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RESUMO Estudamos se o nível de divulgação contábil e financeiro afeta o valor da firma, focando a adoção do padrão IFRS no Brasil em 2010. Comparamos firmas com pior qualidade contábil ex-ante (no nível regular e nível 1 de governança corporativa) com firmas similares que já adotavam o IFRS antes de se tornar mandatório (Nível 2 e Novo Mercado). Encontramos que a adoção do IFRS tem um impacto positivo de aproximadamente 30 pontos percentuais no Q de Tobin e 26 pontos percentuais na razão entre valor de mercado e valor patrimonial para firmas nos níveis mais baixos de governança, e reduz substancialmente a diferença de valuation entre firmas nos níveis altos e baixos de governança corporativa. Essa redução na diferença de valuation é parcialmente explicada pelo aumento relativo na participação de estrangeiros no capital acionário e na liquidez das ações das firmas nos níveis mais baixos de governança corporativa. RESUMEN Estudiamos si el nivel de la divulgación de información financiera y contable afecta el valor de la empresa, considerando la implementación en Brasil de las Normas Internacionales de Información Financiera (NIIF) en 2010. Comparamos las empresas con una contabilidad de menor calidad (empresas en el Nivel Regular y Nivel 1 de gobierno corporativo) con empresas similares que ya había adoptado las NIIF antes de que fuera obligatorio (Nivel 2 y Novo Mercado). Encontramos que la adopción de las NIIF tiene un impacto positivo de aproximadamente 30 puntos porcentuales en la Q de Tobin y 26 puntos porcentuales en la relación entre el valor de mercado y el valor de capital para las empresas en los niveles más bajos de gobierno, y reduce sustancialmente la diferencia de valoración entre empresas en los niveles más altos y más bajos de gobierno corporativo. Esta reducción en la diferencia de valoración después de la adopción de las NIIF se explica en parte por el aumento relativo en la propiedad extranjera y la liquidez de las acciones de las empresas en los niveles más bajos de gobierno corporativo. ABSTRACT We study whether financial and accounting disclosure affect firm value by focusing on the full adoption of International Financial Reporting Standards (IFRS) in Brazil in 2010. We compare firms with ex-ante lower accounting quality (firms in the Regular and Level 1 tiers of corporate governance) with otherwise similar firms that had already complied with higher-quality accounting standards (firms in the Level 2 and Novo Mercado tiers). IFRS adoption has a positive impact of approximately 30 percentage points on Tobin´s Q and 26 percentage points on market-to-book ratios for firms in the lower governance tiers, and substantially reduces the valuation gap between firms in the higher and lower tiers of corporate governance. This reduction in the valuation gap after IFRS adoption is explained by the relative increase in foreign ownership and stock liquidity of firms in the lower governance tiers.

Results and contributions We contribute with the literature on debt covenants, by analyzing their effect on the speed of capital structure adjustment in an environment of low creditor protection (Brazil). Unlike the previous evidence for developed countries, our results suggest that covenants work as a signaling device and increase the speed of capital structure adjustment by more than 20% for firms that are only domestically-listed. For firms cross-listed in the US, the effect is smaller (if any), possibly because the signaling value of covenants is smaller for these firms that “bond” to the stricter regulation and creditor protection of the US market. Objective This paper examines how the presence of covenants affects the speed of adjustment to the target level of the capital structure of firms in an environment of low creditor protection, differentiating between firms that are only domestically-listed from firms that are cross-listed in the US and are subject to the US stricter regulation and stronger creditor protection. Gaps We fill a gap on the role of covenants in the speed of adjustment of capital structure in emerging markets, and the moderating role of cross-listing in this effect. We also document the low occurrence of covenant waivers in this context. Relevance The presence of restrictive clauses such as covenants in debt contracts is of great importance to determine firms’ financing and investment policies. Firms signal their quality by accepting contracts with covenants, which induce these firms deviate less from their target capital structure. Impact This work adds insights on the classic theories of capital structure, particularly in an emerging market context, and contributes to managers, creditors and capital market agents by highlighting the importance of covenants on firms’ financing decisions and definition of capital structure. Methodology We manually collect data on covenants from over 2,800 firms’ annual reports of Brazilian listed firms. We depart from the partial adjustment regression models frequently used in the literature, and insert covenant interaction variables.

This paper investigates whether product market power affects trade credit decisions. We exploit the 2007–08 credit crisis in the U.S. as a source of variation in the importance of product market power for trade credit. We find that a one standard deviation increase in market power is associated to a decrease in payables of approximately four days during the crisis, showing that high market power firms alleviate financial constraints from their suppliers to avoid the loss of monopoly rents. Our inferences are robust to structural and non-structural measures of market power, both at the firm and at the industry levels, and the inclusion of controls to address potential confounding effects deriving from other firm features, including financial constraints, industry specific shocks and macroeconomic effects.

We study whether financial and accounting disclosure affect firm value, by focusing on the adoption of the full International Financial Reporting Standards (IFRS) in Brazil in 2010. We claim that Brazil is a unique and ideal scenario to investigate this issue, because the country adopted IFRS in a shorter period compared to other economies, and its firms presented ex-ante cross-sectional heterogeneity in accounting quality. With a sample of Brazilian publicly-listed firms from 2004 to 2015 we use a diff-in-diff and propensity score matching techniques to compare firms with ex-ante lower quality of accounting (firms in the Regular and Level 1 tiers of corporate governance) with otherwise-similar firms that already complied with higher-quality accounting standards (firms in the Level 2 and Novo Mercado tiers) before the mandatory adoption of IFRS.

We investigate whether banks that receive a positive liquidity shock make up for the reduction in the loan supply by banks that suffer a negative liquidity shock. For identification, we use the exogenous shock to the Brazilian banking system caused by the international turmoil of 2008 that sparked a run on small and medium banks towards the systemically important banks. We find that a reduction in liquidity causes banks to strongly decrease their loan supply, whereas a positive liquidity shock has a small (if any) effect on the loan supply. Our findings are consistent with the theories that predict that borrowers face switching costs, and that agents tend to hold on to liquidity during periods of systemic uncertainty. In addition, we find that the shock causes small and medium companies to obtain less bank financing, compared to large firms, possibly because international and domestic capital markets dry out during the crisis. Our evidence suggests that the asymmetric effect of liquidity on loan supply derives mostly from the extensive, rather than the intensive margin. Nonetheless, because we do not identify the exact mechanism driving bank behavior, we cannot predict under which conditions we would find a similar effect should a new shock occur

Como as medidas emergenciais para mitigar a crise econômica afetam o mercado de crédito tanto no curto quanto no longo prazo.

