Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-06-07T00:29:43Z No. of bitstreams: 2 FABR??CIO HENRIQUE DA SILVA .pdf: 895738 bytes, checksum: 40fb16e80d83d817a88e496f7894c6cc (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-06-07T00:29:43Z (GMT). No. of bitstreams: 2 FABR??CIO HENRIQUE DA SILVA .pdf: 895738 bytes, checksum: 40fb16e80d83d817a88e496f7894c6cc (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2016-10-05 / In a professionalizing business environment, i.e. one in which there is a clear separation between administrators and investors, there is a great chance to occur the agency conflict, where there is always the risk that administrators act in their own interests and not in favor of maximizing the value of the company. One of the ways that this conflict is revealed in the stock market is through the risk inherent in the company's activities, and this risk is called non-systematic risk. A measure of risk in the stock market is the volatility, and it is decreased through corporate governance mechanisms. The main purpose of this thesis is to check the impact of corporate governance mechanisms over the volatility of securities traded in the BM&F Bovespa over the period comprised between 2010 and 2015, and for such purpose data from 53 listed companies representing 81.15% of the Ibovespa index, and the model of pillars of corporate governance called Brazilian Corporate Governance Index (Brazilian CGI) were used. For the sake of good understanding of this thesis, volatility is the variation of returns over the period analyzed; panel data was used as statistical model, and the main internal mechanisms of corporate governance are based on IBGC's four pillars, namely: (1) Accountability; (2) Transparency; (3) Corporate Responsibility and (4) Accountability. The statistical results indicated that variables related to accounting indicators and macroeconomic variables have an association with volatility reduction, and that factors directly linked to the pillars were not statistically significant. / Em um ambiente de neg??cios profissionaliza, ou seja, em que h?? uma separa????o clara entre os administradores e os investidores, h?? uma possibilidade grande de ocorrer o conflito de ag??ncia, onde h?? sempre o risco de que os administradores ajam em favor dos seus pr??prios interesses e n??o em prol da maximiza????o do valor da empresa; Uma das formas que esse conflito se revela no mercado de a????es ?? atrav??s do risco inerente ??s atividades da companhia, a esse risco d??-se o nome de risco n??o sistem??tico. Dentro do mercado de a????es uma medida de risco ?? a Volatilidade e a mesma ?? reduzida pelos mecanismos de Governan??a Corporativa. Esta disserta????o tem por objetivo principal verificar o impacto dos mecanismos de Governan??a Corporativa na Volatilidade dos pap??is da BM&F Bovespa no per??odo de 2010 e 2015 para tal, foram utilizados dados de 53 companhias que representam 81,15% do ??ndice Ibovespa e o modelo dos pilares de Governan??a Corporativa chamado de Brazilian Corporate Governance Index (Brazilian CGI). Para entendimento dessa disserta????o a Volatilidade ?? a varia????o dos retornos ao longo do per??odo analisado e utilizou-se como modelo estat??stico de dados em painel e os principais mecanismos internos de Governan??a Corporativa se baseiam nos quatro pilares do IBGC a saber: (1) Presta????o de Contas; (2) Transparencia; (3) Responsabilidade Corporativa e (4) Presta????o de Contas. Os resultados estat??sticos indicaram que vari??veis relacionadas a indicadores cont??beis e macroecon??micas possuem associa????o com a redu????o da Volatilidade e que fatores diretamente ligados aos pilares n??o se mostraram estatisticamente significativos.

