10 results on '"Securato, José Roberto"'
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2. Effect of investments on fundamentals and market reaction on pre-operational and operational Brazilian companies for the period 2006-2012
- Author
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Pereira, Marco Antonio, Securato, José Roberto, and Sousa, Almir Ferreira de
- Published
- 2016
- Full Text
- View/download PDF
3. Analysis of value portfolios in the Brazilian market
- Author
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Palazzo, Vitor, Savoia, José R. F., Securato, José Roberto, and Bergmann, Daniel Reed
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investimentos ,investments ,ações ,value investing ,Brazilian market ,mercado brasileiro ,estratégia de valor ,filosofias de investimento ,stocks ,investment philosophies - Abstract
This paper tested a value investing strategy for the Brazilian market, selecting stocks based on the criteria suggested by Graham (2007) so that lower quality companies with potential risks not captured by the traditional risk models were eliminated. Five hundred thirty-two stocks were analyzed in the period from May 2005 to April 2015 and, after applying the Graham selection filters, portfolios with 10-year maturity were obtained. After simulating the portfolios’ performances over the analysis period and measuring the Sharpe ratios, it was possible to verify: (i) the validity of the Graham model for selecting stocks in the Brazilian market, (ii) tiering of the Graham filters according to their relevance, and (iii) the ideal composition for a value investing portfolio in the Brazilian market for the period analyzed. The portfolios obtained were able to offer higher risk adjusted returns than the Bovespa Index in the period, as well as lower risk metrics. The results confirmed the validity of the value investing strategy in the domestic market. RESUMO Este artigo testou uma estratégia de investimento em valor para o mercado brasileiro, usando critérios de seleção das ações baseados nas formulações de Graham (2007), de modo que fossem eliminadas as empresas de desempenho inferior que apresentassem riscos não capturados pelos modelos tradicionais. Foram selecionadas 532 ações durante o período de maio de 2005 a abril de 2015 e, após a aplicação dos filtros de Graham, foram obtidas carteiras de 10 anos de maturidade. Com a simulação do desempenho das carteiras pelo período analisado e do cálculo do índice de Sharpe, foi possível verificar: (i) a validade do uso do modelo de Graham para selecionar ações no mercado brasileiro; (ii) a hierarquização dos filtros de Graham pelo critério de relevância; e (iii) a composição ideal de uma carteira de investimentos orientada pelo value investing para o mercado brasileiro no período analisado. As carteiras obtidas foram capazes de oferecer retornos ajustados aos riscos superiores ao do Índice Bovespa no período, além de apresentarem medidas de risco inferiores. Os resultados atestaram a validade da estratégia de value investing no mercado nacional.
- Published
- 2018
4. U.S. subprime financial crisis contagion on BRIC and European Union stock markets.
- Author
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Reed Bergmann, Daniel, Securato, José Roberto, Ferreira Savoia, José Roberto, and do Rosário Contani, Eduardo Augusto
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SUBPRIME loans ,FINANCIAL crises ,STOCK exchanges ,GLOBALIZATION ,DEREGULATION - Abstract
Copyright of Revista de Administração is the property of Instituto de Administracao da FEA-USP and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Published
- 2015
- Full Text
- View/download PDF
5. ABOUT PSYCHOLOGICAL VARIABLES IN APPLICATION SCORING MODELS.
- Author
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ROGERS, PABLO, ROGERS, DANY, and SECURATO, JOSÉ ROBERTO
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DEFAULT (Finance) ,CREDIT scoring systems ,BEHAVIORAL economics ,DEBTOR & creditor ,CREDIT analysis ,CREDIT risk ,LOGISTIC regression analysis ,PSYCHOLOGY - Abstract
Copyright of RAE: Revista de Administração de Empresas is the property of Fundacao Getulio Vargas and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Published
- 2015
- Full Text
- View/download PDF
6. TESTING THE NON-PARAMETRIC CONDITIONAL CAPM IN THE BRAZILIAN STOCK MARKET.
- Author
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Bergmann, Daniel Reed, Monteiro Galeno, Marcela, Ferreira Savoia, José Roberto, and Securato, José Roberto
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PORTFOLIO management (Investments) ,ASSETS (Accounting) ,PRODUCTION (Economic theory) ,INVESTORS ,FOREIGN exchange rates - Abstract
Copyright of Revista de Ciências da Administração is the property of Universidade Federal de Santa Catarina, Departamento de Ciencias da Administracao and its content may not be copied or emailed to multiple sites or posted to a listserv without the copyright holder's express written permission. However, users may print, download, or email articles for individual use. This abstract may be abridged. No warranty is given about the accuracy of the copy. Users should refer to the original published version of the material for the full abstract. (Copyright applies to all Abstracts.)
