Brazilian Stock Research Articles

Investigation of The Relationship Between VIX Index and BRICS Countries Stock Markets: An Econometric Application

The VIX index, the largest volatility indicator index of the USA, has been derived from the S&P 500 index and has been carefully monitored by international investors since 1993. While the VIX index was previously followed by investors from developed countries, it is now followed by investors who evaluate their investments in developing countries. In this study, It was examined the effect of price movements in the VIX index on the stock markets of the developing (BRICS) countries between the dates of 02.24.2011 and 06.01.2020. Toda Yamamoto causality test was used by using daily closing data. In addition, bilateral results were examined for each variable in the study. Considering the findings obtained from the study, it was observed that the VIX index is in bilateral causality with Russia (RTSI) and South Africa (INVSAF40) stock markets as of the baseline period. On the other hand, it is determined that the price movements in the VIX index have a unilateral causality relationship on India (BSESN) and China (SSEC) indices. However, it has been concluded that the VIX index does not have a unilateral or bilateral causal relationship with the Brazilian (BOVESPA) stock market.

Towards the rebuilding of spiny lobster stocks in Brazil: a review

Abstract In this study, we used the Monte Carlo model (CMSY) to estimate fisheries reference points based on annual lobster landings. During the period 2012-2018, fishing pressure on lobster stocks decreased and a tendency for recovery was observed, despite the low biomass levels of approximately 29%. In 2019, the stock size was capable of producing yields close to the maximum sustainable yield (5770 t), with a probability of 58.1%. The enforcement of management measures should be continued in order to eliminate sources of negative externalities and rebuild stocks. We also demonstrate that the closed season does in fact protect the main events of the lobster life cycle. Responsible and efficient management should focus on life cycle studies and reliable monitoring of fishing data.

É possível viver de day-trade em ações?

O número de pessoas que tem tentado usar o day-trade como fonte de renda regular vem aumentando. Nesta nota analisamos os resultados de day-trade em ações. Partindo de todos os 98.378 indivíduos que começaram a fazer day-trade em ações no Brasil entre 2013 e 2016, encontramos que apenas 127 indivíduos foram capazes de apresentar lucro bruto diário médio acima de 100 reais por mais de 300 pregões.

Relações entre índices preço-lucro e retornos dos títulos públicos

Os índices P/E1 e P/E10 ou Índice Preço-lucro Ciclicamente Ajustado foram amplamente disseminados na literatura que tem como contexto o mercado de ações americano. Este artigo traz um método de construção de índices P/E para o mercado de ações brasileiro. Seu objetivo é analisar as relações de longo prazo entre tanto o P/E1 quanto o P/E10 e as taxas de juros correspondentes aos retornos de títulos públicos, de modo a testar a relação referente ao Modelo Fed. No geral, o período considerado foi de dezembro de 2004 a junho de 2018. Foram estimados modelos Autorregressivos de Defasagens Distribuídas, os quais podem ser representados como Modelos de Correção de Erros Condicionais. Os resultados evidenciaram relações de longo prazo significativas entre tanto o P/E1 quanto P/E10 e as referidas taxas de juros, sugerindo que o Modelo Fed está em linha com o comportamento do mercado financeiro brasileiro.

Hedging the Brazilian stock index in the era of low interest rates: What has changed?

In this paper we analyze the ability of different asset classes to hedge the Brazilian stock index in periods of high and low interest rates in the Brazilian economy, using two multivariate GARCH models. Our analysis includes two categories of assets: those traded in domestic currency and those traded in U.S. dollars. From the perspective of a local investor, we find that the exchange rate (R$/US$) and gold are the assets least correlated with equities. From the standpoint of a foreign investor, commodity index and fixed-income assets are the most useful. These results prevail in the low- and high-interest-rate periods. Moreover, in the period of low interest rates, the standard deviation of the estimated conditional correlation time series decreases, suggesting that in this period investors are more confident about macroeconomic policies.

Investor Attention: Can Google Search Volumes Predict Stock Returns?

