This thesis performs portfolio optimization using three allocation methods, Certainty Equivalence Tangency (CET), Global Minimum Variance (GMV) and Minimum Conditional Value-at-Risk (MinCVaR). We estimate expected returns and covariance matrices based on 7 stock market indices with a DCC-GARCH model including an ARMA (1.1) process and an external regressor of an implied volatility index (VIX). We then simulate returns using a rolling window of 500 daily observations and construct portfolios based on the allocation methods. The results suggest that the model can sufficiently estimate expected returns and covariance matrices and we can outperform benchmarks in form of equally weighted and historical portfolios in terms of higher returns and lower risk. Over the whole out-of-sample period the CET portfolio yields the highest mean returns and GMV and MinCVaR can significantly lower the variance. The inclusion of VIX has marginal effects on the forecasting accuracy and it seems to impair the estimation of risk.

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Este trabalho pretende analisar as particularidades dos contratos de longo prazo que levam a exigir-se dos contratantes uma postura diferenciada quanto à cooperação que eles devem entre si, para que a execução do contrato ocorra de forma eficiente. Analisamos, também, o dever de cooperação decorrente da boa-fé objetiva, suas peculiaridades e forma de aplicação aos contratos de longo prazo, sempre considerando os novos paradigmas dos contratos, associados com o papel e a importância dos contratos à sociedade e à economia. De fato, as contratações duradouras possuem características que as distinguem das relações instantâneas, com especial destaque para seu caráter relacional e incompleto, que demonstram que a postura das partes deve ser mais próxima e leal e, por isso, a cooperação tem forte importância. A boa-fé objetiva determina o dever de cooperação por meio de sua função de criação de regras de conduta. Na prática, o dever de cooperação que deve ser mais intenso para os contratos de longo prazo se concretiza por meio dos deveres anexos de conduta, que só serão conhecidos e individualizados em cada contratação individualizada. Considerados tais aspectos que justificam a maior intensidade da cooperação nos contratos de longo prazo e demonstram como a cooperação se verificará por meio dos deveres anexos de conduta, analisamos os casos de descumprimento de tais deveres por meio do conceito da violação positiva do contrato, em oposição à mora ou inadimplemento, que se relacionam ao descumprimento da própria prestação e suas consequências às relações contratuais, especialmente às de longo prazo. / This thesis has the purpose of analyzing the particularities of the long term contracts that lead to require the contracting parties to adopt a different conduct concerning cooperation between them, so that the performance of the contract may occur in an efficient fashion. We also intend to analyze the cooperation duty arising out of the goodfaith principle, its characteristics and its application to the long term contracts, always taking into consideration the news standards of the Contract Law associated with the role of the contracts to the society and economy. Indeed, the long term contracts have certain particularities that make them different from the spot relationships, in special their relational character and incompleteness, which show that the parties conduct shall be loyal and faithful and, thus, cooperation has a very important task. The principle of good-faith sets forth the duty to cooperate by means of its function of creating conduct rules. In practical terms, the duty to cooperate which shall be more intense for long term contracts is observed by means of the implied or ancillary duties, which are only known and individualized in each particular and concrete contract. Bearing in mind such aspects that justify a more intense cooperation in long term contracts and demonstrate that cooperation will mean, in practice, the compliance with ancillary or implied duties, we analyze the cases of violation of the duty to cooperate in opposition to the breaches of the contract obligations themselves and the consequences of such violation to the contractual relationship, especially to the long term contracts.

