Submitted by Kamila Costa (kamilavasconceloscosta@gmail.com) on 2015-09-04T09:56:49Z No. of bitstreams: 2 Dissertação - André R R Costa.pdf: 1308389 bytes, checksum: 56543d17c47b4d482173448cf0c6039b (MD5) Dissertação - André R R Costa.pdf: 1308389 bytes, checksum: 56543d17c47b4d482173448cf0c6039b (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2015-09-30T20:09:18Z (GMT) No. of bitstreams: 2 Dissertação - André R R Costa.pdf: 1308389 bytes, checksum: 56543d17c47b4d482173448cf0c6039b (MD5) Dissertação - André R R Costa.pdf: 1308389 bytes, checksum: 56543d17c47b4d482173448cf0c6039b (MD5) / Approved for entry into archive by Divisão de Documentação/BC Biblioteca Central (ddbc@ufam.edu.br) on 2015-09-30T20:15:16Z (GMT) No. of bitstreams: 2 Dissertação - André R R Costa.pdf: 1308389 bytes, checksum: 56543d17c47b4d482173448cf0c6039b (MD5) Dissertação - André R R Costa.pdf: 1308389 bytes, checksum: 56543d17c47b4d482173448cf0c6039b (MD5) / Made available in DSpace on 2015-09-30T20:15:16Z (GMT). No. of bitstreams: 2 Dissertação - André R R Costa.pdf: 1308389 bytes, checksum: 56543d17c47b4d482173448cf0c6039b (MD5) Dissertação - André R R Costa.pdf: 1308389 bytes, checksum: 56543d17c47b4d482173448cf0c6039b (MD5) Previous issue date: 2015-05-11 / CAPES - Coordenação de Aperfeiçoamento de Pessoal de Nível Superior / This study analyzed the soybean agribusiness in the Brazilian Western Central as the exposure to price risk and the financial performance of the leading companies in the production chain. Specifically, calculated the hedge effectiveness for soybean futures contracts traded on the CME Group maturing in March, for the period 2004 to 2013. Also, compared the efficiency of the main companies in the Brazilian Western Central, classified in ranking, and examined the financial performance in qualitative analysis of the reports. To calculate the hedge effectiveness, applied four great reason methods to build portfolios, the simple or naîve, static, static with error correction (ECM) and dynamic GARCH-BEKK. For spot prices, chosen the municipalities with higher production in each state, Sorriso in Mato Grosso state, Rio Verde in Goiás state and Maracaju in state of Mato Grosso do Sul. For analysis of efficiency and financial performance used the Data Envelopment Analysis method - DEA and the structure of traditional ROA DuPont formula, classifying the performance in rankings and reporting the qualitative analysis from the notes. The sample for performance analysis were eight companies chosen from Melhores & Melhores, anual report from EXAME magazine, year 2013. Used data from 2011 to 2013. Among the findings, concluded that the soybean futures contracts traded at CME Group maturing in March expressed low efficiency to reduce the variance of portfolios. Concerning the financial performance, Coamo and Cargill were in the positive spectrum of the sample and Caramuru and Louis Dreyfus expressed unfavorable performance. / O presente trabalho analisou o agronegócio da soja do Centro-Oeste brasileiro quanto à exposição ao risco de preços e ao desempenho econômico-financeiro das principais empresas da cadeia produtiva. Especificamente, calculou-se a efetividade de hedge dos contratos futuros de soja negociados no CME Group com vencimento em março, para o período de 2004 a 2013. Também, analisou-se a eficiência das principais empresas do setor atuantes na região Centro-Oeste, classificando-as em ranking. E, examinou-se o desempenho econômico-financeiro pela análise qualitativa das notas explicativas. Para calcular a efetividade de hedge, usaram-se quatro métodos de razão ótima para constituir portfolios, o simples ou naîve, o estático, o estático com correção de erros e o dinâmico GARCH-BEKK. Para os preços à vista, escolheram-se os municípios com maior produção em cada estado, Sorriso no Mato Grosso, Rio Verde em Goiás e Maracaju no Mato Grosso do Sul. Para a análise de eficiência e desempenho econômico-financeiro, usou-se o método análise envoltória de dados – DEA e a estrutura da fórmula ROA DuPont tradicional, classificando os desempenhos em rankings e articulando relatório de análise qualitativa das notas explicativas. A amostra para análise de desempenho compôs-se de oito empresas, escolhidas do anuário Maiores & Melhores da revista EXAME, de 2013, usando dados do período de 2011 a 2013. Entre as conclusões, sublinha-se que os contratos futuros de soja com vencimento em março negociados no CME Group expressaram baixa eficiência para reduzir a variância dos portfolios. Quanto ao desempenho, Coamo e Cargill localizaram-se no espectro positivo da amostra e Caramuru e Louis Dreyfus expressaram os desempenhos desfavoráveis.

