本研究將財務危機分為『經營不善型財務危機』以及『舞弊型財務危機』兩種類型，運用離散時間涉險方法，探討何種公司治理與財務資訊最有可能發生舞弊型的財務危機。同時本研究也探討財務危機對負債比率的敏感性如何受到公司治理中介變數的影響。 實證結果發現當公司治理機制情形不好，但財務報表資訊良好時，發生舞弊型財務危機的可能性將大於經營不善型的財務危機。而財務危機對負債比率的敏感度會受到公司治理中介變數的影響。 / With financial distress being classified as operating-failure financial distress and fraud financial distress, this study employs discrete-time survival model to characterize the fraud financial distress by corporate governance and financial performance. It also investigates the moderate effect of corporate governance on the sensitivity of financial distress to debt ratio. The empirical results indicate that companies with weak corporate governance and good financial performance are more likely to encounter fraud financial distress than operating-failure financial distress. In addition, corporate governance positively moderates the sensitivity of financial distress to debt ratio.

O propósito deste estudo é investigar os potenciais determinantes da qualidade das auditorias no Brasil. Seus determinantes foram definidos a partir da abordagem teórica oferecida pelo modelo de Arruñada (1997), expandido na dimensão de competência profissional dos auditores. Adicionalmente, no sentido de se testar, empiricamente, os determinantes da qualidade das auditorias realizadas nas empresas listadas na Bovespa no período de 1998 a 2008, um construto inédito (o Índice de Qualidade das Auditorias IQUA) foi desenvolvido. Os resultados alcançados sugeriram que a qualidade das auditorias é inferior quanto maior o conflito de agência entre controladores e não controladores e quanto maior o tempo de relacionamento contínuo entre o auditor e a entidade auditada. Adicionalmente, as evidências empíricas coletadas indicaram que as firmas de auditoria chamadas de Big-N, bem como os auditores especialistas nos segmentos de indústria de seus clientes, oferecem serviços de maior qualidade. / The aim of this research is to investigate the potential determinants of audit quality in Brazil. Such determinants were defined by using the theoretical perspective of Arruñadas (1997) model, expanded in the dimension of auditors professional competence. Furthermore, in order to empirically test the determinants of audit quality for Brazilian listed companies between 1998 and 2008, an original construct (Audit Quality Index IQUA) has been developed. Results from such tests suggest that audit quality is lower when agency conflicts between controlling and non-controlling shareholders are higher and when auditors tenure is higher. Moreover, evidence obtained from empirical testing indicated that the so-called Big-N audit firms, as well as specialized auditors, offer higher quality audit services to their clients.

Este trabalho procura aprofundar o estudo de anomalias ao CAPM no mercado acionário brasileiro e explorar as relações destas anomalias com a característica dificuldade financeira, a qual é representada pela classificação de risco das empresas, usando estratégias de compra e venda a descoberto baseadas nas anomalias. As anomalias estudadas serão o efeito de momento, momento nos lucros, a volatilidade idiossincrática, o crescimento dos ativos, o investimento em capital e o efeito contrário. Nosso objetivo é examinar o impacto da característica dificuldade financeira sobre o retorno esperado das ações de empresas do grupo de menor classificação de risco. Para cumprir nosso objetivo, inicialmente usamos todas as ações da Bolsa de Valores de São Paulo (Bovespa) para comparar estas com a amostra de empresas que possuem classificação de crédito de longo prazo. O período estudado é de Janeiro de 2000 a Dezembro de 2012. Os métodos usados foram baseados em ordenação de carteiras e regressões univariadas e multivariadas de corte transversal. Encontramos algumas evidências de que empresas com classificação de crédito sugerem retornos anormais diferentes daqueles da amostra de todas as empresas. Este resultado foi significante, negativo e persistente em todas as especificações. Evidenciamos também que para empresas do menor tercil de classificação de crédito, o efeito contrário está presente e com retornos anormais positivos e significantes de 2,02% a.m. Isto nos dá alguma evidência de que a deterioração de crédito poderia ter um impacto no retorno ajustado exigido pelos investidores. / In this paper, we extend the CAPM anomalies study field in the Brazilian stock market and we explore the relationship between these anomalies and financial distress, represented by a credit rating classification, using anomaly-based trading strategies. The anomalies selected for this study are: momentum effect, earnings momentum, idiosyncratic volatility, asset growth, capital investment and the reversal effect. Our main goal is to investigate the impact of financial distress on the expected return of companies in lowest credit rating group. To fulfill this goal, first we use all the stocks in the São Paulo Stock Exchange (Bovespa), to compare these with the subset of companies which have a long-term credit rating. We studied the period from January 2000 through December 2012. The procedures carried in this study are based on portfolio sorts and cross-sectional univariate and multivariate regressions. We find evidence that the subsample of companies with a credit rating have abnormal returns different from that of the whole sample. These results are statistically significant, negative and persistent across all specifications. We also find some evidence that for companies in the lowest tercile of credit rating, the reversal effect is present and with positive and statistically significant abnormal returns in the magnitude of 2.02% per month. This gives some evidence that credit deterioration could have an impact on the risk-adjusted return required by investors.

