Dentre as diversas ferramentas disponíveis para gestão de risco no mercado financeiro, este trabalho analisa estratégias de hedging para commodities agrícolas, utilizando o mercado futuro. Isto posto, efetua-se uma revisão das diferentes estratégias apresentadas pela literatura e analisa-se sua aplicação para o mercado brasileiro. Ao construir uma estratégia de hedging no mercado futuro, busca-se determinar o número de contratos a ser adquirido ou vendido, de forma a reduzir o risco financeiro, resultante de oscilações adversas no preço dos ativos. Ou seja, considerando-se um portfólio composto por dois ativos, um no mercado à vista e outro no futuro, as diferentes medidas de desempenho caracterizadas pelas diversas estratégias - conduzem a diferentes portfólios ótimos. Dessa forma, pretende-se analisar qual a melhor estratégia, determinando, implicitamente, qual a composição de portfolio mais adequada a um agente específico no mercado de commodities. São analisados o mercado do café, da soja, do açúcar e do álcool. Ativos financeiros, como o câmbio e o Ibovespa, também são considerados, a fim de averiguar eventuais diferenças de comportamento das estratégias, resultantes de peculiaridades do mercado de commodities. As estratégias estudadas foram: de mínima variância; de mínima variância condicionada ao período de carregamento, de maximização do índice de Sharpe; de maximização da utilidade esperada; de minimização do coeficiente de Gini estendido; de regressão linear; de regressão linear condicionada ao conjunto de informações e regressão linear condicinada ao conjunto de informações e ao período de carregamento. Apesar de o trabalho considerar somente estratégias estáticas, que se caracterizam por, uma vez determinado a quantidade de contratos a se posicionar no mercado futuro, não mais se alterar até o vencimento dos mesmos, adotou-se uma abordagem dinâmica para análise, presumindo que o portfólio pudesse ser reestruturado ao longo do tempo, de acordo com o comportamento do mercado, permitindo empregar uma abordagem mais próxima da realidade. Os resultados indicaram que as estratégias possuem diferenças, derivadas de sua estrutura, mas não variaram significativamente em função do tipo de commodity analisada. Não foi possível também identificar uma estratégia que fosse superior às demais, ou mais adequada, para uma commodity específica, do ponto de vista de resultado financeiro. Os resultados sugerem entretanto, que a seleção de uma estratégia por parte do investidor, deverá considerar as tendências de mercado, abrindo espaço para a incorporação desta informação nos modelos empregados. / Among the various tools available for managing risk in the financial market, this research analyzes hedging strategies for agricultural commodities, using the future market. It given makes up a review of different strategies presented by the literature and looks to its application to the Brazilian market. By constructing a strategy of hedging in the future market, seeks to determine the number of contracts to be purchased or sold, in order to reduce the financial risk, resulting from adverse fluctuations in the price of assets. In other words, considering a portfolio consisting of two assets, one in the spot market and one in the future, the various measures of performance - characterized by different strategies - leading to different portfolios optimum. Thus, it is intended to examine the best strategy, determining, implicitly, what the composition of portfolio best suited to a specific agent on the market of commodities. The markets analyzed were the coffee market, soybean market, sugar and alcohol market. Financial assets, such as exchange and the Ibovespa Index, are also considered in order to ascertain any differences in behavior of strategies, from peculiarities of the commodities market. The strategies studied were: the minimum- variance, the minimum-variance on the time lifted, the maximum Sharpe index; the maximum expected utility, the minimum extended Gini coefficient; the regression method; the regression method conditional on the set of information, and regression method conditional on the set of information and the time lifted. Although this research considered only static strategies which have since determined the amount of contracts to position itself in the future market, no more changes until the expiration of them, took up a dynamic approach for analysis, assuming that the portfolio could be restructured over time, according to the behavior of the market and will allow an approach closer to reality. The results indicated that strategies have differences, derived from its structure, but did not vary significantly depending on the type of commodity examined. Unable also identify a strategy with superiority than other, or more appropriately, for a specific commodity, from the viewpoint of financial results. The results suggest, however that the selection of a strategy by the investor should consider the trends of the market, opening up space to incorporate this information into the model employed.