A operação de hedge tem como função primária a proteção contra as oscilações de mercado, tais oscilações são subdivididas principalmente em variação da taxa de juros, taxa de câmbio e preço de commodities. Uma das maneiras para se operacionalizar o hedge é por meio da utilização de derivativos. Assim, é do interesse de credores, investidores e demais interessados obter mais informações acerca dessas operações, surgindo o seguinte questionamento: em empresas brasileiras de capital aberto, quais fatores possuem relação com a utilização de derivativos para fins de hedge de variação de taxa de juros e hedge de variação cambial? Dessa forma, o presente estudo busca apresentar as principais características de empresas brasileiras de capital aberto que fazem uso dos derivativos para fins de hedge, de câmbio e de taxa de juros, no período de 2010 a 2014. Primeiramente, foi verificado se o uso do derivativo pelas empresas tinha finalidade de proteção ou especulação. Essa verificação foi espelhada nos trabalhos de Allayannis e Ofek (2001) e Chernenko e Faulkender (2011). O modelo adaptado de Allayannis e Ofek (2001) baseou-se em uma análise em dois estágios para obter a informação sobre a finalidade do uso dos derivativos pela empresa. Já o modelo de Chernenko e Faulkender (2011) utilizou dados em painel e estimadores diferentes (between e within) para obter informações acerca das características das empresas relacionadas ao uso do derivativo para fins de hedge ou especulação. Agrupou-se ao modelo de Cherneko e Faulkender (2011) uma adaptação do modelo apresentado por Carneiro e Sherris (2008). O modelo utilizado por Carneiro e Sherris (2008) destacou-se por apresentar uma variável alternativa à tradicionalmente utilizada nos estudos das características relacionadas à operação de hedge. Portanto, o objetivo desse modelo agrupado foi obter as características das empresas, distinguindo-as quanto à finalidade do uso do derivativo (proteção ou especulação), com foco na proteção. Destaca-se, entre os resultados, que o montante das dívidas atreladas à moeda estrangeira foi apontado como uma característica relacionada ao uso de derivativos para fins de hedge. No entanto, há evidências de que as empresas mais alavancadas utilizaram os derivativos para fins de especulação no período analisado. Conclui-se, portanto, que, no período analisado, nem todas as empresas utilizaram os derivativos exclusivamente para fins de hedge. / The primary function of the hedge is to protect against market fluctuations. Such oscillations are mainly divided in changes in interest, exchange rates and commodity prices. One way to operationalize the hedge is through the use of derivatives. Thus, it is interesting for creditors, investors and other interested parties to obtain more information about these operations. In light of this, the following question arises: in Brazilian public companies, which factors are related to the use of derivatives for hedging purposes of interest rate and exchange rate variations? Thus, this study aims to present the main characteristics of Brazilian public companies that influence the use of derivatives for hedging purposes, for both currency exchange and interest rate variations, in the period between 2010 and 2014. First, it was checked if the use of derivative by companies had hedging or speculation purposes. This procedure was mirrored in the works of Allayannis and Ofek (2001) and Chernenko and Faulkender (2011). The model adapted from Allayannis and Ofek (2001) was based on a two stage analisys that obtains information about the purpose of the derivative use by the company. The Chernenko and Faulkender (2011) model used panel data and different estimators (between and Within) to obtain information about the firm characteristics that are related to the use of derivatives for hedging or speculation purposes. An adaptation of the model presented by Carneiro and Sherris (2008) was grouped in the Cherneko and Faulkender (2011) model. The model used by Carneiro and Sherris (2008) stood out for presenting an alternative variable to the ones traditionally used in studies of the hedging related characteristics. Therefore, the objective of this model was to determine the characteristics of firms that use derivatives, distinguishing them by the purpose of derivative use (protection or speculation), with a grater focus on protection. One of the main results is that the amount of debt linked to foreign currency was pointed as a characteristic related to the use of derivatives for hedging purposes. However, there is evidence that the most leveraged companies used derivatives for speculative purposes during the period. In conclusion, not all companies used derivatives solely for hedging purposes in the analysed period.