This paper investigates the role of investor attention in predicting future stock market returns for Brazilian stocks using Google Search Volume (GSV). We tested whether lagged variations in GSV are followed by changes in excess returns by testing 57 stocks from the Ibovespa using weekly search data from Google Brazil from 2014 to 2018. Similar to previous research on the U.S. market, we found that increases in GSV are followed by lower excess returns. Additionally, we show that the more traded a stock is, the higher the effect. This is consistent with the hypothesis that higher individual investor attention leads to lower subsequent returns, suggesting that increasing popularity causes stock prices to deviate from their fundamental value.

Business Games and Stock Market: An analysis of students’ learning in a Business Administration course

This paper addresses the use of experiential learning to improve knowledge about the capital market, by applying a program with business games, using an electronic simulator of the Brazilian stock market. The objective was analyzing the cognitive domain of the participants after application of an educational program about the capital market, using a business game tailored for stock market trading. The descriptive study, with a quantitative approach, used the quasi-experiment technique to collect data on the learning of undergraduate business administration students at a federal university located in the state of Rio de Janeiro, Brazil. The data were submitted nonparametric statistical analysis with the inferential Mann-Whitney U-test as well as tests of comparison of medians. The results revealed statistically significant differences in assimilating knowledge between the groups of participants. The G1 group, whose theoretical content was exposed before the game application, showed an assimilation of superior knowledge. In this sense, it was possible to conclude that the way the educational program with the business game was applied affected the students’ assimilation of knowledge.

Long‐term stock returns in Brazil: Volatile equity returns for U.S.‐like investors

AbstractThis paper tells the history of Brazilian stock market returns since the creation of the Ibovespa (the main Brazilian stock market index). From 1968 to 2019, the arithmetic mean real return of the Brazilian stock market is 21.3% per year. The equity premium is 20.1% per year, with a huge annual standard deviation of 67%. Surprisingly, such numbers are compatible with investors' risk aversions that accommodate the very different U.S. market evidence, exposing that national investors are similar in nature. The equity premium has been higher in Brazil than in the U.S., but the much higher Brazilian volatility discourages heavier investments in stocks.

The Effect of Management Control Systems during the COVID-19 Pandemic: Does the Market Appreciate the Breadth of Vision?

We examine the extent to which broad-scope management control systems (MCS) mitigate the negative impact of COVID-19 on investor and shareholder expectations under the assumption that managers use this accounting information to increase their breadth of vision in managerial decision-making. Our hypothesis is tested using a combination of survey and archival data from large organizations listed on the Brazilian Stock Exchange, leading to a panel of 6,257 organization-week observations. Results are consistent with our hypothesis. We extend the scarce prior literature on the effectiveness of MCS under crisis management and also provide new evidence for signaling theory.

Mean Reversion of the Ibovespa Price-Earnings Ratios

This paper presents a method for constructing price-earnings ratios (P/Es) for the Brazilian stock market. The objective was to assess whether the P/E ratios exhibit mean reversion, in addition to assessing whether there is a long-run equilibrium relationship between the stock price index and the earnings per share index used in calculating the valuation ratios. The bounds testing approach to cointegration evidenced that the time series of these indexes are cointegrated. Using the ADF, KPSS, and Lee–Strazicich unit root tests, evidence of mean reversion was found in the series of one of the proposed P/E ratios.

Financial Actuarial Assumptions: Empirical Study of How Brazilian Companies Manage Their Defined Benefit Plans

This study investigates the factors that Brazilian companies use to manage their defined benefit plans, specifically the determinants of the three financial actuarial assumptions: discount rate, expected return on assets and compensation growth rate. The focus of this research is the companies listed on the B3 – Brazilian Stock Exchange - that recognized and disclosed, from 2010 to 2017, post-employment benefit characterized as Defined Benefit (DB). The sample containing 296 firm/year was divided into two subgroups considering the firm’s political connections. The results suggest that politically connected companies are less effective in managing the solvency of funds or, according to Kido, Petacchi and Weber (2012) act intentionally to justify the company's financial stress. The year before the elections proved to be the most relevant period of discretion, while the specific year of the electoral election only influences the determination of the actuarial financial premises in politically connected companies and, just like in Naughton, Petacchi and Weber (2015) the manager acts to improve the solvency (reduce the deficit) of the pension fund in these periods. The hypothesis that politically connected companies have an incremental adjustment in actuarial assumptions in electoral years has shown results consistent with the theory suggesting that this group of companies manages the reduction of the actuarial deficit in election times more incisively