A maioria dos sistemas financeiros conta com algum tipo de garantia a passivos bancarios. Esses mecanismos foram criados com o objetivo de diminuir a incidencia de corridas bancarias e garantir a poupanca de pequenos investidores. Garantias governamentais (ou quase governamentais) dadas a passivos bancarios podem assumir varias formas. A mais comum e o que se costuma chamar de seguro-deposito: uma garantia aos depositantes, com valor limitado, em caso de falencia do banco. Essa garantia pode ser oferecida por meio de uma seguradora oficial, como a Federal Deposits Insurance Corporation (FDIC), nos EUA, ou por uma entidade privada, que funcione num mecanismo de cosseguro entre os participantes, como o Fundo Garantidor de Credito (FGC) no Brasil

This paper analyzes the competitive effects of government bailout expectations on bank risk using a sample of banks in Organisation for Economic Co-operation and Development countries from 2005 to 2015. We verify that, ordinarily, the bailout expectations of a given bank increase its competitors’ risk. During a crisis, however, this effect is mitigated, ie, banks with more protected competitors reduce their risk in relation to banks with less protected competitors. We also show that in countries with higher sovereign risk (a lower capacity to bail out banks), the effect of competitors’ protection on bank risk during a crisis is smaller, which is consistent with the idea that bailing out protected banks becomes less credible in these countries during turbulent times. Taken together, these results suggest that the bailout expectations of competing banks put pressure on bank margins and lead to more risk in normal times, whereas market-disciplining forces become stronger for banks with protected competitors during a crisis, forcing them to reduce risks.

Este estudo insere-se no debate a respeito das consequências da presença de bancos estrangeiros em países em desenvolvimento. Especificamente, é investigada a atuação do conjunto de bancos de controle estrangeiro no Brasil de 2005 a 2011, com foco em sua participação nos mercados de crédito e de derivativos cambiais. Verificaram-se ainda os impactos da crise financeira internacional de 2008/2009 sobre o comportamento desses bancos. A motivação para essa análise está nos papéis que o crédito e a gestão de riscos financeiros desempenham no desenvolvimento econômico. O crédito é um canal fundamental de atuação pelo qual os bancos estrangeiros podem afetar o crescimento da economia doméstica. Os derivativos cambiais fazem parte de importante conjunto de tecnologias para gestão de risco das empresas e investidores que são mais comumente oferecidos pelos bancos estrangeiros e ajudam a explicar os efeitos benéficos da presença desses tipos de banco em economias emergentes. No período amostral, os bancos estrangeiros respondem por pouco mais de um quarto das concessões de crédito livre. Embora os testes realizados não permitam concluir relações de causa e efeito entre variáveis, observa-se que a crise financeira afetou negativamente os bancos estrangeiros, de forma mais intensa e longa do que os bancos privados nacionais. Essa observação pode ser indicativa de uma transmissão do choque de liquidez ocorrido nos mercados desenvolvidos para a economia brasileira. Entretanto, no período pós-crise, a partir do terceiro trimestre de 2010 até o final de 2011, a taxa de crescimento das concessões dos estrangeiros foi superior às dos demais. No mercado de derivativos cambiais, os bancos estrangeiros, inclusive os de menor porte, têm papel importante no fornecimento desses instrumentos, especialmente para o setor não financeiro. Os resultados mostram que, durante a crise, e, especialmente, no período pós-crise, os bancos privados nacionais diminuíram sua atuação nesses mercados. Adicionalmente, mostra-se que esse mercado é menos concentrado que o de crédito, o que evidencia a importância da existência de instituições financeiras de menor porte. This study relates to the debate concerning the consequences of the presence of foreign banks in emerging countries. Specifically, this study investigates the role of the group of foreign banks in Brazil between 2005 and 2011, focusing on their activity on foreign exchange derivatives and credit markets. Additionally, it examines the impacts of the international financial crisis of 2008/2009 on bank behavior. The motivation behind this analysis lies on the role of credit and financial risk management on economic development. Foreign banks may impact the rate of growth of the domestic economy by improving credit access to firms. Foreign banks may also have a positive effect in emerging markets by offering foreign exchange derivatives to companies and investors, which are important tools among the set of risk management technologies. In Brazil, foreign banks account for almost a quarter of the supply of non-directed credit during the sample period. Although this analysis does not pertain to causal inference, it indicates that the financial crisis negatively affected the supply of loans by foreign banks, even more intensively and longer than domestic private banks. This observation suggests that the liquidity shock that occurred in developed markets was transmitted to the Brazilian economy. Nevertheless, in the post-crisis period, namely from the third quarter 2010 until the end of 2011, the growth rate of foreign banks' lending was larger than those of other banks. In the currency derivatives market, foreign banks, including the smaller ones, play an important role in providing such instruments, especially for the non-financial sector. The results show that, during the crisis and especially in the post-crisis period, domestic private banks reduced their share in such markets. Moreover, we show that this market is less concentrated than the credit market, which is evidence for the importance of the existence of smaller financial institutions. Este estudio se incluye en el debate con relación a las consecuencias de la presencia de bancos extranjeros en países en desarrollo. Específicamente, se investiga la actuación del conjunto de bancos de control extranjero en Brasil del 2005 a 2011, con foco en su participación en los mercados de crédito y de derivativos cambiales. Se verificaron también los impactos de la crisis financiera internacional de 2008/2009 sobre el comportamiento de esos bancos. La motivación para este análisis se encuentra en los papeles de crédito y en la gestión de riesgos financieros que se desempeñan en el desarrollo económico. El crédito es un canal fundamental de actuación por el cual los bancos extranjeros pueden afectar el crecimiento de la economía doméstica. Los derivativos cambiales hacen parte del importante conjunto de tecnologías para la gestión de riesgo de las empresas y de los inversores que son más comúnmente ofrecidos por los bancos extranjeros y ayudan a explicar los efectos benéficos de la presencia de estos bancos en economías emergentes. En el periodo de muestra, los bancos extranjeros responden por poco más de un cuarto de las concesiones de crédito libre. Aunque las pruebas realizadas no permiten concluir relaciones de causa y efecto entre las variables, se observa que la crisis financiera afectó negativamente a los bancos extranjeros, en forma más intensa y larga que a los bancos privados nacionales. Esta observación puede ser indicativa de una transmisión del choque de liquidez ocurrido en los mercados desarrollados para la economía brasileña. Entre tanto, en el periodo pos crisis, a partir del tercer trimestre de 2010 hasta fines de 2011, la tasa de crecimiento de las concesiones de los extranjeros fue superior a las de los nacionales. En el mercado de derivativos cambiales, los bancos extranjeros, inclusive los de menor porte, tienen un papel importante en la provisión de estos instrumentos, especialmente para el sector no-financiero. Los resultados muestran que, durante la crisis, y, especialmente, en el periodo pos-crisis, los bancos privados nacionales disminuyeron su actuación en estos mercados. Adicionalmente, se muestra que ese mercado es menos concentrado que el mercado de crédito, lo que evidencia la importancia de la existencia de instituciones financieras de menor porte.

