Made available in DSpace on 2015-12-03T18:35:20Z (GMT). No. of bitstreams: 1 Augusto_Coppi_Navarro.pdf: 389848 bytes, checksum: 16121486be1238d414ea1df7195c0792 (MD5) Previous issue date: 2011-12-19 / Investment decisions are meant to generate future positive returns. Hence decisions are strategically taken by companies to achieve objectives such as replacing equipment or expanding the current plant capacity, implementing new plants or still, setting up new equipment to yield new products. The shareholders' best interests must be taken into consideration regarding the efforts to maximize the return of invested capital. Therefore, must be evaluated as relevant information to shareholders. The purpose of this research was to know the relation between the investment made and the company's future profitability, quantified by two measures of performance: ROA and Tobin's q. This is an empirical-analytical study with quantitative data treatment by using linear regression technique. The samples was collected from Economatica?? data base, and were selected non-financial Brazilian companies listed at BM&FBOVESPA, which have presented financial demonstrations in the 2000-2010 period. To conduct this research, the analysis period was divided into investment period and performance period, with the purpose of comparison between investment and future profitability. It is assumed that business companies make investment decisions bearing in mind future profit prospects. The regression model that uses profitability measured by ROA positively associates the performance period profitability with the performance period investments, as well as the investment period profitability. The regression model that uses profitability measured by Tobin's q positively associates the performance period profitability with the investments period profitability. / Das decis??es de investimentos esperam se que sejam gerados retornos positivos no futuro, e s??o estrategicamente tomadas pelas empresas para substitui????o de equipamentos ou para amplia????o de capacidade da planta atual ou para instala????o de novas plantas, ou ainda, para instala????o de novos equipamentos visando a produ????o de novos produtos. Estas decis??es de investimentos devem ser tomadas a luz do melhor interesse dos acionistas de modo a maximizar o retorno do capital investido. E, portanto, devem ser avaliadas como informa????es relevantes para os acionistas. O objetivo desta pesquisa foi conhecer a rela????o entre o investimento realizado e a rentabilidade futura da empresa, mensurado por duas medidas de desempenho: ROA e Q de Tobin. Este ?? um estudo emp??rico-anal??tico com tratamento quantitativo de dados pelo uso da t??cnica de regress??o linear. A amostra foi coletada na base de dados da Econom??tica??, e foram selecionadas as empresas brasileiras n??o financeiras listadas na BM&FBOVESPA, que apresentaram demonstra????es financeiras no per??odo de 2000 a 2010. Para realiza????o da pesquisa, o per??odo de an??lise foi dividido em per??odo de investimento e per??odo de desempenho, com o objetivo de comparar investimento e rentabilidade futura. ?? assumido que as empresas ao tomarem a decis??o de investir o fa??am com a perspectiva de terem lucro no futuro. O modelo de regress??o que utiliza a rentabilidade mensurada pelo ROA relaciona positivamente a rentabilidade do per??odo de desempenho ao investimento do per??odo de desempenho, bem como ?? rentabilidade do per??odo de investimento. O modelo de regress??o que utiliza a rentabilidade pelo Q de Tobin, relaciona positivamente a rentabilidade do per??odo de desempenho ?? rentabilidade do per??odo de investimento.