Abstract This doctoral thesis aims to contribute to the literature on hedge fund performance and risk by conducting four interrelated essays. The first two essays measure and predict hedge fund performance using novel methodologies based on recent development in portfolio choice techniques. This new way to evaluate fund performance relies on economic theory and robust econometric principles. The first essay exploits hedge fund characteristics in order to pick right funds into a portfolio, whereas the second essay predicts hedge fund performance using conditional information that is contained in macroeconomic variables. The empirical analysis shows that the proposed conditional real-time portfolio strategies deliver significant outperformance over the unconditional benchmark strategy which does not utilize conditional information. The third essay investigates whether a particular hedge fund with specific fund characteristics contributes to systemic risk and how hedge funds with a high systemic risk contribution perform during the times of financial distress. The findings suggest that the fund’s capital structure is related to its systemic risk contribution, and, furthermore, that hedge funds with a high systemic risk contribution tend to deliver extremely poor performance during the times of financial distress. The fourth essay examines the impact of share restrictions on hedge fund performance and risk-taking. The essay finds that hedge funds with a lockup period tend to take excess risk that is not compensated when performance is measured as a unit of risk taken by the hedge fund. In addition, the length of notice periods increases along with the illiquidity level of fund investments. Finally, hedge funds with a long notice period seem to be able to earn an illiquidity premium.

This thesis consists of one hedge fund study and two credit default swap (CDS) studies. The first study investigates the relationship between mega hedge funds (the largest 25% of funds) and two bond yields (U.S. Treasury yield and Baa yield). Using a merged sample of 9,725 hedge funds from 1994 to 2012, I find that hedge fund outflow produced a more significant relationship than inflow, and the dollar outflow of large hedge funds can predict the increase in the bond yields. The association is also more pronounced for large funds with a short notice period prior to redemption. The results suggest that hedge fund flows provide predictive information for the movement of bond yields. The second study investigates the systematic and firm-specific credit and liquidity risks of CDS spreads. Using data on CDS spreads of 356 U.S. firms from 2002 to 2011, I find that systematic credit and liquidity risks are important in cross-sectional prediction of CDS spreads. In addition, the importance of systematic liquidity risk becomes substantial since the financial crisis in 2007. This finding challenges the current Basel III procedures for counterparty credit risk regulations, in which only pure default should be used. In addition, the systematic credit and liquidity factors can be used as a proxy for CDS spreads of firms that do not have traded CDSs. The last study extends Carr and Wu (2010), in which deep out-of-the-money (DOOM) put options and CDSs are associated as they both provide credit insurance for credit protection buyers. Using the Nelson-Siegel (1987) model, I obtain the credit and illiquidity components for DOOMs and CDSs over the period from May 2002 to May 2012. I show that, after controlling the factors that explain the difference between the DOOM and CDS markets, the components converge over time in these two markets. Thus, I can exploit the observed convergence pattern by constructing a simple trading strategy, and this benchmark strategy produces a positive return. I further construct two other strategies based on the component information, and these two refined strategies outperform the benchmark strategy by the Sharpe ratio and Carhart alpha. My three studies contribute to the literature in hedge fund systemic risk and CDS credit and liquidity risks.