For the last fifty years, the efficient market hypothesis has been the central pillar of economic thought and touted by all, despite Sanford Grossman’ and Nobel prize winner Joseph Stiglitz’ objection in 1980. Andrew Lo updated the efficient market hypothesis in 2004 to reconcile irrational human behavior and cold, calculating automatons. This thesis utilizes 33 years of oil futures, GARCH regressions, and the Jensen-Shannon informational criteria to provide extensive empirical objections to informational efficiency. The results demonstrate continuously inefficient oil future markets which exhibit decreased informational efficiency during recessionary periods, advocating the adaptive market hypothesis over the efficient market hypothesis. / Includes bibliography. / Thesis (M.S.)--Florida Atlantic University, 2016. / FAU Electronic Theses and Dissertations Collection

Few sectors of the economy are as influential to the environment and are as susceptible to the influence of environmental changes as agriculture. This dissertation contains three chapters that examine agriculture as the primary interface at which human and nature interact. Primarily, I explore how policy support for financial risk management tools can have substantial impact on agricultural production choices via moral hazard and selection problems. While mitigating agricultural production risk, these supports also impact the environment via induced change in production choices. This dissertation contributes to U.S. agriculture policy and pollution management literature and insurance literature on moral hazard and selection problems. By examining the case of Federal Crop Insurance Program in the United States, this dissertation explores input choice changes caused by changes in government support for crop insurance. I proposed theoretical mechanism through which increasing use of financial risk management strategy can influence input decisions with risk implications, and tested these theories empirically with county-level panel data. Empirical tests showed that there were substantial decreases in irrigation investment and fertilizer application due to crop insurance offering. Policy implications on water scarcity and non-point source pollution management and on federal support to crop insurance market are discussed.

Dentre as diversas ferramentas disponíveis para gestão de risco no mercado financeiro, este trabalho analisa estratégias de hedging para commodities agrícolas, utilizando o mercado futuro. Isto posto, efetua-se uma revisão das diferentes estratégias apresentadas pela literatura e analisa-se sua aplicação para o mercado brasileiro. Ao construir uma estratégia de hedging no mercado futuro, busca-se determinar o número de contratos a ser adquirido ou vendido, de forma a reduzir o risco financeiro, resultante de oscilações adversas no preço dos ativos. Ou seja, considerando-se um portfólio composto por dois ativos, um no mercado à vista e outro no futuro, as diferentes medidas de desempenho caracterizadas pelas diversas estratégias - conduzem a diferentes portfólios ótimos. Dessa forma, pretende-se analisar qual a melhor estratégia, determinando, implicitamente, qual a composição de portfolio mais adequada a um agente específico no mercado de commodities. São analisados o mercado do café, da soja, do açúcar e do álcool. Ativos financeiros, como o câmbio e o Ibovespa, também são considerados, a fim de averiguar eventuais diferenças de comportamento das estratégias, resultantes de peculiaridades do mercado de commodities. As estratégias estudadas foram: de mínima variância; de mínima variância condicionada ao período de carregamento, de maximização do índice de Sharpe; de maximização da utilidade esperada; de minimização do coeficiente de Gini estendido; de regressão linear; de regressão linear condicionada ao conjunto de informações e regressão linear condicinada ao conjunto de informações e ao período de carregamento. Apesar de o trabalho considerar somente estratégias estáticas, que se caracterizam por, uma vez determinado a quantidade de contratos a se posicionar no mercado futuro, não mais se alterar até o vencimento dos mesmos, adotou-se uma abordagem dinâmica para análise, presumindo que o portfólio pudesse ser reestruturado ao longo do tempo, de acordo com o comportamento do mercado, permitindo empregar uma abordagem mais próxima da realidade. Os resultados indicaram que as estratégias possuem diferenças, derivadas de sua estrutura, mas não variaram significativamente em função do tipo de commodity analisada. Não foi possível também identificar uma estratégia que fosse superior às demais, ou mais adequada, para uma commodity específica, do ponto de vista de resultado financeiro. Os resultados sugerem entretanto, que a seleção de uma estratégia por parte do investidor, deverá considerar as tendências de mercado, abrindo espaço para a incorporação desta informação nos modelos empregados. / Among the various tools available for managing risk in the financial market, this research analyzes hedging strategies for agricultural commodities, using the future market. It given makes up a review of different strategies presented by the literature and looks to its application to the Brazilian market. By constructing a strategy of hedging in the future market, seeks to determine the number of contracts to be purchased or sold, in order to reduce the financial risk, resulting from adverse fluctuations in the price of assets. In other words, considering a portfolio consisting of two assets, one in the spot market and one in the future, the various measures of performance - characterized by different strategies - leading to different portfolios optimum. Thus, it is intended to examine the best strategy, determining, implicitly, what the composition of portfolio best suited to a specific agent on the market of commodities. The markets analyzed were the coffee market, soybean market, sugar and alcohol market. Financial assets, such as exchange and the Ibovespa Index, are also considered in order to ascertain any differences in behavior of strategies, from peculiarities of the commodities market. The strategies studied were: the minimum- variance, the minimum-variance on the time lifted, the maximum Sharpe index; the maximum expected utility, the minimum extended Gini coefficient; the regression method; the regression method conditional on the set of information, and regression method conditional on the set of information and the time lifted. Although this research considered only static strategies which have since determined the amount of contracts to position itself in the future market, no more changes until the expiration of them, took up a dynamic approach for analysis, assuming that the portfolio could be restructured over time, according to the behavior of the market and will allow an approach closer to reality. The results indicated that strategies have differences, derived from its structure, but did not vary significantly depending on the type of commodity examined. Unable also identify a strategy with superiority than other, or more appropriately, for a specific commodity, from the viewpoint of financial results. The results suggest, however that the selection of a strategy by the investor should consider the trends of the market, opening up space to incorporate this information into the model employed.