Made available in DSpace on 2015-12-03T18:33:04Z (GMT). No. of bitstreams: 1 Roberto_Frota_Decourt.pdf: 922146 bytes, checksum: 6a877b3eb69ddbdebdc6dfc951e7943e (MD5) Previous issue date: 2004-12-13 / This research shows investment simulations done with graduate students, MBA students, financial executives and doctors, indicating that the process of making investment decisions is based on the Behavioral Economics theory which uses the fundamental aspects of the Prospect Theory developed by Kahneman and Tversky (1979). The following effects have been testified and identified using an investment simulator in the Internet. 1) endowment, that makes the participants not to sell the received assets, no matter better investment options are available; 2) disposition, that refers to the pattern that people avoid realizing paper losses and seek to realize paper gains; 3) avoiding regret, that makes the participant to invest in rejected assets in the past that had good valorization and 4) framing, that modifies the investment decision depending of problem prospect. The conclusions of this reaserch were: 1) the endowment was effective for financial executives and doctors; 2) the disposition affected only graduate students; 3) the avoiding regret influenced the decisions of MBA students and financial executives, and 4) the framing modified the decisions of doctors, graduate and MBA students. / Este trabalho apresenta simula????es de investimento realizadas com estudantes universit??rios, estudantes de MBA, executivos do segmento financeiro e m??dicos, demonstrando que a tomada de decis??es de investimentos sofre vieses comportamentais, identificados pelas teorias das Finan??as Comportamentais, iniciadas com a Teoria da Perspectiva desenvolvida por Kahneman e Tversky (1979). Foram testados e identificados atrav??s de um simulador de investimentos na Internet os efeitos: 1) doa????o, que faz com que os participantes n??o vendam ativos recebidos, mesmo que existam melhores op????es de investimento; 2) disposi????o, que provoca a venda de ativos vencedores muito cedo e posterga a venda de ativos perdedores; 3) medo do arrependimento, que faz o participante comprar ativos que deixou de comprar no passado e apresentou um bom desempenho e 4) abordagem, que dependendo da perspectiva dada ao problema, modifica a decis??o de investimento. As conclus??es do trabalho foram: 1) o efeito doa????o ocorreu para executivos financeiros e m??dicos; 2) o efeito disposi????o afetou somente os estudantes universit??rios; 3) o medo do arrependimento influenciou as decis??es dos estudantes de MBA e executivos e 4) a abordagem modificou a decis??o dos m??dicos e dos estudantes de MBA e universit??rios.

Made available in DSpace on 2015-12-04T11:45:33Z (GMT). No. of bitstreams: 1 Airton_Melle.pdf: 692834 bytes, checksum: 2cdfd3fe93afdd6c0b1eec8ce63ec781 (MD5) Previous issue date: 2002-10-16 / The aim of this work is to contribute to improvement of decision-making to managers on feasibility study of Optimization Action, through the Quantitative Exception Technology and Investment Appraisal. The need to make decisions is an ever-present part of business life. Investment decisions are important to the future of organisations: their success can so often depend on the allocation of long-term capital resources. We show de methodology to estimate the return on investment, to decision-making in conditions of risk and the Quantitative Exception Technology, like tools to management for the future of business. A conceptual model was proposed, with application of the methods of Net Present Value, Internal Rate of Return and Modified Internal Rate of Return on feasibility studies on Optmization Action, in direction to achieve Critical Success Factors. / Esta disserta????o tem o objetivo de contribuir para melhorar o desempenho dos gestores na tomada de decis??o sobre Projetos de A????o de Otimiza????o, atrav??s da utiliza????o conjunta da Tecnologia da Exce????o Quantificada e da Metodologia de Retorno de Investimentos. A necessidade de tomar decis??es ?? parte sempre presente no mundo dos neg??cios. Decis??es de investimentos s??o importantes para o futuro das organiza????es: seu sucesso depende freq??entemente da aloca????o de recursos de capital a longo prazo. Apresentamos as metodologias para c??lculo de retorno de investimentos, para an??lise de risco e aplica????o da Tecnologia da Exce????o Quantificada, como instrumentos de administra????o elirecionados para o futuro dos neg??cios. Desenvolvemos um modelo conceitual, onde aplicamos os m??todos do Valor Presente Liquido, da Taxa Interna de Retorno e da Taxa Interna de Retorno Modificada, sobre projetos de A????o de Otimiza????o, visando os objetivos estabelecidos como Fatores Cr??ticos de Sucesso.