We exploit the exogenous shock to the Brazilian banking system caused by the international turmoil of 2008 and find evidence that the run to systemically important banks is better explained by the perception of a too-big-to-fail policy than by bank fundamentals. We infer that the extra inflow of deposits received by systemically important banks during crises gives them an important competitive advantage. Our analysis also indicates that a bank’s share of funding from institutional investors affects the nonfinancial firms’ and institutional investors’ decision to run.

This chapter gives an overview of corporate governance in Brazilian banks. The authors start by describing the recent history of the country’s financial system, with an emphasis on the macroeconomic reforms of the mid-1990s, which ended the chronic inflation problem that the country had faced for decades, and had major implications for the functioning of the banking system. They then summarize the most important bank and capital markets regulations and describe the ownership structure of Brazilian banks, as well as board composition, and their implications for corporate governance. They conclude by discussing the recent achievements and the challenges that remain for the future in terms of bank corporate governance in the country, such as increasing bank competition and reducing ownership concentration in banks.

This paper investigates the determinants of currency risk management in nonfinancial firms in Argentina, Brazil, Chile, and Mexico, based on a panel data sample of firms that list as American depositary receipts from 2001 to 2004. Our evidence indicates that derivatives held for hedging purposes can yield cash flows of the same order of magnitude of capital expenditures, operational earnings, and financial expense, unlike what was previously found by Guay and Kothari (2003) for U.S. firms. We study not only the decision to use derivatives, but also the magnitude of derivatives holdings and the importance of operational hedging in firms' risk management strategies. We find that economies of scale, financial distress costs, informational asymmetry, and growth opportunities are important for risk management decisions, and that firms do not hedge because of potential tax benefits.

This paper investigates whether market power affects trade credit decisions. We explore several financial crises in Argentina, Brazil, Mexico and the US that work as exogenous shocks to the supply of short and long term financing for nonfinancial firms. We find that firms with high market power increase the supply of net trade credit to their customers during and after a financial crisis, whereas firms with low market power reduce net trade credit terms offered to their clients. The effects of market power and financial constraints work as separate channels in the trade credit policy decisions. Our results contribute with the previous literature by documenting an effect of product market competition on trade credit decisions.

This study investigates whether the influence of the US environment on firms cross-listed in the US is associated with the reduction in the disclosure deficiencies related to firms’ legal traditions. We analyze the levels of compliance with the disclosures required by International Accounting Standard (IAS) 24 concerning related party transactions and perform a double-differences comparison. First, we compare firms from different legal origins (common law versus civil law), and second, we compare the cross-listing status (cross-listed in the US versus domestically listed only) of a panel sample of firms from countries in which International Financial Reporting Standards (IFRS) are mandatory. For domestically listed firms, we find that firms from the common law tradition have disclosure levels superior to those of firms from the civil law tradition. We find that the main reason for the differences in disclosure for these firms is regulatory quality. However, we do not find any differences in the level of disclosure among firms cross-listed in the US that can be associated with firms’ legal origin. Our results suggest that the regulatory enforcement and scrutiny of capital markets imposed by the US market compensate for home-country institutional deficiencies and mitigate differences in firms’ disclosure across legal origins.

Tecnologias emergentes permitem a criacao de sistemas de verificacao que reduzem riscos e aumentam o volume de emprestimos.

Este estudo investiga a relação entre restrição de capital e as operações de cessão de crédito realizadas pelos bancos brasileiros. O período de análise, compreendido entre junho de 2004 e junho de 2009 - em que as cessões de crédito aumentaram em quase 20 vezes, ante um crescimento de 162% no volume de crédito - inclui a crise financeira de 2008/2009, choque exógeno ao sistema financeiro brasileiro, durante o qual instituições financeiras enfrentaram dificuldades por causa da diminuição na captação por meio de depósitos livres e interbancários. Isso permite, também, verificar se os efeitos da restrição de capital sobre a cessão se exacerbam diante de crises financeiras. Os resultados observados indicam que um aumento na restrição de capital - próprio e de terceiros - está relacionado à expansão das operações de cessão de crédito realizadas pelos bancos brasileiros.

This study investigates whether the composition of debt affects the payout policy of banks. We identify that information-sensitive depositors (institutional investors) are targets of dividend signaling by banks. We use a unique database of Brazilian banks, for which we are able to identify several types of debtholders, namely institutional investors, nonfinancial firms and individuals, which are potential targets of dividend signaling. We also exploit the features of the Brazilian banking system, such as the existence of several closely held banks, owned and managed by a small group of shareholders, for which shareholder-targeted signaling is implausible, and find that banks that rely more on information-sensitive (institutional) depositors for funding pay larger dividends, controlling for other features. During the financial crisis, this behavior was even more pronounced. This relationship reinforces the role of dividends as a costly and credible signal of the quality of bank assets. We also find that payout is negatively related to the banks’ cost of funding (interest rates paid on certificates of deposits), that dividends have a positive relationship with size and past profitability and that closely held banks pay more dividends than publicly traded banks, a finding that is also in line with the idea that depositors are targets of dividend-signaling. Finally, we find a negative relationship between dividends and the capital adequacy ratio, which indicates that regulatory pressure may induce banks to pay less dividends and that payouts are negatively related to the growth of the loan portfolio, consistent with the idea of banks retaining earnings to increase equity and thus their lending capacity.

