values observed in the data. 2. I examine the sensitivity of optimal aggregate dividend policy to the level of the representative agent's habit motive. My results show that, when the habit motive gets stronger, the volatility of optimal aggregate payouts increases while the volatility of aggregate consumption decreases. This is consistent with the hypothesis that investors use cash payouts from well diversified portfolios to help smooth consumption. 3. I demonstrate that the variability of optimal aggregate payouts is sensitive to capital adjustment costs. My simulated results show that costly frictions from changing the capital base of the firm cause optimal aggregate dividends and real investments to be smooth and share prices to be volatile. This finding is consistent with prior empirical observations. 4. I run simulations that support the hypothesis that optimal aggregate dividend policy is similar when the representative firm is risk averse to when it has capital adjustment costs. In both cases, optimal aggregate dividends volatility is very low. 5. In all calibrated DSGE models, apart from case 4, optimal aggregate payouts are found to be countercyclical. This supports the hypothesis that corporations prefer to hold more free cash flows for potential investment opportunities instead of paying dividends when the economy is booming, but is inconsistent with observed data. Keywords: Dynamic Stochastic General Equilibrium (DSGE), real business cycle, utility function, habits, dividends.

El análisis de la solvencia en las carteras de seguros no vida es un tema que ha sido muy tratado en la literatura actuarial generando una amplia bibliografía. Las hipótesis y los riesgos analizados han ido ampliándose, incluyéndose, ya no sólo el riesgo básico que viene representado por las fluctuaciones de la siniestralidad, sino otros muchos factores como la rentabilidad de las reservas, la inflación, los ciclos económicos, el reparto de dividendos, etc... El entorno en el que se desarrolla la tesis es el enfoque que ofrece la teoría del riesgo, que se centra básicamente en la modelización de la cuantía total de los siniestros de una cartera de riesgo.Dentro de la teoría del riesgo se encuentran trabajos que plantean la introducción de políticas de dividendos en los modelos básicos que formalizan el comportamiento de las reservas en carteras de seguros no vida. La idea consiste en que la parte de las reservas consideradas excedentes se repartan en forma de dividendos. Formalmente, su introducción en el modelo, se realiza mediante la definición de barreras de dividendos que determinan las cuantías de reservas que como máximo la compañía de seguros ha decidido mantener.El estudio de los efectos de la modificación del modelo mediante la introducción de estrategias de reparto de dividendos se convierte en el punto de partida de la tesis. Así, los objetivos generales de la tesis se pueden agrupar básicamente en dos:· Analizar los efectos de la introducción de barreras de dividendos en la probabilidad de ruina.· Cuantificar los dividendos repartidos.Respecto al primer objetivo indicado, es evidente que la introducción de políticas de dividendos provoca una menor acumulación de reservas, y por tanto una mayor probabilidad de que las reservas sean insuficientes para cubrir la siniestralidad. Analizar cómo se verá afectada la solvencia de las carteras en función de la política de dividendos elegida será pues uno de los puntos a tratar a lo largo del trabajo.En lo relativo a la cuantificación de los dividendos repartidos, se puede considerar el papel de los dividendos como incentivo a los accionistas que han aportado el capital inicial, dividendos que pueden ser considerados, bien como rendimientos, bien como amortización a su inversión inicial. Se debería valorar, por tanto, si un mayor reparto de dividendos compensa el mayor riesgo de insolvencia, situación que puede interpretarse como una más rápida amortización de las aportaciones iniciales.De ahí surge la necesidad de cuantificar los dividendos repartidos, de analizar su influencia sobre la solvencia de la cartera y de determinar la política de dividendos considerada óptima desde el punto de vista de criterios económico-actuariales.La elección de la magnitud elegida para valorar los dividendos repartidos es un aspecto básico. Así, veremos a lo largo del trabajo como en la literatura actuarial se trabaja con la esperanza del valor actual de los dividendos repartidos, asumiendo que el proceso acaba en el momento de ruina o bien permitiéndose valores negativos de las reservas, y