The mainstream quantitative models in the finance literature have been ineffective in detecting possible bankruptcies during the 2007 to 2009 financial crisis. Coinciding with the same period, various researchers suggested that sentiments in social media can predict future events. The purpose of the study was to examine the relationship between investor sentiment within the social media and the financial distress of firms Grounded on the social amplification of risk framework that shows the media as an amplified channel for risk events, the central hypothesis of the study was that investor sentiments in the social media could predict t he level of financial distress of firms. Third quarter 2014 financial data and 66,038 public postings in the social media website Twitter were collected for 5,787 publicly held firms in the United States for this study. The Spearman rank correlation was applied using Altman Z-Score for measuring financial distress levels in corporate firms and Stanford natural language processing algorithm for detecting sentiment levels in the social media. The findings from the study suggested a non-significant relationship between investor sentiments in the social media and corporate financial distress, and, hence, did not support the research hypothesis. However, the model developed in this study for analyzing investor sentiments and corporate distress in firms is both original and extensible for future research and is also accessible as a low-cost solution for financial market sentiment analysis.

Purpose: To investigate if Altman´s Z´-score model, which calculates financial distress, can be applied on companies established in Sweden and if the financial crisis in 2008 made previously healthy companies go bankrupt. Methodology: Quantitative studies with a positivistic foundation. Empirical data will be collected in order to examine if there is generalizability among the studied objects. Conclusions will be made by comparing the empirical data with the theoretical foundation. Financial distress in firms will be measured. Theoretical perspectives: Altman´s Z´-score model, designed to predict financial distress in private firms. Empirical foundation: A selection of 93 private firms that have gone bankrupt in the years 2008, 2009 or 2010. The firms selected all have a turnover that exceeds 20 million SEK. The years examined will be 2005 to 2009. Conclusion: As this study is carried out, the conclusion is that Altman´s Z´-score model cannot be applied on companies established in Sweden.

The cash conversion cycle which is a very important indicator measures how efficient a company manages its working capital. This indicator clearly points the effect of a company business operation from the cash flow point of view. Basically, it is an excellent systematic financial system that includes the function which will fully describe the important parts of daily operation behavior of a company. According to this study, the cash conversion cycle can completely show the skeleton of working capital management and its own business operation character of a company. By using the cash conversion cycle as a base, the model of working capital management cycle is created from a system dynamics method. A close-tight and highly dependent relationship between revenue and profit growth rate with the cash conversion cycle is illustrated in this model by inputting some criteria. The illustration shows: 1.The cash conversion cycle will affect a company¡¦s profitability. 2.The cash conversion cycle will affect Cash flow shortage risk. 3.The cash conversion cycle focuses on the period of time between ¡§payment and receiving¡¨. When a company¡¦s revenue increases substantially but profit is not increased accordingly, the length of time between payments and receiving shows a gap is created by increasing cash payments on production but less increasing or decreasing cash receiving on sales. This gap will gradually cause cash outflow greater than cash inflow. Although the account indicates that the company is profitable, the company business operation will still suffer from the cash shortage eventually. Of course, the company¡¦s strong refinancing ability may solve this problem. However, if the company has problem of refinancing and increasing its operation capital, the raising cash outflow from the gap will trigger off a counterintuitive of ¡§bankruptcy from the technical insolvency ¡§.

The globalization leads to integration of the economies worldwide. As the firms&#039 / businesses also get integrated with each other, the financing choices of the firms diversify. Among these choices, the popularity and the share of foreign currency borrowing in total borrowing by non-financial firms increase in Turkey similar to the global developments. The main purpose of this thesis is to price the risks of default and financial distress due to foreign currency denominated loans of non-financial firms in Turkey. The valuation model of foreign currency corporate loans is established by two state variable option pricing model based on the study of Cox, Ingersoll and Ross. In our model, the main risk factors are identified as the exchange rate and the interest rate, which are the state variables of the main partial differential equation whose solution gives the value of the asset. The numerical results are tested for different parameters and for different economic environments. The findings show that interest rate fluctuations are more important both for the default and financial distress option values than the fluctuations in exchange rate. However, the effect of upside movements of exchange rate on the financial distress and default values is sharper than the downside movement effect of interest rate. Furthermore, high loan-to-value (LTV) foreign currency loans result in significantly high financial distress values that cannot be disregarded and can lead to default of the firm. To the best of our knowledge, this thesis is the first study that develops a structural model to evaluate foreign currency denominated corporate loans in an option-pricing framework.