This paper analyzes the relationship between the financial health and organizational form of private health care providers in Brazil. It also examines the major determinants of customer satisfaction associated with the provider's organ-izational form. An adjusted Altman's z-score is used as an indicator of financial health. A proxy variable based on customer complaints filed at the Brazilian National Agency for Supplementary Health is used as an indicator for customer satisfaction. The study uses a sample of 270 private health care providers and their operations over the period 2003-2005. Panel data analysis includes control variables related to market, operations, and management. Principal results indicate that: (1) private health care providers benefit from economies of scale; (2) self-funded health plans have better financial health; (3) spending on marketing does not have a signif-icant impact on customer satisfaction in Brazil; (4) weak empirical evidence exists showing that good financial performance enhances customer's satisfaction. Este artigo analisa a situação financeira das operadoras de saúde suplementar no Brasil, de acordo com a modalidade de gestão. Adicionalmente, examina os principais determinantes para a satisfação do consumidor desses serviços. Como indicador principal de saúde financeira, utiliza-se uma versão adaptada do z-score de Altman. A proxy para satisfação do consumidor é o nível de reclamações fundamentadas registradas junto à Agência Nacional de Saúde Suplementar. Utilizamos uma amostra de 270 operadoras de saúde suplementar para o período 2003-2005, e regressões de dados em painel, com variáveis de controle de mercado, operacionais e de gestão. Os resultados principais indicam que (1) as operadoras de saúde se beneficiam de economias de escala; (2) as empresas que operam no modelo de autogestão têm situação financeira melhor que as demais; (3) as despesas com marketing não impactam a satisfação dos consumidores dos planos de saúde; (4) finalmente, encontra-se também alguma evidência empírica indicando que a boa situação financeira implica maior satisfação do consumidor.

This study analyzes the wave of Initial Public Offering (IPO) of Brazilian banks from 2005 to 2007. The results show that the banks that went public in this period showed ex-ante characteristics different from those of similar banks that remained privately held. Specifically, IPO-banks had greater profitability, larger loans/asset ratio, smaller proportion of non-performing loans and were more capital constrained than banks that remained private. These results show that the wave of bank IPOs cannot be explained simply by the market-timing theory, but probably is due to the greater growth opportunities of these banks relative to their competitors. Thus, market liquidity is a necessary, but not sufficient condition, to explain these IPOs. We also investigate the effect of the going public decision on the post-issue operational performance of these banks, and find evidence on the increase in the proportion of loans relative to total assets, associated with a rise in the proportion of nonperforming loans, even controlled by the credit boom occurred in the period. An improvement in managerial efficiency is also perceived, which may indicate economies of scale resulting from the going public process.

Abstract This paper investigates the economic relationship that exists between oil price and operating costs in the E&P industry and its implications for the capital budgeting and decision-making processes. We present empirical evidence that there is a positive correlation between price and operating costs, and that overlooking this relationship has severe implications for the valuation of investment projects, both using a traditional Net Present Value (NPV) methodology or a Real Option approach. In the traditional NPV method, overlooking a price-cost correlation results in undervalued projects, and under Real Option Analysis, projects tend to be overvalued if such correlation is ignored. Introduction Any oil company manager involved in capital budgeting and decision-making is aware that the costs of exploration, appraisal, development and production have skyrocketed in the last five years due to increased demand for drilling rigs, specialized labor force and other resources. This dramatic change in costs is ultimately related to the increased activity in the E&P industry, reflecting the impacts of the rise in oil prices observed in the last number of years. This paper shows empirical evidence that the operating costs in the E&P industry are highly correlated to the price of oil. In the capital budgeting process, however, this correlation is often overlooked. When costs correlate to oil price, an increase or decrease in revenues is at least partially offset by a co-movement in costs. When this offsetting effect is ignored, the volatility of cash flow tends to be overestimated. This paper shows how this problem affects the valuation of oil prospects, both under the traditional NPV approach and a real option valuation technique, analyzing how decision-making processes may be flawed when the correlation between oil price, capital and operational expenditures are ignored. Under the traditional NPV approach, the overestimation of the volatility of cash flow causes projects to be seen as riskier than they really are. This causes a misperception of the firm's costs of financial distress. As a result, NPV is underestimated and, thus, the firm may pass over some good investment opportunities. If a real option approach is used, overestimated volatility results in an overvalued project since, as seen in the next section, the value of an E&P project is an increasing function of the volatility of its cash flows. This paper is structured as follows: the next section shows briefly how projects are evaluated under traditional NPV and real option approaches. Section 3 presents empirical evidence that costs correlate to oil prices. Section 4 discusses the differences between project valuation when a cost-price correlation is taken into account or not, including a numeric example. The last section brings some findings, conclusions and general implications of the results obtained for the decision-making process. Project Evaluation Under Traditional NPV and Real Option Approaches Valuation Using Traditional NPV The Net Present Value (NPV) of a project is given by the sum of annual cash flows yielded by the projects; each one discounted at a proper rate that reflects the systematic risks associated to these cash flows, i.e.

The largest remaining reserves of heavy oil can be considered an important energy source for future supply. This means that heavy oil is a strategic resource for the future of energy industry. In order to produce these resources, a petroleum company has to invest from exploration to decommissioning, over a time-period that may reach several years. The problem faced by managers is the correct valuation of sequential investment opportunities whose result will be known only many years ahead. The traditional method for valuation and decision-making is to compute the expected value of the mapped future scenarios with the help of a decision-tree, but its main drawback is that the correct discount rate is hard to estimate because it changes continuously over the nodes of the tree. In this paper, we use the option-pricing approach, noting that after the success of seismic exploration, management has the option to invest in appraisal whose exercise price is the cost of wildcat wells. After the success of appraisal, management has the option to invest in development and production. We apply the proposed model to the analysis of investment in a typical petroleum integrated project. We find different results and conclusions from those of the traditional NPV: Increase in the volatility will increase the value of flexibility to adapt the project to new environment;The strategy of carrying out the project in phases can contribute to increase its value;Even if the expected NPV is negative in some stages, the project is still valuable because of the possibility of increase in value of present value of cash flows in the future.