por tanto la recuperación del proceso.Una vez planteados los objetivos, surgió la necesidad de formalizar el modelo modificado con el reparto de dividendos. Así, en el Capítulo 2, se especifican las hipótesis a partir de las cuales se determina el reparto: se puede considerar que se repartirán dividendos siempre que el nivel de las reservas alcance el nivel de la barrera de dividendos (reparto continuo), o bien que el reparto sólo se producirá en momentos determinados del tiempo, suponiendo que las reservas sean mayores que la cuantía predeterminada por la barrera de dividendos (reparto discreto). Se recogen también los dos tipos de barreras definidas en la literatura actuarial: por un lado, las barreras reflectantes, que mantienen el nivel de las reservas en la barrera hasta la ocurrencia del siguiente siniestro, y por otro, las barreras absorbentes, definidas de tal forma que siempre que las reservas alcancen la barrera, se da por acabado el proceso.Una vez definidas las hipótesis de reparto y su formalización, otro de los temas interesantes fue el de analizar las barreras que aparecían definidas en la literatura actuarial para controlar el crecimiento ilimitado de las reservas. Así, encontramos trabajos sobre la barrera constante y la barrera lineal creciente.Nos centramos primero en el estudio de la barrera constante, realizado en los Capítulos 3 y 6. En el capítulo 3 se analiza suponiendo reparto continuo, y en el capítulo 6 se asume reparto discreto. Independientemente del reparto asumido, la característica básica es que, en el análisis en tiempo infinito, se producen valores de la probabilidad de ruina igual a uno. Se recoge la demostración asumiendo reparto continuo, y se presenta la demostración de que en el reparto discreto la ruina también es segura.En el análisis de la barrera constante, al ser la ruina cierta, centramos el estudio en la cuantificación de los dividendos repartidos. En la primera parte del capítulo 3 se presentan nuevas medidas que permiten aportar datos sobre la cuantía y el momento en que se empiezan a repartir dividendos, suponiendo que éstos sean positivos, mientras que en la segunda parte se realiza un estudio en el que se determina un óptimo económico del nivel de la barrera y el nivel inicial de las reservas. La idea que nos llevó a plantear este problema es que se puede considerar el nivel inicial de las reservas como una aportación de los accionistas. La comparación de esta cuantía con los dividendos que recibirán a cambio permite hallar combinaciones óptimas y obtener datos para analizar la rentabilidad obtenida por los accionistas.En el capítulo 6, en el que se analiza la barrera constante con reparto discreto, y tras buscar la bibliografía existente, hallamos que el cálculo de los dividendos repartidos se realizaba para unas distribuciones del coste total concretas. Así, nos planteamos un método de resolución válido para cualquier distribución discreta de la siniestralidad agregada. Optamos por el planteamiento de un sistema de ecuaciones lineal y su correspondiente generalización en la forma matricial que nos permitiese hallar la esperanza del valor actual de los dividendos, independientemente de la distribución del coste agregado.La otra barrera planteada hasta ahora, es la barrera lineal tratada en el Capítulo 4. Aquí la ruina ya no es segura, por lo que debemos plantearnos el cálculo de la probabilidad de ruina, tema tratado en la primera parte del capítulo.La segunda parte está dedicada a la valoración de las cuantías repartidas en forma de dividendos. De especial importancia en este capítulo es el uso de un planteamiento alternativo para el cálculo de la probabilidad de ruina y de los dividendos repartidos (Grandell (1991)), que nos permite la demostración analítica de las condiciones de contorno necesarias para la resolución de las ecuaciones en derivadas parciales obtenidas.En el capítulo 5 presentamos una nueva barrera de dividendos a la que denominamos barrera parabólica. La idea de introducir una nueva estrategia de reparto de dividendos surgió cuando, mediante simulación, pudimos comprobar que existen barreras alternativas equivalentes desde el punto de vista de la solvencia, pero que producen un reparto de dividendos diferente. Analizamos en este capítulo la probabilidad de ruina y los dividendos repartidos, incluyéndose comparaciones con la barrera lineal.En el capítulo 7 se presentan las conclusiones de la Tesis. En el capítulo 8 se incluyen los programas informáticos en Fortran y APL2 necesarios para el desarrollo de algunos apartados de la Tesis.