Submitted by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-20T12:47:20Z No. of bitstreams: 1 JussaraRibeiroDissertacao2016.pdf: 1633683 bytes, checksum: bc56d87d5073ee0367b3355ccad9bf94 (MD5) / Approved for entry into archive by Sara Ribeiro (sara.ribeiro@ucb.br) on 2017-04-20T12:47:41Z (GMT) No. of bitstreams: 1 JussaraRibeiroDissertacao2016.pdf: 1633683 bytes, checksum: bc56d87d5073ee0367b3355ccad9bf94 (MD5) / Made available in DSpace on 2017-04-20T12:47:41Z (GMT). No. of bitstreams: 1 JussaraRibeiroDissertacao2016.pdf: 1633683 bytes, checksum: bc56d87d5073ee0367b3355ccad9bf94 (MD5) Previous issue date: 2016-03-10 / The existence of bubbles in stock markets can be detected by analyzing the relationship between stock prices and dividends. In Brazil, several studies use the Bovespa index as a proxy for stock prices, but differ in the index used as a proxy for dividends paid in the country. There are studies that create a monthly dividend index based on the theoretical portfolio and on the methodology of the Bovespa index. However, this dividend index has periods of great instability due to high concentration in the participation of some shares in the index. The objective of this study was to create an index that represents the dividend distribution in the Brazilian stock market using series provided by the Central Bank and the IBGE. The dividend index showed a smoother behavior, without periods of great instability or breaks. It was used as a proxy of the dividends in tests to verify the presence of bubbles. Three types of rational bubbles were studied: explosive bubbles, periodically collapsing bubbles and intrinsic bubbles. The tests results indicated that it is not possible to rule out the presence of explosive bubbles and detected evidences of the presence of periodically collapsing bubbles in the Brazilian stock market in this period. However, no evidence of the presence of intrinsic bubbles was found. / A presen??a de bolhas no mercado de a????es pode ser detectada por meio da an??lise da rela????o existente entre os pre??os das a????es e seus dividendos. Na literatura brasileira, diversos trabalhos utilizam o ??ndice Bovespa como proxy dos pre??os, mas diferem quanto ao ??ndice utilizado como proxy dos dividendos distribu??dos no pa??s. H?? trabalhos que constroem um ??ndice de dividendos mensal baseado nas carteiras te??ricas e na metodologia do Ibovespa. Por??m, tal ??ndice apresenta per??odos de grande instabilidade decorrentes da concentra????o na participa????o de determinadas a????es no ??ndice. Diante disso, o objetivo do presente trabalho foi construir um ??ndice que represente a distribui????o de dividendos no mercado acion??rio brasileiro a partir de s??ries fornecidas pelo Banco Central e pelo IBGE, tendo como refer??ncia a Lei das Sociedades por A????es. O ??ndice constru??do apresentou um comportamento mais suave, sem per??odos de grande instabilidade ou quebras. Ele foi, ent??o, utilizado como proxy dos dividendos em testes para verificar a presen??a de bolhas no mercado de a????es. Tr??s tipos de bolhas racionais foram estudados: bolhas explosivas, bolhas que estouram periodicamente e bolhas intr??nsecas. Os resultados dos testes indicaram que n??o ?? poss??vel descartar a presen??a de bolhas explosivas e detectaram ind??cios da presen??a de bolhas que estouram periodicamente no mercado de a????es brasileiro no per??odo analisado. N??o foram encontrados, por??m, ind??cios da presen??a de bolhas intr??nsecas nesse mercado.

Submitted by Sandra Pereira (srpereira@ufrrj.br) on 2016-08-31T17:06:57Z No. of bitstreams: 1 2011 - Jordana Luiza Barbosa da Costa Veiga.pdf: 2017275 bytes, checksum: 953447545685588991df3f141c32d267 (MD5) / Made available in DSpace on 2016-08-31T17:06:57Z (GMT). No. of bitstreams: 1 2011 - Jordana Luiza Barbosa da Costa Veiga.pdf: 2017275 bytes, checksum: 953447545685588991df3f141c32d267 (MD5) Previous issue date: 2011-02-02 / The main objective for firms to perform a Merger&Acquisition (M&A) process is the search for a competitive advantage considered important in their strategic planning. The process of M&A can be characterized by the concentration of capital, patrimonial, organizational and societal restructuring, and cyclical movements. This dissertation, has the aim to describe and analyze the financial accounting performance of a traded corporation, registered in the stock exchange pre and post M&A performed in the year of 2005 in order to assess the value creation due to the M&A process for the shareholder of firms involved as buyer. This aim was carried out through the analysis of the data evolution, use of descriptive statistics and hypothesis test; was also analyzed the stock behavior, on stock market, by technical analysis, descriptive statistics, beta assessment, hypothesis testes and abnormal results. The analysis were carried out using the variables: earning after taxes, net sales, Ebitda, net debt, sales, earning per stock ratio, stock