O objetivo da tese foi analisar a influência do rating, provido por agências independentes na formação dos preços de emissão de debêntures. A base de dados contou com 354 séries de debêntures não conversíveis, emitidas por empresas não financeiras, entre janeiro de 2000 e junho de 2010, em mercado primário público. A metodologia baseia-se no modelo fatorial de precificação aplicado a uma estrutura de dados pooled cross-section. Os modelos desenvolvidos ao longo do trabalho apontaram a relevância do rating na explicação do spread de emissão primária de debêntures no Brasil. Isoladamente, no entanto, explica cerca de 10% da variabilidade do spread. O estudo demonstrou serem significativas variáveis de crédito, maturidade, relação entre o volume emitido e o estoque de debêntures do mercado, a evolução do PIB e a alteração futura de rating (direção e a magnitude). Constatou-se também que emissões em percentual do DI tendem a ter menor spread que aquelas remuneradas por inflação mais taxa. Não se pode afirmar que o mercado diferencie, por meio do preço, a origem das agências ou as emissões com mais de um rating. As variáveis idiossincráticas da firma, na forma de índices econômico-financeiros extraídos de demonstrações financeiras publicadas, explicam diferenças de rating. Finalmente, constatou-se a utilidade da variável de escala linear de rating nos modelos de regressão desenvolvidos. / The overall objective of this dissertation was to analyze the influence of the rating provided by independent agencies in the spread of corporate bonds. The database was comprised of 354 series of non-convertible debentures issued by non-financial companies between January 2000 and June 2010 in public primary market. The study approach is based on the pricing factor model applied to a pooled cross-section data structure. The developed models suggested that the rating is significant in explaining the spread of primary issuance of debentures in Brazil. However, the rating explains no more than 10% of the spread variability. The study revealed that other factors were also significant during the analyzed period along with the credit variables: maturity, the ratio between the volume issued and total market outstanding of debentures, GDP growth, and future rating changes. It was also noted that series linked daily floating rates tend to have lower spread than those linked to inflation. When price is taken into account, the market does not seem to differentiate local agencies from international ones, or series with two or more ratings. Financial ratios obtained from financial statements, do explain the differences in rating. Finally, other important findings indicate the usefulness of the rating variable based in linear scale in the regression models developed in this work

The aim of this diploma theses is to identify possible causes of rapidly rising household debt in the Czech republic at the beginning of the 21st Century and its impact on macroeconomic aggregate indicators. The theoretical part deals with the credit expansion in economic theory, money creation, effects of changes in money supply, monetary and fiscal policy. The analytical part of the thesis evaluates the growth of indebtedness of Czech households in terms of various indicators, debt structure, reasons of growing household debt and other macroeconomic context. The issue of households debt problems and the ability to repay their obligations is mentioned as well as the comparison with developed economies.

The aim of this paper is to summarize the changes in the regulation of world capital markets, which have been made in connection with the course of the financial crisis. Focus my attention on two of the world's economies, the U.S. and the European Union. The next section will analyze the specific market segments - banking, insurance and credit rating agencies. The paper describes the most important rules of law which arose from the changes in the regulation of financial markets.

[pt] A volatilidade é um parâmetro importante de modelagem do mercado financeiro. Ela controla a medida de risco associado à dinâmica estocástica de preço do título financeiro, afetando também o preço racional dos derivativos.Existe evidência empírica que a volatilidade é por sua vez também um processo estocástico, subjacente ao dos preços. Assim, a volatilidade não pode ser observada diretamente e tem que ser estimada, constituindo-se de um processo estocástico escondido.Nesta dissertação, consideramos um estimador para a volatilidade diária do índice da BOVESPA, baseado em banco de dados intradiários. Fazemos uma análise estatística descritiva da série temporal obtida, obtendo-se a função densidade de probabilidade, os momentos e as correlações. Comparamos os resultados empíricos com as previsões teóricas de vários modelos de volatilidade estocástica. Consideramos a classe de equações de Itô-Langevin formada por um processo de reversão à média e um processo difusivo de Wiener generalizado, com componentes de ruído multiplicativo e/ou aditivo. A partir dessa análise, é sugerido um modelo para descrever as flutuações de volatilidade dos preços do mercado acionário brasileiro. / [en] Volatility is a key model parameter of the financial market. It controls the risk associated to the stochastic dynamics of the asset prices and also affects the rational price of derivative products. There are empirical evidences that the volatility is also a stochastic process, underlined to the price one. Therefore, the volatility is not directly observed and must be estimated, constituting a hidden stochastic process. In this work, we consider an estimate for the daily volatility of the BOVESPA index, computed from the intraday database. We perform a descriptive statistical analysis of the resulting time series, obtaining the probability density function, moments and correlations. We compare the empirical outcomes with the theoretical forecasts of many stochastic volatility models. We consider the class of Itô-Langevin equations composed by a mean reverting process and a generalized diffusive Wiener process with multiplicative and/or additive noise components. From this analysis, we propose a model that describes the volatility fluctuations of the Brazilian stock market.