University of Macau / Institute of Chinese Medical Sciences

University of Macau / Faculty of Science and Technology / Department of Mathematics

M. Tech. Business Administration / Entrepreneurship is very important in all countries because even in the developed world, small business enterprises create the majority of employment. Entrepreneurship is therefore critical to the development and well-being of society. Entrepreneurship presents massive opportunities for increasing employment creation and growth in gross domestic product (GDP). Entrepreneurship is thus a promoter of economic growth. As a nation, we're low on the rankings when measured by our entrepreneurial activity, and we need new ideas and entrepreneurial energy to create the growth and jobs needed to reverse the current levels of unemployment and poverty. The perception of risk is relevant to the decision to become an entrepreneur as risk taking is a part of entrepreneurial life. Starting a new business has long been considered a risky proposition. Just the potential for failure and loss discourages many would-be entrepreneurs from giving it a go. This study analyses the risk taking propensity of entrepreneurs. Through using two structured questionnaires, primary data were collected from a population sample of 30 female and 30 male businesses, randomly selected from among the small and medium scale entrepreneurs engaged in manufacturing, trading, retailing and services industries in Roodepoort. The listing was extracted from the Business Index.

Thesis (MSc (Mathematics))--Stellenbosch University, 2008. / The computation of the greeks of an option is an important aspect of financial mathematics. The information gained from knowing the value of a greek of an option can help investors decide whether or not to hold on to or to sell their options to avoid losses or gain a profit. However, there are technical difficulties that arise from having to do this. Among them is the fact that the mathematical formula for the value some options is complex in nature and evaluating their greeks may be cumber- some. On the other hand the greek might have to be numerically estimated if the option does not posses an explicit evaluation formula. This could be a computationally expensive undertaking. Malliavin calculus offers us a solution to these problems. We can find formula that can be used in combination with Monte Carlo simulations to give results quickly and which are not computationally expensive to obtain and hence give us an degree of accuracy higher that non Malliavin calculus techniques. This thesis will develop the Malliavin calculus tools that will enable us to develop the tools which we will then use to compute the greeks of some known options.

Submitted by Edypo Soares de Oliveira (edyposoares@gmail.com) on 2016-12-21T17:03:50Z No. of bitstreams: 1 Tese FGV MPFE - Edypo Soares eng - 21dec16.pdf: 751881 bytes, checksum: 503843ddee636b0d04d0195201a33270 (MD5) / Approved for entry into archive by Renata de Souza Nascimento (renata.souza@fgv.br) on 2016-12-21T17:08:37Z (GMT) No. of bitstreams: 1 Tese FGV MPFE - Edypo Soares eng - 21dec16.pdf: 751881 bytes, checksum: 503843ddee636b0d04d0195201a33270 (MD5) / Made available in DSpace on 2016-12-22T13:14:53Z (GMT). No. of bitstreams: 1 Tese FGV MPFE - Edypo Soares eng - 21dec16.pdf: 751881 bytes, checksum: 503843ddee636b0d04d0195201a33270 (MD5) Previous issue date: 2016-12-14 / Literature has often examined how hedging affects firm value and cost of capital, but its relation with cost of debt is less studied, especially for Latin American firms. This dissertation examined the impact of derivatives usage over credit spread of the bonds issued by 66 non-financial companies from Brazil, Chile and Mexico, based on the secondary market transactions from 2005 to 2015. To test the hypothesis that hedging reduces credit spread, we performed different regressions based on Chen and King (2014) study. We only found a significant coefficient for hedging and leverage interaction for the post-2008 period, supporting Coutinho, Sheng and Lora (2012) findings that companies were not using derivatives for hedging purpose before the financial crisis and also corroborates Chen and King (2014) hypothesis that more leveraged firms obtain higher benefits from hedging. / Há uma extensa literatura examinando como o uso de derivativos afeta o valor e o custo de capital da firma, porém sua relação com o custo da dívida (spread de crédito) é menos estudada, especialmente para os países da América Latina. Esta dissertação, a partir dos dados do mercado secundário dos títulos (bonds) emitidos por 66 empresas não financeiras de Brasil, Chile e México no período entre 2005 e 2015, analisa o impacto do uso de derivativos sobre o spread de crédito. Para testar a hipótese de que hedging reduz o spread de crédito pago pelas companhias, rodamos diferentes regressões baseadas no estudo de Cheng e King (2014). Encontramos resultados significativos apenas para a interação entre hedging e alavancagem no período posterior a 2008, em linha com o que foi reportado por Coutinho, Sheng e Lora (2012), que investigam a relação entre hedging e custo de capital. Resultado corrobora as hipóteses de que (1) empresas estariam utilizando derivativos para especular antes da Crise Financeira e (2) conforme Chen e King (2014), as empresas mais alavancadas (maior stress financeiro) são as que mais se beneficiam do uso de derivativos.