Este trabalho tem como objetivo analisar o earn-out nos contratos de compra e venda de participações societárias. Em específico, esse mecanismo é estudado na sua perspectiva prática e teórica a fim de compreender a sua função e causa, tendo em vista a sua execução no Direito brasileiro. O interesse pelo earn-out justifica-se diante o seu crescente uso em operações de fusões e aquisições na prática negocial brasileira. Esse recente movimento, por um lado, demonstra a grande utilidade do earn-out como instrumento para aproximar as expectativas das partes quanto ao valor correspondente ao preço da empresa-alvo; por outro lado, a utilização inadequada e não adaptada ao Ordenamento revela que o earn-out pode ser um mecanismo indesejado, diante do seu grande potencial de litigiosidade. Nesse contexto, duas foram as perspectivas abordadas no trabalho: a uma, analisa-se o ambiente em que inserto o earn-out, sendo que para cumprir com esse objetivo estuda-se, por um lado, a compra e venda de empresas como um processo e, por outro, as peculiaridades do contrato de compra e venda de participações societárias; a duas, analisa-se o earn-out “aplicado”, isto é, as motivações práticas para utilizar o mecanismo, bem como os melhores mercados em que sua utilização é recomendável. Em decorrência dessas perspectivas, a análise do earnout demonstra sua grande utilidade e eficiência para as partes vendedora e compradora de participações societárias que não chegam a um consenso sobre o preço do objeto do contrato de compra e venda. Contudo, verifica-se que a sua aplicação pode causar problemas de ordem contratual e societária, especialmente quando uma das consequências do mecanismo é manter o vendedor na empresa-alvo para o atingimento das metas do earn-out. Diante dos problemas verificados no âmbito da prática estadunidense e no Brasil, a parte final do trabalho enfrenta as questões que envolvem a execução do earn-out e as dificuldades para a verificação das condições ajustadas pelas partes como metas. Nesse sentido, são estudadas a posição das partes antes e depois da operação, assim como a potencial violação a deveres fiduciários pelos administradores da sociedade-alvo. Ao final, apresentam-se possíveis soluções no âmbito da prática contratual para evitar que a utilização do earn-out seja problemática, e, quando os conflitos já foram instaurados, analisa-se a aplicação de regras interpretativas ao earn-out no Direito brasileiro. / This essay deals with the earn-out in stock purchase agreements. Specifically, the objective is to understand the mechanism, its function and causa, regarding its enforcement in the Brazilian Law. The reason to study the earn-out is justified by its increasingly use in the Brazilian market, which brings two consequences: by one side, it is clear that the earn-out is useful as an instrument to match the expectations of the parties concerning the value that represents the price of the target; on the other hand, the improper and inappropriate use of the earn-out in the Brazilian legal system may turn the mechanism into an unwanted clause, due to its great potential of lawsuits and legal conflicts. In this sense, two perspectives were approached in this research: first, it is analyzed the context in which the earn-out is utilized, for that matter it is studied the mergers and acquisitions as a whole, and the particularities of the stock purchase agreement; second, it is analyzed what is the earn-out as a clause, its legal nature and framework, function and causa, and motivations to use the mechanism, as well as the best markets in which its use is recommended. As an outcome, the results founded are that, although the earn-out may be a useful and efficient tool for the parties, its enforcement could cause contractual and corporate legal problems, since one of the main features of the mechanism is to maintain the seller working for the target in order to achieve the goals agreed as precedent conditions of the earn-out. Considering the problems that arise from the American and, in some cases, Brazilian practice the last part of the essay deals with questions that involve the enforcement of the earn-out and the difficulties to verify the precedent conditions agreed by the parties as goals. In order to achieve this objective, it is studied the position of the parties before and after the deal, as well the possibility of breach of the fiduciary duties by the board and directors of the target; consequently, the intention is to solve the conflicts using the contractual interpretation of the contracts concluded between business and corporate affairs and its repercussions to the stock purchase agreements. In the end of this paper, it is presented possible solutions to avoid the problematic use of the earnout; however, when the conflicts are already set by the parties, it is pondered about the interpretation of the earn-out in the Brazilian Law.

Made available in DSpace on 2015-03-05T19:13:44Z (GMT). No. of bitstreams: 0 Previous issue date: 18 / Nenhuma / O objetivo deste estudo foi identificar possíveis determinantes do custo de capital implícito nas empresas brasileiras de capital aberto, no período de 2001 a 2005. Primeiramente foi calculado o custo de capital implícito para cada empresa da amostra, procedendo-se após esta etapa, à escolha e à verificação dos possíveis determinantes (características de empresas) com poder de explicar esse custo de capital implícito. Define-se por custo de capital implícito, a taxa de retorno que faz os fluxos de caixas projetados igual ao valor corrente da ação. Para este cálculo foi utilizado o modelo de avaliação pelo lucro residual, também conhecido como modelo de Edwards-Bell-Ohlson (EBO) e a previsão dos lucros fornecida pelos analistas de mercado (I/B/E/S) como forma de estimar os fluxos de caixa projetados. Os determinantes constituem-se nas variáveis indicadas pela literatura financeira e que demonstraram relação explicativa com o custo de capital ou o retorno das ações. Foram selecionadas 15 variáveis, dividas em c / The purpose of this study was to identify the possible determining factors of the implied cost of capital in Brazilian listed companies from 2001-2005. First, the implied cost of capital for each company within the sample was calculated, after which the possible determining factors (company characteristics) with the predicting power to explain this implied cost of capital were selected. The implied cost of capital is defined as a return rate that makes discounted cash flow equal to the stock current value. For this calculation, the residual income model was used, also known as Edwards-Bell-Ohlson (EBO) model along with the earnings forecast given by market analysts (I/B/E/S) as a way to estimate the discounted cash flow. The determining factors are variables indicated by financial literature and demonstrate the explainable relationship with capital cost or the stocks return. Fifteen (15) variables were selected and then divided into five groups: volatility, leverage, information environment, earnings variabil