Trading with stocks at Prague stock exchange Summary This diploma thesis trading with stocks at Prague Stock Exchange provides a basic overview of the trading process and related matters. In the first chapter of the thesis I deal with the theoritical definition and divison of the financial market and its position in financial system with a focus on its functions. This definiton of the financial market is not done in context of legislation, but according to general theories. The second part of the thesis deals with stocks, when is gradually passed from the conception of stock as a security under the Civil Code, through the specifiaction of their forms and types according to the Act on Business Corporation, to the share as an investment security pursuant to the Act on Business on Capital market. In the third part of the thesis is Prague Stock Exchange described as a organizer of a regulated market. This section is primarily based on authentic sources as information available in the Registrar of Companies, Collection of Documents or from stock exchange rules. An important part is dedicated to the concept of Prague Stock Exchange as an administrative authority, where the guidelines are described in detail, and based on them it can be determined, that stock exchange is an administrative authority, even though it...

Purpose: Understand different needs for accountability and governance among financial firms,based on environmental and structural factors. Design/methodology/approach: By using disciplinary reports published by SFSA the interpretation of corporate governance regulation will be studied. Findings: The study identified important corporate governance factors which can be explained and understood by analyzing through the multiple-theory. Complex environmental aspects, such as regulations and multiple stakeholders, demands for extensive internal and external controls. However, the aspect of knowledge does not seem to be fully explained by previous studies. Originality/value: The result could be a contribution to further discussions on how regulations can develop. Moreover, the result can add empirical data to further develop the multiple-theory.

本文主旨在了解在台灣與民生息息相關的銀行、郵局的存放款利率，是有什麼樣程度的受到債券市場的影響。本文使用Eviews研究2000/01~2015/05公債殖利率、央行利率對於其他變數是否有顯著相關。首先檢驗資料是否為定態後，考量差分後資料無經濟意義，便以變動率取代原始資料，以最小平方法進行單、多因子迴歸。結果顯示從理論或實證都能證明中央銀行透過貨幣政策、公開市場操作來影響利率，從本文研究可看出其影響力更甚於十年期公債殖利率。配合相關係數來看，可推測央行的操作不僅直接的影響著銀行及郵局的利率，也透過這些利率再去影響其他利率，使得利率間互相影響使效果增強，唯一例外是十年期公債殖利率在十五年期房貸利率上有更好的影響以及解釋力。 / The main topic of the thesis is to understand whether the bond market in Taiwan has influence on the bank saving rates and lending rates. Considering the data will lose its economics meaning after the first order difference, we use churn rate instead of the original data to construct single and multi-factor regression using. The result comes out that both theories and the paper’s result can show that the central bank has strong power over the rates. The central bank interest rate is a more significant explanatory variable than the ten-year bond yield and has positive impact on other dependent variables. The only exception is that the ten-year bond yield has the best explanatory power over the 15-year mortgage rates than other variables.

This dissertation paper defends a thesis that as the Lithuanian enterprises more actively participate in international contracts, the need for financing grows. In order to minimize possible microeconomic and macroeconomic loss, it is necessary to form the expediente strategy of financing; emphasizing costs of alternatives financial sources under conditions of risk and uncertainty. Analyses conducted in the thesis were sought to contribute both conceptually (by formation of systems and models of capital structure) and practically (by implementation of such systems and models) to financing of companies activities, and to maximizing of EVA. The EVA reveals the dependence of an enterprise’s profitability on the employed capital for gaining that profit. The conceptual need urges to determine the zone of effectiveness of rational capital structure, which stipulates the growth of EVA. Scientific relevance of the dissertation is the main results of the scientific study presented for public maintenance. First, one studied adequate motives under Lithuanian conditions that encourage enterprises to study the substantiation of capital structure formation. The preconditions and criteria affecting the financing decisions of Lithuanian enterprises were conceptually grounded while stressing the aspects of finance market globalization. Second, the systemic capital leverage management model was created; involves the three main ranges that affect enterprises’ activity: internal enterprise’s... [to full text]