Submitted by Cristiane Shirayama (cristiane.shirayama@fgv.br) on 2011-06-02T19:30:03Z No. of bitstreams: 1 66080100241.pdf: 230548 bytes, checksum: acf3b99268af7bca332c69f2674ddd1e (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-02T20:17:23Z (GMT) No. of bitstreams: 1 66080100241.pdf: 230548 bytes, checksum: acf3b99268af7bca332c69f2674ddd1e (MD5) / Approved for entry into archive by Vera Lúcia Mourão(vera.mourao@fgv.br) on 2011-06-02T20:39:01Z (GMT) No. of bitstreams: 1 66080100241.pdf: 230548 bytes, checksum: acf3b99268af7bca332c69f2674ddd1e (MD5) / Made available in DSpace on 2011-06-03T17:53:48Z (GMT). No. of bitstreams: 1 66080100241.pdf: 230548 bytes, checksum: acf3b99268af7bca332c69f2674ddd1e (MD5) Previous issue date: 2011-02-03 / This thesis analyzed the determinants of the capital structure for Brazilian companies. A relevant contribution of this study, especially in the Brazilian environment, was the use of debt on a disaggregated level (local currency loans, foreign currency loans and synthetic local currency loans), in order to examine the key determinants of corporate financing under an environment of high foreign currency volatility. The understanding of these forces interest not only the academy but mainly the managers of our companies on its capital structure decisions, as well as the financial market players on their roles of advisory and portfolio management. We used panel data models, according to recent methodology trends, to test the main characteristics that determine the utilization of one or another type of debt in Brazil, comparing to the theoretical predictions. Our data set was provided by Economática and included all non-financial corporation listed in Bovespa, for the years 2006 through 2009, complemented by a deep analysis of the annual reports and financials notes published at CVM. Our results show that the significance of the variables size (positive relation), growth opportunitiy (negative) and profitability (negative) as expected by the Static Trade-Off, Costly Monitoring & Agency and Pecking Order theories respectively. At the disaggregated level, we find common results for these three components, and also unique factors such as foreign EBIT and foreign cash, which determines the type and level of the financing instrument by the company according to the Risk Management theory, and also confirming the ideas presented in the studies of Allayannis and Brown (2003). / Este trabalho analisou quais são os principais determinantes do endividamento das empresas brasileiras. A principal contribuição em relação aos trabalhos já publicados está relacionada à desagregação dos tipos de endividamento de acordo com a moeda (dívida em moeda local, dívida em moeda estrangeira e dívida sinteticamente local através do hedge), esclarecendo os principais determinantes do endividamento das empresas, de acordo com o tipo empregado, num ambiente de alta volatilidade cambial. O entendimento de tal dinâmica interessa não apenas à academia, mas principalmente aos administradores de empresas em suas decisões sobre estrutura de capital bem como aos participantes do mercado financeiro nos papéis de assessores dos seus clientes. Outra importante contribuição do trabalho, já no aspecto metodológico, foi o uso de Dados em Painel para testarmos quais características determinam a utilização de um ou outro tipo de endividamento no Brasil, de acordo com as principais teorias de estrutura de capital na literatura e comparando os resultados com as expectativas de cada uma dela. Nossa base de dados foi estruturada com empresas brasileiras não financeiras, utilizando-se da ferramenta Economática bem como da análise cuidadosa das demonstrações financeiras anuais disponibilizadas na CVM, para os anos de 2006 a 2009. Os resultados encontrados indicam a significância e consistência dos coeficientes de tamanho da empresa (positivo), oportunidade de crescimento (negativo) e lucratividade (negativo), em linha com as teorias de "Static Trade-Off", "Costly Monitoring & Agency" e "Pecking Order". No nível desagregado, nossos modelos encontraram resultados comuns ao caso agregado, mas também fatores únicos, como receitas e caixa em moeda estrangeira, que determinam o tipo e o nível do endividamento, corroborando com a teoria de "Risk Management", e confirmando alguns dos pressupostos de Allayannis e Brown (2003).