Cette thèse vise à analyser les aspects juridiques du rôle joué par les acteurs ayant une stratégie actionariale de court-terme (hedge funds,...) dans le cadre des offres publiques d'acquisition. Outre l'identification de ces acteurs et la description des méthodes employées, il s'agit aussi de s'interroger sur les moyens à disposition de la société cible pour se défendre et de se demander si des évolutions législatives ne seraient pas nécessaires. / The purpose of the Phd is to analyze questions raised by short-termism in takevoer bids. As a matter of fact, some shareholders only have short-terme strategies (such as Hedge funds,...) and takeover bids provide some fantastic arbitration opportunities. First, one should clearly identify these actors. Products which might be used in such situation will also have to be studied. Second, one should analyze which defence could provide the target. Third, a study of the opportunity or repealing or amending french legislation on these issues will be done.

Ce travail de thèse s'intéresse à la contribution des investisseurs sophistiqués de type hedge funds à la dynamique des marchés financiers. Considérant qu'ils sont les acteurs fondamentaux de la révélation des prix et de la liquidité des marchés, tant du point de vue du modèle standard que des critiques comportementalistes, on propose une évaluation des interdépendances dynamiques entre stratégies de gestion alternative et marchés financiers. Les trois premiers chapitres proposent, aumoyen d'approches économétriques originales, la mise en perspective des stratégies de hedge funds avec la dynamique des marchés à travers l'étude des rendements, de la volatilité et des co-volatilités. S'appuyant sur un large panel de résultats, l'étude révèle les nombreuses causalités croisées entre fonds et marchés, offrant à la finance comportementale des éléments de preuves empiriques des interactions qu'elle envisage au regard des excès de volatilité ou de la contagion financière. Riche de ces enseignements, le dernier chapitre propose enfin un retour aux modèles théoriques d'équilibres de marché pour proposer un portrait contrasté de la spéculation rationnelle dans sa relation à l'efficience des marchés. / This PH.D thesis focuses on the contribution of sophisticated investors, i.e. hedge funds, in the dynamics of financial markets. Considering that they are key players in the price discovery and market liquidity, regarding the standard model or the behavioral critics, it provides an assessment of dynamic interdependencies between alternative management strategies and financial markets.The first three chapters put into perspective, through original econometric approaches, hedge funds strategies with market dynamics through the study of returns , volatility and co-volatilities. Based on a wide range of results, the study reveals the many causalities between funds and markets offering to the behavioral finance elements of empirical evidence of the interactions described interms of excess volatility or financial contagion. Rich in these teachings, the last chapter finally proposes a return to theoretical models of market equilibria in order to provide a mixed picture of rational speculation in its relation to market efficency.