This paper develops a methodology to assess the expectations of oil companies managers regarding future oil prices implied in the acquisition of reserves. The method is applied to a sample of farm-ins and farm-outs of developed onshore oil fields in the US from 1979 to 2004, where we make assumptions on expectations of oil production and decline over time. The main findings point out that the determinants of the purchase price of reserves has not changed significantly over these 25 years and that oil companies (or their managers) generally believe in a mean-reverting process for the price of oil in the process of bidding and accepting offers for reserves, which means that they expect the price of oil to increase when it is below historical average and to decrease when it is above average. We also find that major oil companies are either more conservative than independent firms in estimating future oil prices or strategically decide to focus mainly on large capital-intensive oil prospects.

This paper investigates the determinants of currency risk management in non-financial firms in Argentina, Brazil, Chile and Mexico. We study not only the decision of using derivatives, but also the magnitude of derivatives holdings and the importance of operational hedge in firms' risk-management strategies. We find that currency exposure is the most managed with derivatives and that firms use derivatives mainly to hedge foreign debt. We also find that economies of scale, financial distress costs, informational asymmetry and growth opportunities are important for risk-management decisions, and that firms do not hedge because of potential tax benefits.

Orientador : Saul Barisnik Suslick Dissertação (mestrado) - Universidade Estadual de Campinas, Faculdade de Engenharia Mecanica Mestrado

This study investigates the impact of asset allocation on the net flow of fixed income funds in the Brazilian market, by exploiting the exogenous variation in the risk perception of bank liabilities (CDs) caused by the financial turmoil that followed Lehman Brothers’ demise in September 2008. The central hypothesis is that the exposure to assets negatively affected by the crisis impacts negatively the fund’s net flow. We find that, for mutual funds, the larger proportion of assets negatively affected by the crisis the larger the net outflow of resources, indicating that shareholders monitor asset allocation and exert disciplining power on fund managers by withdrawing their resources. In exclusive (fundos exclusivos, i.e., funds with a single shareholder), for which the shareholder is presumed to exert more influence on asset reallocation, we find no significant relationship between the exposure to assets negatively affected by the crisis and net flows.

Saul Barisnik Suslick passed away on the morning of April 11th, 2009 due to complications of a heart attack. He was born on May 17th, 1950, in Sao Paulo, Brazil. After a significant life of scholarship, he died prematurely at the age of 58 in Campinas, Brazil, where he had taught and researched at the State University of Campinas for more than 20 years. This article offers a short biography of Saul B. Suslick, an introduction to some of his central research and thoughts and a few reflections on how his work may be carried forward. [Received: September 2, 2009; Accepted: November 7, 2009].

Abstract The traditional analytical tool for selecting portfolios of financial assets is Markowitz's mean-variance model. The final product of this model is the efficient frontier. Markowitz's approach comes up with an infinite set of optimal portfolios in terms of risk and return (called the efficient frontier), but the mean-variance model does not recommend the best portfolio. This paper proposes an extension of the mean-variance model by the inclusion of a three-step approach:an estimation of the risk and return of each project;the estimation of a correlation between returns of each pair of selected prospects; and,the inclusion of corporate goals beyond simple economic return; that is, budget and operational constraints. We show that the selection of the optimal portfolio depends on the diversification level of the investor and the costs of financial distress faced by the oil company. Introduction The oil industry has currently been facing high volatility in price, plus technological and geological uncertainties that reduce cost predictability. Since these uncertain factors are all present in most oil and gas projects, they represent a clear motivation for the development of new tools for improving the rationality of decisions in the process of capital allocation. Some of these tools are for the selection of the best portfolio of upstream projects when the main difference between any two portfolios is risk and return. At this point, we wish to make it clear that the screening or selection of oil projects is a previous step and will not be considered in this paper. We assume that the problem consists of finding the best portfolio of already screened oil and gas projects. Not long ago, the selection of portfolios was based on indicators such as ranking and cut, internal rate of return and payback period. When we use any or all of these indicators, the conflicting, but necessary, risk-return trade-off is not considered, so that the optimal decision could have a very high return. On the other hand, however, its risk level may be unsupportable by management. In the past, in the job of finding and producing hydrocarbons, risk was always present, but there was not a systematic pressure policy towards its understanding, modelling and quantification. Presently, in most oil and gas companies, management is not only under pressure to deliver good indicators for the shareholders, but also to estimate the associated risk level. In the context of this paper we consider risk analysis as an integration of three steps. First is the identification of uncertain variables. Second is the probabilistic modelling of these uncertain variables. Third is the use of Monte Carlo simulation in order to get the frequency distribution of response variable, such as net present value (NPV). One reason for the widespread demand for risk analysis in the upstream industry is that trends of resource availability have pointed out that the largest remaining reserves of hydrocarbons are primarily situated in ultra-deep environments where the potential for return is higher but the risk is also huge.