While several studies examine the managerial structure of privately owned agribusinesses, few studies take a comprehensive look at publically traded agribusiness firms. Our study examines the historical position of agribusiness compared to the market, and then studies the impact of the global economic and financial crisis. The objective of this study is to pinpoint effects of corporate financial management strategies, commonly researched in financial literature on agribusiness firms’ performance. Through utilizing a quantile regression we find that agribusiness position in times of financial crisis is directly related to firm performance. As we examine internal factors, several interesting impacts of managerial factors emerge. These results are useful for agribusiness firms seeking to improve their performance, as we show which management strategies related to capital structure, and firm size are associated with an increase in profitability based on the performance record of the agribusiness. Additionally, we examine how these factors impact internal financial distress of the agribusiness firms. Our conclusions clarify the impact of traditional financial management techniques on agribusiness firms and lead to questions for further research. Ultimately, the presented research provides a foundational knowledge of corporate agribusinesses financial performance.

Submitted by Layla Santos Mendes (laylasmendes@gmail.com) on 2016-12-10T22:28:40Z No. of bitstreams: 1 Dissertation_FINAL.pdf: 980823 bytes, checksum: c3f245c9416229a577ba56879ee0af54 (MD5) / Approved for entry into archive by ÁUREA CORRÊA DA FONSECA CORRÊA DA FONSECA (aurea.fonseca@fgv.br) on 2016-12-15T14:19:09Z (GMT) No. of bitstreams: 1 Dissertation_FINAL.pdf: 980823 bytes, checksum: c3f245c9416229a577ba56879ee0af54 (MD5) / Made available in DSpace on 2016-12-20T12:54:14Z (GMT). No. of bitstreams: 1 Dissertation_FINAL.pdf: 980823 bytes, checksum: c3f245c9416229a577ba56879ee0af54 (MD5) Previous issue date: 2016-12-06 / The objective of this thesis is to improve the understanding of the determinants of CoCo bond issuance and their effects in a financial distress scenario. The results suggest that the propensity of banks to issue CoCo bonds is different when comparing developed and emerging countries. The banks in the BRICS and other emerging countries that issued CoCo bonds are typically large and have high leverage, aiming to meet the Basel III rules and replace debt with equity funding. I also propose a model that simulates the capital shortfall that each bank needs in a future crisis using the CoCo bond trigger. As results, the issuance of CoCo bonds could avoid 12 bankruptcies when using the market value measures in a sample of 40 banks in the world. In complement, the regulatory requirement is fixed at 8% for minimum total capital by Basel III, but the model suggests an optimal value exists for each bank. In the end, I find that issuing CoCo bonds is an important and possible tool for banks to restructure their debt levels and protect against future crises.

O propósito deste estudo é investigar os potenciais determinantes da qualidade das auditorias no Brasil. Seus determinantes foram definidos a partir da abordagem teórica oferecida pelo modelo de Arruñada (1997), expandido na dimensão de competência profissional dos auditores. Adicionalmente, no sentido de se testar, empiricamente, os determinantes da qualidade das auditorias realizadas nas empresas listadas na Bovespa no período de 1998 a 2008, um construto inédito (o Índice de Qualidade das Auditorias IQUA) foi desenvolvido. Os resultados alcançados sugeriram que a qualidade das auditorias é inferior quanto maior o conflito de agência entre controladores e não controladores e quanto maior o tempo de relacionamento contínuo entre o auditor e a entidade auditada. Adicionalmente, as evidências empíricas coletadas indicaram que as firmas de auditoria chamadas de Big-N, bem como os auditores especialistas nos segmentos de indústria de seus clientes, oferecem serviços de maior qualidade. / The aim of this research is to investigate the potential determinants of audit quality in Brazil. Such determinants were defined by using the theoretical perspective of Arruñadas (1997) model, expanded in the dimension of auditors professional competence. Furthermore, in order to empirically test the determinants of audit quality for Brazilian listed companies between 1998 and 2008, an original construct (Audit Quality Index IQUA) has been developed. Results from such tests suggest that audit quality is lower when agency conflicts between controlling and non-controlling shareholders are higher and when auditors tenure is higher. Moreover, evidence obtained from empirical testing indicated that the so-called Big-N audit firms, as well as specialized auditors, offer higher quality audit services to their clients.