This diploma thesis describes problem of change-points in volatility of the time-series and their impact on price of nancial assets. Those change-points are estimated by using statistical methods and tests. Change-point estimation was tested on simulated datas and real world driven datas. Simulation helped to discover signi cant characteristics of change-point test, those data were simulated with using stochastic calculus. Google share prices and prices of call options were chosen to analyse impact of volatility change on those prices. Also implied volatility and its impact to call option price was analysed.

Made available in DSpace on 2016-03-15T19:46:38Z (GMT). No. of bitstreams: 1 Tania Regina Exposito Ferreira.pdf: 689773 bytes, checksum: 2eb058002c5e281a1e1b95c2c4f1bf62 (MD5) Previous issue date: 2008-02-11 / Fundo Mackenzie de Pesquisa / Which is the Luiz Inácio Lula da Silva s secret? Poor man, migrant northeastern, born in Garanhuns, arrived the São Paulo and, as the majority of the migrant of this region, he had to fight for the survival, being successful each stage until obtaining the highest post in the national hierarchy, of president of the Republic of Brazil. His trajectory intrigues much people. His speaches always had dragged multitudes that believed and believe his speach. He was metallurgist, after that leader syndical pronouncing its speeches in the doors of the plants, was chosen president of the Party of the Workers, elect representative for the people and it the position highest of this country. It intends this research, supported in the analysis of the discursive process and in the literal production, to point the contradictions at two different moments of the speeches of Squid. It has as analysis object two interviews given for it, the first one when Squid, while leader syndicalist, is interviewed by Milton Neves regarding impeachment of then president Fernando Collor de Mello; second, when Squid, already in the presidency, is interviewed in the National Periodical of the Globe in face of the irregularities, committed in its government, that could induce to a probable order of impeachment to its mandate. Under the perspective of the Analysis of Speech of French line, the lexicon, the distinct conditions of production of the speech, formations ideological and discursive and estimated and implied or said and not-said, that they will allow to perceive the two different enunciators, disclosing two discursives processes will be examined, discoursing on the same subject. For in such a way they will serve of support the studies of: Brandão (2004), Orlandi (2005) and Osakabe (1979), these that will guide the search of other bibliographical references. / Qual seria o segredo de Luiz Inácio Lula da Silva? Homem pobre, migrante nordestino, nascido em Garanhuns, chegou a São Paulo e, como a maioria dos migrantes desta região, teve que lutar pela sobrevivência, vencendo cada etapa até conseguir o mais alto posto na hierarquia nacional, o de presidente da República do Brasil. Sua trajetória intriga muita gente. Seus discursos sempre arrastaram multidões que acreditavam e acreditam na sua fala . Foi metalúrgico e, posteriormente, líder sindical, proferindo seus discursos nas portas das fábricas, foi escolhido presidente do Partido dos Trabalhadores, eleito deputado Federal pelo povo e alçou-se ao cargo mais alto deste país. Pretende esta pesquisa, apoiada na análise do processo discursivo e na produção textual, analisar o processo discursivo do presidente Luiz Inácio Lula da Silva, a partir de entrevistas a alguns jornalistas. Tem como objeto de análise duas entrevistas dadas por ele, na primeira, Lula, líder sindicalista, é entrevistado por Milton Neves a respeito do impeachment do então presidente Fernando Collor de Mello; na segunda, já na presidência, Lula é entrevistado pelo Jornal Nacional da Rede Globo em face das irregularidades cometidas no seu governo, que poderiam induzir a um provável pedido de impeachment ao seu mandato. Sob a perspectiva da Análise de Discurso de linha francesa, serão identificadas as condições de produção do discurso, as formações ideológica e discursiva e os pressupostos e subentendidos, ou o dito e o não-dito, que permitirão perceber dois diferentes enunciadores, revelando dois processos discursivos distintos, discorrendo sobre o mesmo assunto. Para tanto, servirão de apoio os estudos de: Brandão (2004), Orlandi (2005) e Osakabe (1979), que nortearão a busca de outras referências bibliográficas.