How taxes affect corporate financing decisions is an important question in the capital structure literature and a challenging one to address with empirical data due to several endogeneity issues. Although many studies address this question, there is still no decisive evidence on whether tax effects are relevant, as suggested by the trade-off theory, or of third-order importance, as suggested by other theories, such as the pecking-order and market timing. This situation is especially true for the banking industry, considering that few studies include financial institutions. Regulatory concerns have commonly been accepted as dominant in banks\' capital structure decisions; however, recent studies show that this assumption might be incorrect. Harmful tax competition is a related subject that has received little attention from previous capital structure studies. Profit shifting strategies, such as shifting economic activities, may also be understood as non-debt tax shields. Considering that taxation occurs at the individual firm level and that bank conglomerates have profit shifting opportunities among affiliated firms, I evaluate weather Brazilian banks are able to take advantage of the debt tax shield while accomplishing other capital structure goals at the conglomerate level. As far as I am concerned, this research is the first to gather empirical evidence on this phenomenon. Recent empirical studies have presented convincing results on tax policy changes as natural experiments to try to resolve the endogeneity problem. In this context, a two-step 11 p.p. tax rate increase applied to Brazilian banks\' corporate tax rate, alongside some features of Brazil\'s complex and unstable tax environment, provide a unique study opportunity. This dissertation consists of a quantitative empirical research strategy using a difference-in-differences methodological approach. Results from the first corporate income tax rate increase are consistent with trade-off theory predictions and with the hypothesis that, compared to individual banks, financial conglomerates\' capital structure are less affected by taxes. However, findings from the second event do not support the trade-off predictions. One possible explanation consistent with regulatory dominance on bank\'s capital structure decisions is that Basel III implementation with stricter regulatory requirements left little room for tax effects. Even though results are mixed, this research provides evidence on how tax legislation can be used to help achieve regulatory goals. A forma como a tributação afeta as decisões de financiamento corporativo é uma questão importante na literatura sobre estrutura de capital e um desafio a ser abordado com dados empíricos devido a vários problemas de endogeneidade. Embora muitos estudos tenham abordado a questão, ainda não há evidências decisivas se os efeitos fiscais são relevantes, como sugerido pela teoria do trade-off, ou de importância de terceira ordem, como sugerido por outras teorias como a pecking-order e a teoria do market timing. Isto é especialmente verdadeiro para o setor bancário, considerando que ainda existem poucos estudos incluindo instituições financeiras. Normalmente, preocupações regulatórias foram aceitas como dominantes nas decisões de estrutura de capital dos bancos; no entanto, estudos recentes mostram que essa suposição pode estar incorreta. Concorrência fiscal prejudicial é um assunto relacionado que recebeu pouca atenção de estudos de estrutura de capital anteriores. As estratégias de transferências de lucro, como a mudança de atividades econômicas entre jurisdições, também podem ser entendidas como escudos fiscais não relacionados à dívida. Considerando que a tributação é devida no nível individual da empresa e que os conglomerados bancários têm oportunidades de transferência de lucros entre as empresas do grupo, é avaliado se os bancos brasileiros podem tirar proveito do benefício fiscal da dívida enquanto buscam outros objetivos da estrutura de capital no nível do conglomerado. No que me diz respeito, esta pesquisa é a primeira a reunir evidências empíricas desse fenômeno. Estudos empíricos recentes apresentaram resultados convincentes considerando mudanças na política tributária como experimentos naturais para tentar resolver o problema da endogeneidade. Neste contexto, uma oportunidade única de estudo resulta do aumento em duas etapas da alíquota da tributação dos lucros dos bancos brasileiros de onze pontos percentuais, juntamente com algumas características do ambiente tributário complexo e instável do país. Esta dissertação consiste em uma estratégia de pesquisa empírica quantitativa usando uma abordagem metodológica de diferenças-em-diferenças. Os resultados do primeiro aumento da alíquota do imposto de renda corporativo são consistentes com as previsões da teoria do trade-off e com a hipótese de que, em comparação com os bancos, a estrutura de capital dos conglomerados financeiros é menos afetada pela tributação. No entanto, os resultados do segundo período não apoiam as previsões da teoria do trade-off, uma possível explicação consistente com a hipótese de dominância regulatória nas decisões de estrutura de capital dos bancos é que a implementação de Basileia III, com exigências regulatórias mais rígidas, deixou pouco espaço para efeitos tributários. Apesar dos resultados mistos, a pesquisa fornece evidência de como a legislação tributária pode ser utilizada para ajudar a atingir objetivos regulatórios.

This paper explores the 2008-2009 Global Trade Collapse to estimate the effects of a credit supply shock on exporters\' investments decisions. Using a Brazilian firm-level dataset compiled by the Brazilian Internal Revenue Service (IRS) over the period 2007-2013, I pair up export-intensive firms with their domestically-oriented counterparts to, subsequently, calculate the differences in terms of sensitivity of investment to cash flow between the two groups over the years. After controlling for the effect of international falling demand, my study reveals that exporters are more severely constrained than their peers in the control group only in 2009, when the supply of credit instruments to finance international trade shrank. Given their high need of external financing to support exporting activities and the volatility of the cost of trade finance, usually priced against 3-month Libor, my results are in line with expected. A number of robustness and placebo tests confirm the validity of the findings. Este artigo explora o colapso do comércio global em 2008-2009 no intuito de estimar os efeitos de um choque de oferta de crédito nas decisões de investimento das empresas exportadoras. Utilizando dados em painel de empresas brasileiras no período 2007-2013, compilados pela pela Receita Federal do Brasil (RFB), é feito pareamento entre empresas exportadoras e as focadas no mercado interno e, em seguida, calculadas as diferenças na sensibilidade do investimento ao fluxo de caixa entre os dois grupos ao longo dos anos. Depois de controlar o efeito da queda da demanda internacional, meu estudo revela que as exportadoras ficaram mais restritas a crédito que suas similares do grupo de controle somente no ano de 2009, quando a oferta de instrumentos de crédito para o setor encolheu. Dada a alta necessidade de financiamento externo para apoiar as atividades de exportação e a volatilidade do custo dos instrumentos de crédito destinados a estas, geralmente precificados em relação à Libor de 3 meses, os resultados obtidos estão em linha com o esperado. Uma série de testes de robustez e placebo são realizados para confirmar a validade das inferências.