Impacto da crise econômica de 2015-2016 sobre o coeficiente beta do mercado de capitais brasileiro

Estudos empíricos têm encontrado evidências de que o risco de mercado, ou beta de mercado, tende a aumentar em períodos de crise. Dada a crise econômica brasileira de 2015-2016, o objetivo deste artigo é analisar se esta teve um impacto significativo sobre o risco de mercado das empresas brasileiras com ações negociadas na bolsa de valores brasileira (B3). Para isso, estimamos a trajetória do beta de uma carteira de ações negociadas na B3 para o período de fevereiro de 2010 a dezembro de 2018, considerando um modelo CAPM condicional em que a dinâmica de beta é dada por um processo estocástico combinado com um conjunto de variáveis condicionantes relacionadas ao ciclo econômico. Encontramos evidências de que o beta da carteira teve um aumento a partir de janeiro de 2015 e só retornou a patamares do período pré-crise a partir de março de 2018. Essas evidências estão de acordo com os resultados encontrados na literatura internacional e têm implicações importantes em termos de gerenciamento de risco.

Elements of strategic cost management: exploring relationship with strategic options

Objective: This study analyzes the relationship between Elements of Strategic Costs Management (SCM) and Strategic Options in companies listed in the Brazilian Stock Market. A total of 40 companies from different sectors were surveyed using Management Reports.Method: To categorize the data, we used a checklist composed of predefined categories and subcategories based on characteristics of the Elements and Strategic Options. For the analysis of the relationship between the variables, multiple linear regression by the Stepwise method was used.Originality/Relevance: The study starts from a gap in the theoretical cut-offs about the relation between strategic options and types of control adopted by the company, mainly related to the Elements of SCM. In Brazilian studies on SCM elements, it is the first to employ a framework that considers the three main strategic variables used in the SCM literature.Results: The relationship between strategic options and the use of certain elements was found. Elements related to cost analysis and structural determinants are most cited by prospective companies and companies that seek differentiation. Companies using hold strategy cite more elements linked to the actions of customers, suppliers, and strategic pricing. Activity-based costing / activity-based management, total cost of ownership, open accounting, quality cost management, and utilization of production capacity didn’t show any relation to strategic options.Theoretical/Methodological contributions: It’s unheard of the significant relationship found between analytical typology and certain elements since there was no such evidence in any other study addressed in this research. The study provides empirical evidence that Strategic Options relate to elements of SCM used by companies.

Analysis of the Relationship Between Audit Market Structure and Audit Fees Charged to Brazilian Companies

Objective: The aim of this study is to analyze the influence of market structure on audit fees, based on industrial economics theories.Method: We use a Ordinary Least Squares (OLS) model in which audit fees is a dependent variable and concentration measures, market share and leadership, and a proxy for audit quality are the main independent variables. The population was composed by the companies listed on Brazil Stock Exchange – B3, from 2010 to 2015, resulting in a sample with 1,663 observations in the period.Originality/Relevance: This research explores different metrics of market structure and control variables for a sample and period not previously analyzed in the Brazilian literature. The article addresses a relevanttopic for competition regulatory agencies, clients of audit firms and external users of financial statements.Results: The results confirmed the hypothesis that there is a positive relationship between market concentration and the audit fees, even when considering only the group of big firms. Evidence shows the existance of value to the brand and possible search for quality in auditing by publicly traded companies. We also found a positive relationship between audit fees and earnings management, contrary to the predicted hypothesis.Theoretical/Methodological contributions: The results showed that firms with higher market share charged higher audit fees to their clients. Among the big firms, the leader has significantly higher audit fees than the other firms. In addition, the positive relationship between audit fees and earnings management may mean that the audit firms charge higher amounts for those clients who practice management more intensively.