由於隱含波動度具有前瞻性的特質，以往有許多學者探討隱含波動度與標的股價指數間的關聯性，但多利用線性模型。而本研究與其他文獻不同之處在於，本文利用馬可夫轉換模型分析隱含波動度VIX和VXN(VIX為S&P500指數的隱含波動度，而VXN為Nasdaq-100指數的隱含波動度)，馬可夫轉換模型為非線性模型，可捕捉不同區間轉換與不規則跳動，隱含波動度在特殊金融事件發生時會突然竄高，馬可夫轉換模型相對於一般線性模型更可捕捉此跳動，並將隱含波動度分為兩個區間。 　　經由多變量迴歸分析後，本研究也發現隱含波動度的變動以及技術指標的趨勢（偏離五天移動平均值）皆會影響標的股價指數的報酬，但隱含波動度變動對於股價指數報酬的影響高於技術指標，且不同區間存在不同現象。 / Implied volatility indices are forward-looking, and lots of researches discuss the relationship between the implied volatility and underlying stock market returns. Dif-ferent from other studies, we use Marcov switching model to examine the implied volatility indices: S&P 500 volatility index (VIX) and NASDAQ-100 volatility index (VXN), then we separately exploit the different regime behavior about the relationship between implied volatility change, technical indicators and stock market returns. As a result, S&P 500 index and NASDAQ-100 index respond in opposite direc-tions to positive and negative S&P 500 volatility index (VIX) and NASDAQ volatility index (VXN) changes, where technical indicators do not have that much influence on stock market returns. In addition, the impact of implied volatility change, technical indicators to stock market returns indeed depend on different regimes.

This dissertation is concerned with the relationship between accounting earnings and stock prices. It consists of three empirical papers, all using a sample of firms listed on the Stockholm Stock Exchange (1990-2008). The first paper documents the existence of a drift in stock prices subsequent to quarterly earnings announcements. Two interesting empirical observations are that the drift is only significant for longer holding periods and that the drift on the short position, i.e. after bad earnings news, is negligible. The lack of downward drift on the short position is interpreted as an indication of the post-earnings announcement drift, at least partly, being explained by investors demanding a compensation for a risk factor that is omitted in the test design. The second paper illustrates under what conditions information risk in the earnings signal might explain a low announcement reaction and a price drift in the post-announcement period. It is hypothesized that two earnings signals – based either on GAAP earnings or core earnings – have different levels of information uncertainty with respect to how they depict the value creation of the firm. In the empirical sections, it is concluded that the low immediate announcement reaction and high post-announcement drift for the GAAP earnings signal is due to this signal being perceived by investors as containing more uncertainty than the core earnings signal. It is argued that this uncertainty might be due to GAAP earnings encompassing items that prior research has shown more likely to be manipulated and/or to contain estimation error. The positive association between information risk and expected return is further investigated in the third paper, where information risk is measured by earnings quality metrics. Using a new approach to estimate the implied cost of capital, it is found that Swedish investors demand a higher expected return for firms with poor earnings quality, i.e. firms associated with higher information risk. / Diss. Stockholm : Handelshögskolan i Stockholm, 2011

<p>The present mini-thesis seeks to explore and investigate the mathematical theory and concepts that underpins the valuation of derivative securities, particularly European plainvanilla options. The main argument that we emphasise is that novel models of option pricing, as is suggested by Hull and White (1987) [1] and others, must account for the discrepancy observed on the implied volatility &ldquo / smile&rdquo / curve. To achieve this we also propose that market volatility be modeled as random or stochastic as opposed to certain standard option pricing models such as Black-Scholes, in which volatility is assumed to be constant.</p>