Este trabalho emprega métodos quantitativos a dados de Demonstrações Financeiras para avaliar a existência de relação de causalidade entre a Lei 12.249 de 11 de junho de 2010, que institui normas de subcapitalização no Brasil, e a estrutura de capital de empresas brasileiras que possuem partes vinculadas no exterior. Esta lei estabeleceu limites ao endividamento oriundo de tais partes vinculadas para que os respectivos juros pagos sejam considerados dedutíveis para fins da apuração de tributos sobre o lucro e foi usada como intervenção exógena na análise proposta. Os dados são oriundos de empresas fechadas e de empresas públicas, coletados manualmente, em jornais publicamente disponíveis, e na base de dados Economatica® e foi obtida uma amostra inicial de 2,070 observações. Após exclusão daquelas com Patrimônio Líquido negativo, restaram 1,816 observações em um painel não balanceado, subamostra usada para estimação com o método principal de investigação deste trabalho, que foi o de Diferenças-em-diferenças (DD). Neste, a variável dependente consistiu da razão entre dívida onerosa total e Ativo Total, observados anualmente no período compreendido entre o ano de 2006 e ano de 2014. Este método foi estimado por OLS seus resultados foram complementados com o pareamento de observações por meio de quatro procedimentos de propensity score matching (PSM), one-to-one, nearest neighbour, radius e kernel, em que a variável resposta consistiu da diferença, observada entre o ano de 2011 e o ano de 2009, dos valores da variável resposta descrita anteriormente. Para estimação por meio de matching, foram excluídas observações de empresas que variaram a composição societária ao longo do período de forma a possuir partes vinculadas estrangeiras em determinado momento e não possuí-las mais tarde e também foram excluídas aquelas empresas que não possuem observações durante todo o período avaliado, obtendo-se um painel balanceado com 114 empresas e 1,026 observações. O propensity score obtido foi ainda empregado para ponderar as observações no modelo previamente estimado com o método DD. As variáveis de controle empregadas tanto no DD quanto na estimação do propensity score consistiram dos valores de Ativo Imobilizado, Vendas Líquidas, Lucro Bruto e Patrimônio Líquido, obsevados anualmente e dividido pelo Ativo Total. Os resultados obtidos não foram significantes aos níveis convencionais de confiança, apontando para possível redução da relação entre dívida total e Ativo Total das empresas do grupo tratamento em valores que variaram entre 4.17% e 0.5% em termos de Ativo Total, dependendo do método e modelo estimados. Observa-se que tanto a variável resposta quanto o endividamento oneroso total das empresas de ambos os grupos parecem ter aumentado durante o período investigado, mas a variável resposta, aparentemente, já apresentava crescimento menos acentuado nas empresas do grupo tratamento antes do advento da lei, não sendo possível concluir que esta seja a causa da tendência de decréscimo da relação entre dívida e Ativo Total no grupo de empresas que possuem partes vinculadas estrangeiras. Ressalvadas as limitações do estudo, conclui-se que a lei não teve efeito sobre o endividamento total e, portanto, sem efeitos sobre a arrecadação de tributos sobre o lucro destas empresas. This work applies quantitative methods to data from Financial Statements to assess the existence of a causal relationship between the Law 12,249 of June 11, 2010, which establishes thin capitalization rules in Brazil, and the capital structure of Brazilian companies that keep foreign related parties. This law established limits to the tax deductibility arising from interest payments to such related parties and was here employed as a source of exogenous variation to perform the proposed analysis. The data came from private and public companies, were manually collected, from publicly available newspapers, and obtained from the Economatica database. An initial sample of 2,070 observations was obtained. After the exclusion of those with negative Equity, there were 1,816 observations composing an unbalanced panel, sub-sample which was used for estimation with the main research method of this investigation, which was the Differences-in-differences (DD) method. A dependent variable consisted of the ratio between total costly debt and Total Asset, observed annually in the period between the years 2006 and 2014. This method has been estimated by OLS and its results were complemented with the pairing of companies by means of four matching methods: One-to-one, nearest neighbour, radius, and kernel, where the response variable consisted of the difference between the dependent variable\'s values observed in the years 2011 and 2009. To estimate the laws\' effects by means of matching procedures, data from companies that showed variation at the societal composition in such a way that led them to have foreign related parties in less than the whole period and from those companies that do not have data throughout the whole period evaluated were excluded, and a balanced panel with 114 companies and 1,026 observations remained. Yet again, the obtained propensity score was applied as weight for another OLS DD estimation. Control variables consisted of the values of Fixed Assets, Net Sales, Gross Profits and Shareholders\' Equity, reported annually and divided by Total Assets. The results obtained were not significant at any conventional confidence levels, nevertheless pointing to a reduction of the treatment group companies\' ratio between debt and Total Assets which varied between 4.17% and 0.5% of Total Assets, depending on the estimated method and model. It appears that the companies\' both response variable and total costly indebtedness increased during the period analysed, but the response variable seems to have already presented a less pronounced growth in the treatment group\'s companies before the existence of the law, therefore making it not possible to conclude that this legislation piece is the cause of the downward trend in the ratio between debt and Total Assets of companies that keep foreign related parties. Subject to this study\'s limitations, it is possible to conclude that the law had no effect on total indebtedness and, therefore, had no effect on profit taxes base erosion regarding this group of companies.

Este estudo buscou investigar duas relações de interesse: a relação entre poder e cobertura de analistas financeiros no mercado acionário brasileiro, e a relação entre poder e assimetria informacional neste mercado, nos períodos de 2000 a 2010. O objetivo desta pesquisa envolveu verificar se o poder empresarial aumenta a assimetria informacional decorrentes dos custos de agência envolvidos e possibilidade de expropriação de valor (Jensen & Meckling, 1976), ou diminui a assimetria, uma vez que administração da empresa não se sente vulnerável a demissões ou possíveis embaraços a sua atuação, e opta por não omitir informações aos stakeholders (Bertrand & Mullainathan, 2003). Ainda relacionado ao ambiente informacional impactado pelo poder empresarial, buscou-se verificar se os analistas financeiros acompanham empresas que apresentam uma maior assimetria informacional, e assim cumprindo sua função de monitoramento da gestão empresarial (Healy & Palepu, 2001), ou menor assimetria, em decorrência dos custos envolvidos em se obter informações privadas (Frankel, Kothari & Weber, 2006). Com o uso de proxies criadas pela análise fatorial para capturar as especificidades relacionadas a poder empresarial e assimetria informacional no ambiente empresarial brasileiro, foram observadas uma relação negativa entre cobertura de analistas financeiros e poder empresarial e uma relação positiva entre assimetria e poder empresarial. Pelas hipóteses esquematizadas por Jiraporn, Liu e Kim (2012), que abarcam todas as relações possíveis entre assimetria, poder empresarial e cobertura de analistas financeiros, os resultados se enquadram na Hipótese da Opacidade. This research aims to investigate two relationships: the relationship between corporate power and financial analysts coverage in Brazilian stock market, and the relationship between corporate power and asymmetric information during 2000 to 2010. This research\'s purpose involve to verify if corporate power increases the asymmetric information resulting from agency costs and potential expropriation value (Jensen & Meckling, 1976), or decreases this asymmetry since the firm\'s management does not feel vulnerable to layoffs or possible embarrassment to managerial performance, and chooses do not omit information to stakeholders (Bertrand & Mullainathan, 2003). Also related to the information environment impacted by corporate power, this research seek to investigate if financial analysts follow firms that have higher asymmetric information, and thus fulfill this monitoring role of business management (Healy & Palepu, 2001), or less asymmetry in due to the costs involved in obtaining private information (Frankel et al., 2006). With the use of proxies created by factor analysis to capture the specifics characteristics related to corporate power and information asymmetry in Brazilian business environment, it was observed a negative relationship between financial analysts coverage and corporate power and a positive relationship between asymmetry and corporate power. The assumptions outlined by Jiraporn et al. (2012) that cover all possible relationships between asymmetry, corporate power and financial analysts coverage, fit the Opacity Hypothesis.