An alternative form of investing that has grown steadily during turbulent economic conditions is the decision to invest in Hedge funds. Hedge funds differ from mutual funds by achieving absolute returns, meaning that the funds use complex investment strategies in order to achieve positive returns regardless of the performance of the stock market. The hedge fund market has grown significantly since the mid-1990s in the Nordic countries. Sweden has dominated the hedge fund scene in terms of pure numbers and is also in a dominant position in terms of hedge fund assets under management. Despite this growth, Swedish investors generally have a lack of knowledge about hedge funds as an alternative form of investment, which makes it difficult to assess its advantages and drawbacks. The purpose of the report is to study what hedge fund strategies on the Swedish market are able to generate absolute return over a given period. The purpose is also to compare the performance of the hedge fund strategies with the performance of the Swedish stock market over the given period. The strategies have been compared with the Swedish Stock Market Index SIXRX which reflects the performance of the Stockholm Stock Exchange, adjusted for dividends. The results show that all the hedge fund strategies had a lower volatility and generated a higher return relative to risk compared to the Stockholm Stock Exchange, over the given period. However, only three out of five hedge fund strategies managed to generate absolute return over the total period. / Ett investeringsalternativ som har vuxit sig starkare under turbulenta ekonomiska förhållanden är möjligheten att investera i hedgefonder. Hedgefonder skiljer sig från traditionellt förvaltade fonder genom möjligheten att utvinna s.k. absolut avkastning. Detta innebär att fonden använder komplexa investeringsstrategier i syfte att generera en positiv avkastning oberoende av aktiemarknadens utveckling. Hedgefonder har sedan mitten av 1990- talet vuxit sig allt starkare bland nordiska länder och Sverige är idag det land i Norden som dominerar avseende både antalet hedgefonder och förvaltat hedgefondkapital. Trots denna tillväxt har svenska investerare generellt sett låg kännedom om hedgefonder som placeringsalternativ, vilket gör det svårt att bedöma dess för- och nackdelar. Rapportens syfte är att undersöka vilka hedgefondstrategier på den svenska marknaden som klarar att generera absolut avkastning över en bestämd tidsperiod. Syftet är även att under samma period jämföra hedgefondstrategiernas utveckling med den svenska aktiemarknadens utveckling som helhet. Jämförelsen har gjorts med det svenska aktieindexet SIXRX som speglar Stockholmsbörsens utveckling, justerat för aktieutdelningar. Slutresultatet visar att samtliga hedgefondstrategier hade en lägre volatilitet samt genererade en högre avkastning i förhållande till risk jämfört med Stockholmsbörsen som helhet, under vald tidsperiod. Endast tre av fem strategier klarade dock att generera en absolut avkastning under tidsperiodens samtliga år.

This paper examinesinflation in Singapore and Hong Kong between 2002 to 2021. The purpose is to investigate whether REITs can hedge against inflation. The inflation will be divided into expected inflation (EI) and unexpected inflation (UI). Furthermore, the empirical analysis will test the relationship between REIT price return (PI), dividend yield return (DY), and total return (TR) returns and inflation separately and attempt to find out what could be the possible sources of hedging against inflation. The Fama and Schwert (1977) model was applied to analyze the relationship between REIT returns and inflation. The ARIMA model (Baciu, 2015) was applied to measure the expected inflation. Regression results show that the Singapore REIT price returns and total returns positively correlated with unexpected inflation, while the dividend yield returns are negatively correlated with unexpected inflation. However, the Hong Kong REIT price and total returns negatively correlate with expected inflation. This research will provide knowledge about the inflation-hedging characteristics of Singapore and Hong Kong REITs and implications for portfolio management and inflation risk management. / I den här artikeln undersöks förhållandet mellan avkastningen från fastighetsinvesteringsbolag (REIT) och inflationen i Singapore och Hongkong mellan 2002 och 2021. Syftet är att undersöka om REITs kan skydda sig mot inflation. Inflationen kommer att delas upp i förväntad inflation (EI) och oväntad inflation (UI). Vidare kommer den empiriska analysen att testa förhållandet mellan REIT:s prisavkastning (PI), avkastning på utdelning (DY) och totalavkastning (TR) och inflationen separat och försöka ta reda på vilka källor som kan vara möjliga för att skydda sig mot inflationen. Fama och Schwerts (1977) modell användes för att analysera förhållandet mellan REIT-avkastning och inflation. ARIMA-modellen (Baciu, 2015) tillämpades för att mäta den förväntade inflationen. Regressionsresultaten visar att Singapores REIT-prisavkastning och totalavkastning korrelerar positivt med oväntad inflation, medan avkastningen på utdelningsavkastning korrelerar negativt med oväntad inflation. Hongkongs REIT-pris och totalavkastning korrelerar dock negativt med den förväntade inflationen. Denna forskning kommer att ge kunskap om inflationsskyddande egenskaper hos Singapores och Hongkongs REITs och ge konsekvenser för portföljförvaltning och hantering av inflationsrisker.