price, dividends payed, total assets divided by total liabilities e current ratio, presence in trading market, number of daily deals of the stock, daily turnover, closing price variation, all traded on BM&FBovespa. In order to assess the value creation for shareholders, were performed analysis in Brazilian firms on the pulp and paper industry, the chosen firms shall be traded to have all the necessary information for the assess, and shall have passed through the M&A process in 2005. Acquiring and acquired companies should also have similar size, so the process of M&As could be clearly observed in the studied variables. Only 1 target company acquired by 2 acquiring companies was chosen, which composes the universe of analysis. The study included analysis of short term, days before and after the announcement, divided into two groups 10 days before and 10 days after and 30 days before and 30 days after the announcement, and long term, periods of three years before and three years after the event. With the analysis results it was possible to observe increase on value creation for shareholders of companies involved as buyers in the process of M&A during the studied period. The variables number of daily deals of the stock, number of daily deals of the stock and daily turnover had important role on the stock-holder assess earning. It is possible to observe that the firms Suzano papel e celulose and Votoratim Celulose e Papel had substantial changes on the studied variables after the M&A process. Were observed increase on stock price, number of daily deals of the stock, number of traded stocks and daily turnover. The beta, risk indicator, after M&A, on both companies, get close to 1, improving the non-diversifiable risk of the firms. The accounting and financial parameters have showed inconclusive results probably / O objetivo principal das empresas ao recorrerem ao processo de F&A ? a busca por alguma vantagem competitiva considerada importante em seu planejamento estrat?gico. O processo de F&A pode ser caracterizado pela concentra??o de capitais, reestrutura??o patrimonial, organizacional e societ?ria, e por movimentos c?clicos. Esta disserta??o, tem por objetivo descrever e analisar o desempenho cont?bil-financeiro de sociedade an?nima de capital aberto, registrado em bolsa de valores, pr? e p?s F&A ocorrido no ano de 2005 com o intuito de avaliar a gera??o de valor decorrente do processo de F&A para os acionistas das empresas envolvidas como adquirentes, atrav?s da an?lise da evolu??o dos dados, aplica??o de estat?stica descritiva e formula??o de teste estat?stico de hip?tese; tamb?m foi realizada an?lise do comportamento das a??es, em mercado secund?rio, por meio de an?lise t?cnica, estat?stica descritiva, avalia??o do beta, teste de hip?teses e verifica??o de ganhos anormais. As an?lises foram feitas utilizando as seguintes vari?veis: lucro l?quido, receita l?quida de vendas, Ebitda, d?vida l?quida, produ??o comercializada, lucro por a??o, pre?o por a??o, dividendo pago por a??o, liquidez geral e liquidez corrente, presen?a nos preg?es, n? de neg?cios di?rio da a??o negociada, volume de neg?cios di?rio da a??o negociada, pre?o de fechamento da a??o negociada todas na BM&FBovespa. Com o intuito de avaliar a gera??o de valor para os acionistas, foram realizadas as an?lises em empresas brasileiras escolhidas do setor de papel e celulose, de capital aberto para haver disponibilidades nas informa??es necess?rias para an?lise, e que passaram pelo processo de fus?o ou aquisi??o no ano de 2005. As empresas adquirentes e adquiridas deveriam ter porte similar para que o processo de F&A pudesse ser observado com clareza nas vari?veis em estudo. Foi selecionada uma ?nica empresa alvo adquirida por 2 empresas adquirentes, que formaram o universo da an?lise. O estudo contemplou an?lises de curto prazo, dias antes e depois do an?ncio, divididos em 2 grupos 10 dias antes e 10 dias depois e 30 dias antes e 30 dias depois do an?ncio; e de longo prazo, per?odos de 3 anos antes e 3 anos ap?s o evento. Com os resultados das an?lises ? poss?vel constatar aumento na gera??o de valor para os acionistas das empresas envolvidas como adquirentes no processo de F&A, no per?odo estudado. As vari?veis n? de neg?cios, volume negociado e quantidade de a??es tiveram papel importante na avalia??o do ganho do acionista. ? poss?vel constatar que as empresas Suzano Papel e Celulose e Votorantim Celulose e Papel, tiveram altera??es substanciais nas vari?veis estudadas depois do processo de F&A. Constatou-se a valoriza??o no pre?o da a??o negociada, aumento no n? de neg?cios, na quantidade de a??es negociadas por preg?o e no volume movimentado diariamente. O beta, indicador de risco, p?s F&A, em ambas as empresas, aproximou-se de 1, aumentando o risco n?o diversific?vel das empresas. Os par?metros cont?beis-financeiros apresentaram resultados inconclusivos, provavelmente pela pequena quantidade de dados analisada e pela infu?ncia de fatores externos.