Short selling is important for price efficiency as it helps negative information to be incorporated into prices. As short selling requires borrowing stock in advance, the equity lending market plays a central role in price efficiency. For instance, when the costs of borrowing certain equities are high, these stocks are likely to be overpriced. Unfortunately, not much is known about the equity lending market, particularly the Brazilian market. Here, we have investigated a particular feature of the equity lending contract, namely, the lender recall option. Lending contracts either i) allow the lender to recall the stock at an earlier date than initially agreed, or ii) allow no early recall, that is, they are fixed term contracts. We have derived a simple model for recall option pricing and confirmed the model empirically A venda descoberta desempenha uma importante participação na eficiência da precificação de ativos, pois permite incorporar informações negativas aos seus preços. Como a venda descoberta requer que um ativo seja alugado previamente, o mercado de aluguel de ativos tem um papel central na formação eficiente de preços. Por exemplo, quando os custos de aluguel são altos, ativos estão provavelmente sobrevalorizados. Infelizmente pouco se conhece a fundo sobre o mercado de aluguel de ativos. Neste artigo, investigamos uma característica do aluguel de ações, propriamente dita, a opção de liquidação antecipada pelo doador. Contratos de aluguel, quanto a este aspecto, podem i) permitir que o doador requeira suas ações antes do prazo acordado ou ii) não permitir esta opção, possuindo prazo fixo. Derivamos um modelo simples de precificação desta opção e confirmamos o modelo empiricamente

Estudos que avaliam a importância do governo no mercado de crédito têm adquiro mais relevância após a crise econômico-financeira de 2008. Antes os bancos públicos e as políticas de direcionamento do crédito no Brasil eram vistos como ineficientes e até mesmo prejudiciais para o mercado de crédito e consequentemente para a economia. Entretanto, no enfretamento da mais recente crise com impacto global, o governo e seus diversos canais para facilitar o crédito em um cenário de escassez foram percebidos como importantes para manter a estabilidade do crédito. Este trabalho avaliou o papel dos bancos de propriedade pública e da categoria de créditos direcionados para controlar a escassez de crédito durante a crise. A amostra foi composta pelos bancos do Sistema Financeiro Nacional cujas características se enquadraram no objetivo do trabalho, com dados contábeis e financeiros do período entre a crise, de 2005 a 2013. Por meio do uso de dados em painel, o estimador utilizado foi o GMM Sistêmico. Os resultados sugerem que os bancos públicos durante a crise expandiram as operações de crédito, na tentativa de aliviar a contração dos bancos privados. Para a participação do crédito direcionado não foi percebido grandes alterações durante a crise, entretanto como era esperada, a participação dos bancos privados foi mais significativa que a dos bancos públicos nesta categoria de crédito. Também fez parte do estudo observar se os bancos que detinham maior participação de direcionado em sua carteira foram os que mais ofertaram crédito durante a crise, entretanto não foi possível encontrar evidências que apoiasse esta hipótese, e também não se pode concluir que a magnitude foi maior para os bancos de propriedade privada Studies assessing the importance of government in the credit market have gained more relevance after the economic/financial crisis in 2008. Before state-owned banks and earmarked policies in Brazil were seen as ineffective and even harmful for the credit market and hence the economy. However, that confronts the latest crisis with global impact, the government and its several ways to promote credit in a scenario of shortage were seen as important to keep credit stability. This study assessed the role of state-owned banks and earmarked credit to control the shortage of credit during the crisis. The sample was compounded by banks in the National Financial System whose characteristics meet the needs of this study, with accounting and financial data for the period within the crisis, from 2005 to 2013. Through the use of panel data, the estimator used was the System GMM. The results suggest that state-owned banks during the crisis expanded credit operations in attempt to relieve the contraction of privately-owned banks. Major changes in the earmarked shares were not noticed during crisis, but as it was expected the privately-owned banks´share was more significant than the state-owned banks´share in this loan category. Additionally, the study aimed to find out if banks that held bigger earmarked share in their portfolio were ones that most offered credit during the crisis, however it was not possible to find evidences that support that hypothesis and also it´s not conclusive if the magnitude was higher for privately-owned banks.

Nesta tese se estudam as duas pontas da atividade bancária. A relacionada com os depositantes e a relacionada com empréstimos e financiamentos. A ligação subjacente entre os artigos é o estudo da mudança de fases. Do lado do depósito o foco está no estudo de corridas bancárias. Explica-se o acontecimento de corridas bancárias pela decisão do depositante de retirar dinheiro prematuramente pelo medo do banco não ter recursos para honrar o contrato. Utiliza-se um modelo de simulação baseado em agentes para avaliar o comportamento dos depositantes sob diversos cenários. Ao impor regras simples, as simulações mostram que, no longo prazo, corridas por boatos tendem a zero conforme os bancos aumentam de tamanho e o mercado fica concentrado. Na outra ponta, a do crédito, se mediu o tempo que demora até uma operação de crédito se tornar inadimplente através de modelos de sobrevivência. Três modalidades de crédito são estudadas: financiamento de capital de giro para pessoas jurídicas e financiamento de veículos e empréstimo pessoal não consignado para pessoas físicas. Os resultados mostram claramente que o comportamento de cada modalidade de crédito é único. Além disso, a qualidade dos empréstimos concedidos durante a recessão causada pela crise de 2008 não é diferente da de outros períodos. A mudança na política de preços dos bancos públicos fez a qualidade do crédito do capital de giro piorar nestas instituições. O Banco Central do Brasil aumenta os fatores de ponderação de risco para novos empréstimos de automóvel mais arriscados. Porém, a decisão não afetou os financiamentos alvo This thesis studies two main activities of banking. Deposit taking and lending. The theme that links the different chapters in the thesis is the study of phase transitions. On the deposit end it simulates bank runs by using an agent based approach to assess the depositors behavior under various scenarios. Simulations show that in the long run the number of bank runs goes to zero as banks grow and the market concentration increases. At the credit side, it measures the time it takes for a credit operation to become delinquent through the methodology of survival analysis. Three different loan operations are studied: working capital finance for companies and automobile financing and personal loans for individuals. The results clearly show that the behavior of each single type of credit is unique. Moreover, the quality of loans granted during the recession caused by the 2008 crisis isn\'t different from those granted in others periods. The change in the price policy of public banks makes the quality worse of working capital loans in those financial institutions. Banco Central do Brasil raises the risk weight factors to riskier new auto loans in 2010. However, the decision doesn\'t influence the targeted loans.