A simple Stock Market Game Model (SEGM) was introduced in 2002 by J. Mockus to simulate the behavior of several stockholders trading a single stock. In contrast, the proposed model PORTFOLIO is simulating stock exchange including a number of different stocks. The objective of PORTFOLIO is not forecasting, but simulation of stock exchange processes that are affected by predictions of the participants. The main improvements are the multi-stock extension and a number of different trading rules, which represent both the heuristics of potential investors and the well-known theoretical investment strategies. This makes the model more realistic and allows the portfolio optimization in the space of investment strategies, in both the historical and virtual environments. This is an essential improvement comparing with traditional single-stock models with direct interaction of investment agents. The "virtual" stock exchange can help in testing the assumption of rational investor behavior vs. the recent theories that explain financial markets by irrational responses of major market participants. The model has been compared with actual financial time series and found the results to be close in some cases. The model is designed as a tool to represent behavior of individual investor, which wants to predict how the expected profit depends on different investment rules using different forecasting methods of real and virtual stocks. / Paprastas akcijų rinkos žaidimo modelis (angl. Stock Market Game Model) buvo pristatytas J. Mockaus 2002 m. Šis modelis imituoja kelių akcininkų, prekiaujančių viena akcija, elgesį. Siūlomas modelis PORTFOLIO, priešingai, imituoja akcijų biržos darbą, kurioje vyksta prekyba su daugelio firmų akcijomis. PORTFELIO modelio tikslas yra ne prognozavimas, bet simuliavimas akcijų biržos procesų, kurie yra priklausomi nuo investuotojų prognozių. Pagrindinis modelio patobulinimas yra kelių akcijų ir įvairių prekybos taisyklių įvedimas, kurios atstovauja tiek potencialių investuotojų euristikas, tiek gerai žinomas teorines investavimo strategijas. Tai suteikia modeliui daugiau realistiškumo ir leidžia atlikti portfelio optimizavimą naudojant įvairias investavimo strategijas tiek su istoriniais duomenimis, tiek virtualioje aplinkoje. Tai esminis patobulinimas lyginant su tradiciniais vienos akcijos modeliais. "Virtuali" akcijų birža gali padėti tiriant racionalaus investuotojo elgesio prielaidą lyginant su pastarojo laikotarpio teorijomis, teigiančiomis, kad pagrindiniai rinkos dalyviai elgiasi neracionaliai. Modelis buvo lyginamas su realiomis finansinėmis laiko eilutėmis ir buvo rastas rezultatų panašumas tam tikrais atvejais. PORTFELIO modelis gali būti naudojamas kaip priemonė imituoti individualaus investuotojo elgesį, kuris nori prognozuoti, kaip tikėtinas pelnas priklauso nuo įvairių investavimo taisyklių naudojant skirtingus realių ir virtualių akcijų kainų prognozavimo metodus.

Paprastas akcijų rinkos žaidimo modelis (angl. Stock Market Game Model) buvo pristatytas J. Mockaus 2002 m. Šis modelis imituoja kelių akcininkų, prekiaujančių viena akcija, elgesį. Siūlomas modelis PORTFOLIO, priešingai, imituoja akcijų biržos darbą, kurioje vyksta prekyba su daugelio firmų akcijomis. PORTFELIO modelio tikslas yra ne prognozavimas, bet simuliavimas akcijų biržos procesų, kurie yra priklausomi nuo investuotojų prognozių. Pagrindinis modelio patobulinimas yra kelių akcijų ir įvairių prekybos taisyklių įvedimas, kurios atstovauja tiek potencialių investuotojų euristikas, tiek gerai žinomas teorines investavimo strategijas. Tai suteikia modeliui daugiau realistiškumo ir leidžia atlikti portfelio optimizavimą naudojant įvairias investavimo strategijas tiek su istoriniais duomenimis, tiek virtualioje aplinkoje. Tai esminis patobulinimas lyginant su tradiciniais vienos akcijos modeliais. "Virtuali" akcijų birža gali padėti tiriant racionalaus investuotojo elgesio prielaidą lyginant su pastarojo laikotarpio teorijomis, teigiančiomis, kad pagrindiniai rinkos dalyviai elgiasi neracionaliai. Modelis buvo lyginamas su realiomis finansinėmis laiko eilutėmis ir buvo rastas rezultatų panašumas tam tikrais atvejais. PORTFELIO modelis gali būti naudojamas kaip priemonė imituoti individualaus investuotojo elgesį, kuris nori prognozuoti, kaip tikėtinas pelnas priklauso nuo įvairių investavimo taisyklių naudojant skirtingus realių ir virtualių akcijų kainų prognozavimo metodus. / A simple Stock Market Game Model (SEGM) was introduced in 2002 by J. Mockus to simulate the behavior of several stockholders trading a single stock. In contrast, the proposed model PORTFOLIO is simulating stock exchange including a number of different stocks. The objective of PORTFOLIO is not forecasting, but simulation of stock exchange processes that are affected by predictions of the participants. The main improvements are the multi-stock extension and a number of different trading rules, which represent both the heuristics of potential investors and the well-known theoretical investment strategies. This makes the model more realistic and allows the portfolio optimization in the space of investment strategies, in both the historical and virtual environments. This is an essential improvement comparing with traditional single-stock models with direct interaction of investment agents. The "virtual" stock exchange can help in testing the assumption of rational investor behavior vs. the recent theories that explain financial markets by irrational responses of major market participants. The model has been compared with actual financial time series and found the results to be close in some cases. The model is designed as a tool to represent behavior of individual investor, which wants to predict how the expected profit depends on different investment rules using different forecasting methods of real and virtual stocks.