Made available in DSpace on 2015-12-03T18:33:06Z (GMT). No. of bitstreams: 1 Thiago_Borges_Ramalho.pdf: 1079128 bytes, checksum: de1270f3b50f5b1daf3cadce2353d803 (MD5) Previous issue date: 2013-08-28 / The premise of unbounded rationality advocated by the Efficient Market Hypothesis is challenged by the theoretical framework that involves the Behavioral Finance, whose basis, the Prospect Theory by Kahneman and Tversky (1979), questions the Expected Utility Theory, an important element of Neoclassical Economics as basis for decision making. This research aims to replicate the empirical investigation of the seminal article by Kahneman and Tversky (1979) to evaluate the decision-making process of employees (potential investors) of a major national financial institution. The results of this study were compared to those obtained in the original article and the studies led by C??rtes (2008), Cruz, Kimura and Krauter (2003), Rogers et al. (2007), Rogers, Favato and Securato (2008), and Torralvo (2010). The questionnaire adopted was an adaptation of the originally used, so that one could test, in studied sample, the applicability of Prospect Theory, more specifically with regard to Certain, Reflection and Isolation Effects. I also analyzed the differences in the decision making process considering the attributes of the respondents (gender, age, education, occupation, income and financial dependents). The results confirmed the existence of behavioral effects and proved that a large portion of the sample presented significant inconsistency in their choices according to the principles of the Expected Utility Theory, pointing that their decisions were not made under strictly rational behavior. Furthermore, in relation to violations observed, it was not possible to present significant conclusions in concern to the attributes by using regression analysis, suggesting the need of further studies / A premissa de racionalidade ilimitada preconizada pela Hip??tese dos Mercados Eficientes ?? contestada como ferramenta para tomada de decis??es pelo arcabou??o te??rico que envolve as Finan??as Comportamentais, cuja base, a Teoria da Perspectiva de Kahneman e Tversky (1979), questiona o que prediz a Teoria da Utilidade Esperada, importante elemento da Economia Neocl??ssica. A presente pesquisa objetiva replicar a investiga????o emp??rica do artigo seminal de Kahneman e Tversky (1979) para avaliar o processo decis??rio de funcion??rios (potenciais investidores) de uma importante institui????o financeira nacional. Os resultados deste estudo foram comparados aos obtidos no trabalho original e nas pesquisas realizadas por C??rtes (2008), Cruz, Kimura e Krauter (2003), Rogers et al. (2007), Rogers, Favato e Securato (2008) e Torralvo (2010). O question??rio adotado foi uma adapta????o do originalmente utilizado, para que se pudesse testar, na amostra estudada, a aplicabilidade da Teoria da Perspectiva, mais especificamente no que diz respeito aos Efeitos Certeza, Reflex??o e Isolamento. Foram analisadas, ainda, as diferen??as no comportamento frente ?? tomada de decis??es considerando os perfis demogr??ficos dos respondentes (g??nero, idade, forma????o, ocupa????o, renda e dependentes financeiros). Os resultados obtidos confirmaram a presen??a dos efeitos e comprovaram que uma grande parcela do p??blico amostral apresentou efetiva inconsist??ncia em suas escolhas segundo os fundamentos da Teoria da Utilidade Esperada, o que indica que suas decis??es n??o foram tomadas de forma estritamente racional. Al??m disso, em rela????o ??s viola????es observadas, n??o foi poss??vel apresentar conclus??es quanto ??s diferen??as entre os perfis demogr??ficos estudados por meio do modelo econom??trico proposto, apontando a necessidade da realiza????o de novos estudos

Made available in DSpace on 2015-12-03T18:33:16Z (GMT). No. of bitstreams: 1 Marcelo_Rodrigues_de_Oliveira.pdf: 572879 bytes, checksum: 561a9772aa0bb467cfc2cb7f0721796f (MD5) Previous issue date: 2015-08-25 / Bid-ask spread is a key measure to evaluate the dynamics of stock prices. The literature show us that the main determinants of bid-ask spread are market capitalization, price level, price volatility and traded volume. Theories for bid-ask spread, discussed by Market Microstructure, define three reasons for their existence: (i) order processing costs; (ii) inventory control and (iii) information asymmetry. The information asymmetry, that is a key concept for the efficient market hypothesis, establishes the link between bid-ask spread and those factors that influence prices in a way not related to risk, which should be discussed by behavioral finance s perspective. The behavioral finance s literature searches for answers of questions in which stock prices does not reflect their values in a rational way. These situations are called market anomalies. Among the main anomalies, there are calendar anomalies, where it is possible to observe price behaviour related to moments of time, consistently. The objective of this study is to make a empirical and quantitative