Submitted by Marcia Bacha (marcia.bacha@fgv.br) on 2012-05-09T20:07:57Z No. of bitstreams: 1 Dissertação Felipe Abad_vf_ajustada.pdf: 187905 bytes, checksum: 5977776224399c96e40832eb3146850a (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2012-05-09T20:08:09Z (GMT) No. of bitstreams: 1 Dissertação Felipe Abad_vf_ajustada.pdf: 187905 bytes, checksum: 5977776224399c96e40832eb3146850a (MD5) / Made available in DSpace on 2012-05-09T20:10:51Z (GMT). No. of bitstreams: 1 Dissertação Felipe Abad_vf_ajustada.pdf: 187905 bytes, checksum: 5977776224399c96e40832eb3146850a (MD5) Previous issue date: 2011 / This study aims to evaluate the behavior of the stock return around exdistribution of capital days in the Brazilian stock market. Using the event study methodology we found evidences of an abnormal return around the event. It was found that the abnormal return persists among the period from 2000 to 2010. Additionally, we verify that for the Brazilian market it is not possible to assign the effect of taxes the cause of the abnormal results. / Este estudo procura avaliar o comportamento do retorno das ações ao redor das datas ex-distribuição de capital no mercado acionário brasileiro. A partir da metodologia de estudo de eventos encontramos indícios da existência de um retorno anormal médio ao redor do evento. Constatou-se que o retorno anormal persiste do longo do período de 2000 até o fim de 2010. Adicionalmente verificamos que no caso brasileiro não é possível atribuir ao efeito dos impostos a presença do retorno anormal verificado.

Submitted by Carina Rizzi (carina.rizzi@fgv.br) on 2016-10-20T13:31:32Z No. of bitstreams: 1 Federico_RIVA_Final_Version_FGV.pdf: 869421 bytes, checksum: 3ae1d66c6fc26adc451331c13a55b1a4 (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-10-20T13:33:47Z (GMT) No. of bitstreams: 1 Federico_RIVA_Final_Version_FGV.pdf: 869421 bytes, checksum: 3ae1d66c6fc26adc451331c13a55b1a4 (MD5) / Made available in DSpace on 2016-10-20T13:36:01Z (GMT). No. of bitstreams: 1 Federico_RIVA_Final_Version_FGV.pdf: 869421 bytes, checksum: 3ae1d66c6fc26adc451331c13a55b1a4 (MD5) Previous issue date: 2016 / The size of mutual funds throughout the world reached $33.4 trillion in terms of assets under management in 2015. Part of these funds is invested directly or on behalf of private investors whose aim is to secure their future financial wealth. I have been following a stream of literature from the 1980’s that focuses on the relation between dividends stability and returns for equities. A recent research analyzes the benefits of maximizing returns from income such as dividend-paying stocks and coupon-bearing bonds in the attempt of improving the performance of the portfolio. The theory is that focusing on stable dividend-paying stocks, the investor is able to gain exposure to healthy and prosperous firms. Ultimately, this should provide the investor with a smaller exposure to risk thanks to a constant stream of cash flows from dividends. This strategy would be beneficial to highly risk-averse investors. / O tamanho de fundos mútuos ao redor do mundo alcançou $33.4 trilhões em termos de AUM em 2015. Parte destes fundos é investida diretamente ou em nome de investidores privados cujo objetivo é preserver a riqueza financeira futura deles/delas. Eu procurei referências literárias desde 1980 que foca na relação entre a estabilidade de dividendos e os lucros para ações ordinárias. Uma recente pesquisa analisa os benefícios de maximizar lucros de renda como ações com dividendos e tÍtulos com cupom na tentativa de melhorar o desempenho da carteira. A teoria é aquela enfocação em ações com dividendos estáveis, o investidor pode ganhar exposição a empresas saudáveis e prósperas. No final das contas, isto deveria proporcionar o investidor uma menor exposição a risco graças à estabilidade nos fluxos provenientes de dividendos. Essa estratégia seria benéfica a investidores com uma alta aversão ao risco.