Submitted by Elba Lopes (elba.lopes@fecap.br) on 2017-08-16T13:55:58Z No. of bitstreams: 2 MARCELO SANTANA DA SILVA.pdf: 579761 bytes, checksum: 31198b1e756da9a787c417c0e54d6c5a (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) / Made available in DSpace on 2017-08-16T13:55:58Z (GMT). No. of bitstreams: 2 MARCELO SANTANA DA SILVA.pdf: 579761 bytes, checksum: 31198b1e756da9a787c417c0e54d6c5a (MD5) license_rdf: 0 bytes, checksum: d41d8cd98f00b204e9800998ecf8427e (MD5) Previous issue date: 2017-02-22 / The objective of this study is to analyze the factors that determine the spread of the public issues of debentures indexed to the Broad Consumer Price Index (IPCA) in Brazil. Emissions indexed to the IPCA were choose because they are instruments usually used to capture resources of longer maturity by the issuing companies. The database had 245 series of issues occurred between January 2010 and December 2015. Regressions were estimated by ordinary least squares and weighted least squares methods, and the results presented by the last method were more robust. The rating-spread ratio was confirmed in all regressions and the results indicate that this variable explains, by itself, 58% of the spread variation. Other the rating, the results indicate that the main factors that determine the spread of the issues are: collateral, issuer experience, maturity, amount, prestige of the coordinating bank, tax benefits and economic scenario. Due to the results achieved, other issues related to market efficiency were approached, such as agency conflicts, information asymmetry and adverse selection. The results show that the collaterized issues remunerated the investors with a higher spread than the unsecured ones, and this premium ranged from 35 to 38 basis points. The results were interpreted in the context of agency theory and resemble those found by John, Lynch and Puri (2003) for the US corporate bonds market. Finally, the favorable economic scenario, as measured by the Emerging Market Bond Index - Brazil (EMBI + BR), showed negativelycorrelated with the spread, and these results were interpreted as effects of the information asymmetry and adverse selection present in the local market for debt issuance. / O objetivo deste estudo ?? analisar os fatores que determinam o spread das emiss??es p??blicas de deb??ntures indexadas ao ??ndice de Pre??os ao Consumidor Amplo (IPCA) no Brasil. Utilizou-se as emiss??es indexadas ao IPCA por serem instrumentos usualmente empregados na capta????o de recursos de maturidade mais longa pelas empresas emissoras. A base de dados contou com 245 s??ries de emiss??es realizadas entre janeiro de 2010 e dezembro de 2015. As regress??es foram estimadas pelos m??todos de m??nimos quadrados ordin??rios e m??nimos quadrados ponderados, e os resultados apresentados por este ??ltimo foram mais robustos. A rela????o rating-spread foi confirmada em todas as regress??es e os resultados indicam que essa vari??vel explica, isoladamente, 58% da varia????o do spread. Al??m do rating, os resultados indicam que os principais fatores que determinam o spread das emiss??es s??o: garantias, experi??ncia do emissor, maturidade, volume, prest??gio do banco coordenador, benef??cios fiscais e cen??rio econ??mico. Em raz??o dos resultados alcan??ados, foram abordados temas relacionados ?? efici??ncia de mercado, tais como conflitos de ag??ncia, assimetria de informa????o e sele????o adversa. Os resultados demonstram que, as emiss??es com garantia remuneraram seus investidores com spread maior que as sem garantia, e esse pr??mio variou de 35 a 38 basis points. Os resultados foram interpretados no contexto da teoria da ag??ncia e se assemelham aos encontrados por John, Lynch e Puri (2003) para o mercado norte-americano de corporatebonds. Finalmente, o cen??rio econ??mico favor??vel, medido pelo ??ndice Emerging Market Bond Index - Brazil (EMBI+ BR), demonstrou-senegativamentecorrelacionado com o spread, e esses resultados foram interpretados como efeitos de assimetria de informa????o e sele????o adversa presentes no mercado local de emiss??o de d??vida.