evaluation of the Day-of-Week Effect (DoW) on bid-ask spread of BOVESPA s stock prices. The work of Narayan, Mishra and Narayan (2014), about the relation between bid-ask spread determinants and Day-of-Week Effects, using NYSE stock data, found evidence of those effects, at first. Secondly, they found that bid-ask spread, stock price, traded volume and price volatility, in panel data setting are cointegrated and prices, volume and volatility have different effects in the bid-ask spread for each trading day. In this study, using BOVESPA data of 2012, from march to december, calendar anomalies are not confirmed in bid-ask spread. However, when we analized diary returns of stock prices, it was observed that Day-Of-Week and End-Of-Month effects were significant at 1% and Day-Of-Week effect is augmented in the period of end of month / O bid-ask spread ?? uma medida importante para a avalia????o da din??mica de pre??os de a????es. A literatura mostra que os seus principais determinantes s??o a capitaliza????o de mercado da empresa, o n??vel de pre??o da a????o, a volatilidade do pre??o da a????o e o volume negociado. As teorias para o bid-ask spread, tratadas pela Microestrutura de Mercado, definem tr??s raz??es para sua exist??ncia que s??o: (i) os custos de processamento das ordens; (ii) controle de invent??rio e (iii) assimetria informacional. A assimetria informacional, que ?? um conceito central na discuss??o sobre a efici??ncia dos mercados, estabelece a liga????o entre o bid-ask spread e os fatores que influenciam os pre??os de maneira n??o relacionada a riscos, os quais devem ser abordados sob o enfoque das finan??as comportamentais. A literatura de finan??as comportamentais aborda uma variedade de situa????es em que os pre??os de a????es n??o refletem de maneira racional o seu valor. Estas situa????es s??o chamadas de anomalias de mercado. Entre as principais anomalias, temos as anomalias de calend??rio, em que observamos o comportamento dos pre??os relacionado a um momento no tempo, de forma consistente. O objetivo deste estudo ?? avaliar, de maneira emp??rica e quantitativa, se existe o efeito dia-da-semana no bid-ask spread na Bovespa. O estudo de Narayan, Mishra e Narayan, de 2014, sobre a rela????o entre os determinantes do bid-ask spread e o efeito dia-da-semana para a bolsa de NY comprovou a exist??ncia do efeito dia-da-semana no bid-ask spread. Tamb??m teve como achados que o bid-ask spread, o pre??o da a????o, volume negociado e a volatilidade do pre??o da a????o, tomados em painel, s??o cointegrados e que o pre??o, o volume e a volatilidade tem efeitos diferentes no bid-ask spread nos diferentes dias de negocia????es. Neste estudo, com dados da bolsa de valores de S??o Paulo de Mar??o a Dezembro de 2012, n??o foram comprovadas as anomalias de calend??rio no bid-ask spread, por??m nos testes com retornos di??rios, observou-se que os efeitos dia-da-semana e fim-de-m??s s??o significantes a 1% e que o efeito dia-da-semana ?? mais pronunciado quando ocorre nos dias de fim do m??s

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-08-15T19:54:39Z No. of bitstreams: 2 MARCOS ANTONIO DA SILVA.pdf: 391290 bytes, checksum: 13a7f180e4ffc72715375afc7cd9eb64 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-08-15T19:54:39Z (GMT). No. of bitstreams: 2 MARCOS ANTONIO DA SILVA.pdf: 391290 bytes, checksum: 13a7f180e4ffc72715375afc7cd9eb64 (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2017-02-21 / Many studies have analyzed the capital structure of companies and how to best fund their activities, whether through equity or third-party capital. Most of the papers is devoted to identifying its determinants or analyzing specific sectors. The present study aims to verify if the indebtedness of Brazilian companies changed during the 2008 financial crisis. For this purpose, a sample of 90 Brazilian companies listed on BM &FBovespa was analyzed by average test and linear regression (OLS) . The results indicated a significant increase in the level of gross debt in the period between the third quarter of 2008 and the fourth quarter of 2009 and a significant increase in net debt in the period between the third quarter of 2008 and the second quarter of 2009. / Muitos estudos analisaram a estrutura de capital das empresas e qual a melhor forma de financiar suas atividades, seja essa por meio de capital pr??prio ou de capital de terceiros. A maioria dos trabalhos dedica-se a identificar seus determinantes ou analisar setores espec??ficos.O presente estudo tem o objetivo de verificar se o endividamento das empresas brasileiras alterou-se durante a crise financeira de 2008. Para tanto, analisou-se uma amostra de 90 empresas brasileiras listadas na BM&FBovespa por meio de teste m??dia e regress??o linear (MQO). Os resultados indicaram aumento significantes no n??vel de endividamento bruto no per??odo entre o terceiro trimestre de 2008 e o quarto trimestre de 2009 e aumento significativo no endividamento l??quido no per??odo entre o terceiro trimestre de 2008 e o segundo trimestre de 2009.