Este trabalho analisa três estratégias de hedge de opção, buscando identificar a importância da escolha da estratégia para a obtenção de um bom desempenho do hedge. O conceito de hedge é analisado de forma retrospectiva e uma teoria geral de hedge é apresentada. Em seguida são descritos alguns estudos comparativos de desempenho de estratégias de hedge de opção e suas metodologias de implementação. Para esta análise comparativa são selecionadas três estratégias de hedge de opção de compra do tipo européia: a primeira utiliza o modelo Black-Scholes-Merton de precificação de opções, a segunda utiliza uma solução de programação dinâmica para hedge dinâmico multiperiódico e a terceira utiliza um modelo GARCH para precificação de opções. As estratégias são comentadas e comparadas do ponto de vista de suas premissas teóricas e por meio de testes comparativos de desempenho. O desempenho das estratégias é comparado sob uma perspectiva dinâmicamente ajustada, multiperiódica e autofinanciável. Os dados para comparação de desempenho são gerados por simulação e o desempenho é avaliado pelos erros absolutos médios e erros quadráticos médios, resultantes na carteira de hedge. São feitas ainda considerações a respeito de alternativas de estimação e suas implicações no desempenho das estratégias. / This work analyzes three option hedging strategies, to identify the importance of choosing a strategy in order to achieve a good hedging performance. A retrospective analysis of the concept of hedging is conducted and a general hedging theory is presented. Following, some comparative papers of hedging performance and their implementation methodologies are described. For the present comparative analysis, three hedging strategies for European options have been selected: the first one based on the Black-Scholes-Merton model for option pricing, the second one based on a dynamic programming solution for dynamic multiperiod hedging and the third one based on a GARCH model for option pricing. The strategies are compared under their theoric premisses and through comparative performance testes. The performances of the strategies are compared under a dynamically adjusted multiperiodic and self-financing perspective. Data for performance comparison are generated by simulation and performance is evaluated by mean absolute errors and mean squared errors resulting on the hedging portfolio. An analysis is also done regarding estimation approaches and their implications over the performance of the strategies.

Este trabalho analisa três estratégias de hedge de opção, buscando identificar a importância da escolha da estratégia para a obtenção de um bom desempenho do hedge. O conceito de hedge é analisado de forma retrospectiva e uma teoria geral de hedge é apresentada. Em seguida são descritos alguns estudos comparativos de desempenho de estratégias de hedge de opção e suas metodologias de implementação. Para esta análise comparativa são selecionadas três estratégias de hedge de opção de compra do tipo européia: a primeira utiliza o modelo Black-Scholes-Merton de precificação de opções, a segunda utiliza uma solução de programação dinâmica para hedge dinâmico multiperiódico e a terceira utiliza um modelo GARCH para precificação de opções. As estratégias são comentadas e comparadas do ponto de vista de suas premissas teóricas e por meio de testes comparativos de desempenho. O desempenho das estratégias é comparado sob uma perspectiva dinâmicamente ajustada, multiperiódica e autofinanciável. Os dados para comparação de desempenho são gerados por simulação e o desempenho é avaliado pelos erros absolutos médios e erros quadráticos médios, resultantes na carteira de hedge. São feitas ainda considerações a respeito de alternativas de estimação e suas implicações no desempenho das estratégias. / This work analyzes three option hedging strategies, to identify the importance of choosing a strategy in order to achieve a good hedging performance. A retrospective analysis of the concept of hedging is conducted and a general hedging theory is presented. Following, some comparative papers of hedging performance and their implementation methodologies are described. For the present comparative analysis, three hedging strategies for European options have been selected: the first one based on the Black-Scholes-Merton model for option pricing, the second one based on a dynamic programming solution for dynamic multiperiod hedging and the third one based on a GARCH model for option pricing. The strategies are compared under their theoric premisses and through comparative performance testes. The performances of the strategies are compared under a dynamically adjusted multiperiodic and self-financing perspective. Data for performance comparison are generated by simulation and performance is evaluated by mean absolute errors and mean squared errors resulting on the hedging portfolio. An analysis is also done regarding estimation approaches and their implications over the performance of the strategies.