- Published
- 2014
- Full Text
- View/download PDF
7. Does Economic Profit Beat Earnings? Evidence from Brazil.
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Serra, Ricardo Goulart, Martelanc, Roy, and Securato, José Roberto
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BUSINESS enterprises ,PROFITABILITY ,CORPORATE profits ,ECONOMIC value added (Corporations) ,FINANCIAL performance - Abstract
The purpose of this paper is to analyze if the Economic Profit (EP) better explains the Brazilian companies' market value than the Net Operating Profit After Taxes (NOPAT) or Net Income (NI). Therefore, it contributes to the debate on the superiority of Economic Value Added (EVA®) in explaining a company's value. The results indicate that the EP of the Brazilian companies analyzed from 2005 to 2008 is not comparatively better than the NOPAT or NI. This is a consistent result compared to those based on data from American, Japanese and Greek companies. [ABSTRACT FROM AUTHOR]
- Published
- 2011
8. Macroeconomic and Institutional Factors, Debt Composition and Capital Structure of Latin American Companies.
- Author
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Bernardo, Cláudio Júnior, Albanez, Tatiana, and Securato, José Roberto
- Subjects
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CAPITAL structure , *BUSINESS enterprises , *BUSINESS finance , *ECONOMETRICS , *MULTILEVEL models , *MACROECONOMICS - Abstract
The objective of this research was to examine the influence of macroeconomic and institutional factors when determining the capital structure of Latin American companies from 2009 to 2014, and also analyze if the significance of these factors to explain the capital structure of the companies is changed taking into account the financing composition. We used hierarchical linear modeling to process data. The main results pointed that, both the representative variables of characteristics of the firm and representative variables of countries are important determinants of the capital structure of the companies. However the variables of the firm explain a much higher percentage of variance of leverage. Thus, we emphasize that there is still much to be done in order to analyze the effects of macroeconomic and institutional factors. We expect that this study has created contributions to the national literature, by using a theoretical and also econometric approach that has not been much explored so far. As well as for market agents to examine the determinants of capital structure, considering the institutional aspects. [ABSTRACT FROM AUTHOR]
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- 2018
- Full Text
- View/download PDF
9. Basileia III: Impacto para os Bancos no Brasil.
- Author
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Perrone Pinheiro, Fernando Antonio, Ferreira Savóia, José Roberto, and Securato, José Roberto
- Subjects
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BANKING industry , *GOING public (Securities) , *CAPITAL , *RISK-weighted assets , *RATE of return , *MERGERS & acquisitions - Abstract
This article evaluates the potential impacts deriving from the change in required capital of banks in Brazil, with the implementation of Basel III. To do this, a sample of 58 banks was used, which accounts for 80% of the assets in the Brazilian National Financial System, according to the balance sheets of December 2012. The methodology adopted has simulated the need for regulatory capital that will be mandatory in the end of the transition period, in 2019, considering the continuity of risk-weighted assets (RWAs) contained in these financial statements. Assuming that some banks will resort to the capital market to raise their capitalization level, the return on equity (ROE) for the previous three years was analyzed, compared to the cost of equity, estimated by the International Capital Asset Pricing Model (ICAPM). It was found that 23 institutions had some kind of noncompliance with the new regulatory capital, among them the 3 largest federal public banks. It was also observed that 39 banks have a ROE insufficient to attract new investors. The joint analysis of the adequacy of capital structure and the return level may identify occasional vulnerabilities. It is concluded that implementing Basel III in Brazil may increase the search for greater efficiency and profitability. In a future scenario, the Brazilian banking system may observe a wave of mergers and acquisitions and an increased number of initial public offerings (IPOs). [ABSTRACT FROM AUTHOR]
- Published
- 2015
- Full Text
- View/download PDF
10. Inflation-betting effect and reach-for-yield behavior in Brazilian government bonds
- Author
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Machado, Luciana Maia Campos, Escolas::EAESP, Minardi, Andrea Maria Accioly Fonseca, Schiozer, Rafael Felipe, Securato, José Roberto, and Eid Júnior, William
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Brazilian government bonds ,Risco (Economia) ,Inflação ,Títulos públicos brasileiros ,Administração de empresas ,Títulos públicos - Brasil ,Uncertainty ,Inflação - Previsão ,Inflação e investimento - Brasil ,Inflation ,Incerteza - Abstract
This thesis proposes to verify if there is evidence of an inflation-betting effect in the Brazilian government bonds market and if it interacts with the aggregate supply of government bonds. We propose an empirical study about the relationship between inflation disagreement, measured as the standard deviation of one year ahead inflation forecasts, and excess holding returns of government bonds in different supply scenarios - based on the works of Hong et al. (2016) and Greenwood and Vayanos (2014). We analyzed two types of Brazilian government bonds, zero-coupon LTNs and NTN-Bs, from January 2005 to December 2017. Our sample contains 1,809 monthly observations of annual excess holding returns, government bonds’ supply, maturity and stock held by the Brazilian Central Bank. The results suggest that in Brazilian market the expected effect based on liquidity premium theory does not apply. If exposed to higher levels of uncertainty about future inflation, investors should demand a risk premium in order to invest in long-term bonds, but the opposite seems to happen: the coefficient of inflation disagreement was negative, decreasing with maturity and presented a more pronounced effect for NTN-Bs, inflation-linked securities that have longer maturities. Moreover, when analyzing scenarios of low and high aggregate supply, we find that the negative effect of inflation disagreement is more intense in scenarios of low supply, both for LTNs and NTN-Bs. These findings point to the existence of an inflation-betting effect in Brazilian government bonds market. In times of heterogeneous expectations, investors speculate on future inflation and prefer to bet on long-term bonds, that are more sensitive to inflation than short-term ones. This effect becomes more pronounced in times of low aggregate supply, when short-term constraints are binding. Esta tese tem como objetivo verificar se no mercado brasileiro de títulos públicos existem evidências de um inflation-betting effect e se este efeito interage com a oferta agregada de títulos públicos. O trabalho propõe um estudo empírico sobre a relação entre o desacordo de inflação, medido como o desvio padrão da previsão de inflação feita por especialistas financeiros para o próximo ano, e os retornos em excesso de títulos do governo em diferentes cenários de oferta - baseando-se nos trabalhos de Hong et al. (2016) e Greenwood and Vayanos (2014). Nós analisamos dois títulos públicos brasileiros, LTNs e NTN-Bs que não pagam cupons, de janeiro de 2005 a dezembro de 2017. Nossa amostra contém 1.809 observações mensais de retornos em excesso anuais, oferta de títulos públicos, anos até o vencimento e estoque mantido pelo Banco Central. Os resultados encontrados sugerem que no mercado brasileiro o efeito esperado com base na teoria de prêmio de liquidez não se aplica. Se expostos a maiores níveis de incerteza acerca da inflação futura, investidores deveriam demandar um prêmio de risco para investir em títulos de longo prazo, mas o oposto parece acontecer: o coeficiente da variável de incerteza sobre inflação se mostrou negativo, decrescente para vencimentos mais longos e com efeito mais acentuado para NTN-Bs, títulos indexados à inflação que possuem maior prazo de vencimento. Além disso, ao analisarmos cenários de baixa e alta oferta agregada de títulos, encontramos que o efeito negativo do desacordo nas expectativas de inflação futura é mais intenso em cenários de restrição de oferta, tanto para LTNs quanto NTN-Bs. Esses achados apontam para a existência de um inflation-betting effect no mercado de títulos públicos brasileiros. Em momentos de maior incerteza, investidores especulam sobre a inflação futura e preferem apostar em títulos de longo prazo, que são mais sensíveis à inflação. Esse efeito se torna mais pronunciado em momentos de baixa disponibilidade de títulos no mercado.
- Published
- 2018
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