Comparing Artificial Neural Network Architectures for Brazilian Stock Market Prediction.

Prediction of financial time series is a great challenge for statistical models. In general, the stock market times series present high volatility due to its sensitivity to economic and political factors. Furthermore, recently, the covid-19 pandemic has caused a drastic change in the stock exchange times series. In this challenging context, several computational techniques have been proposed to improve the performance of predicting such times series. The main goal of this article is to compare the prediction performance of five neural network architectures in predicting the six most traded stocks of the official Brazilian stock exchange B3 from March 2019 to April 2020. We trained the models to predict the closing price of the next day using as inputs its own previous values. We compared the predictive performance of multiple linear regression, Elman, Jordan, radial basis function, and multilayer perceptron architectures based on the root of the mean square error. We trained all models using the training set while hyper-parameters such as the number of input variables and hidden layers were selected using the testing set. Moreover, we used the trimmed average of 100 bootstrap samples as our prediction. Thus, our approach allows us to measure the uncertainty associate with the predicted values. The results showed that for all times series, considered all architectures, except the radial basis function, the networks tunning provide suitable fit, reasonable predictions, and confidence intervals.

Return and Volatility Transmission between World-Leading and Latin American Stock Markets: Portfolio Implications

This study uses the BEKK-GARCH model to examine the return-and-volatility spillover between the world-leading markets (USA and China) and four emerging Latin American stock markets over the global financial crisis of 2008 and the crash of the Chinese stock market of 2015. Regarding return spillover, our findings reveal a unidirectional return transmission from Mexico to the US stock market during the global financial crisis. During the crash of the Chinese stock market, the return spillover is found to be unidirectional from the US to the Brazil, Chile, Mexico, and Peru stock markets. Moreover, the results indicate a unidirectional return transmission from China to the Brazil, Chile, Mexico, and Peru stock markets during the global financial crisis and the crash of the Chinese stock market. Regarding volatility spillover, the results show the bidirectional volatility transmission between the US and the stock markets of Chile and Mexico during the global financial crisis. During the Chinese crash, the bidirectional volatility transmission is observed between the US and Mexican stock markets. Furthermore, the volatility spillover is unidirectional from China to the Brazil stock market during the global financial crisis. During the Chinese crash, the volatility spillover is bidirectional between the China and Brazil stock markets. Lastly, a portfolio analysis application has been conducted.

A Influência da Adesão à Câmara de Arbitragem na Criação de Valor das Empresas

The relationship between shareholders is likely to be conflicting, and the Brazilian Corporate Law has proved insufficient to safeguard minority rights. B3 (name of the new Brazilian stock exchange, which resulted from the merger of BM & FBOVESPA and CETIP) created listing segments that favor strict corporate governance rules, which aim to improve the valuation of those that decide to join one segments. Based on the arguments of agency theory and signaling, assess whether adhesion of the arbitration chamber, a mandatory requirement in Novo Mercado and Nível 2, both B3’s segments, influences the creation of corporate value. The result of the qualitative research carried out, of an exploratory nature, indicates that arbitration as a mechanism for resolving conflicts presents several advantages over the traditional Judicial Branch, and that, in general, benefits minority shareholders. There are evidences that adhesion of the arbitration chamber reduces the capital’s cost and positively influences the creation of value. Research is important to help company managers make better decisions, and to collaborate in the development of the capital market, with the consequent growth of the country's economy.

The Influence of Board Structure and Ownership Concentration on GRI Reporting

Purpose – The purpose of this paper is to investigate the relationship between corporate governance structure and GRI reporting. More specifically, the study seeks to analyse board independence, board size and ownership concentration and their relationships with GRI reporting. Design/methodology/approach – The hypotheses of the study were tested in a sample of 287 Brazilian companies listed on the B3, the Brazilian stock exchange, using logistic regression models. Data from 2013 were collected from the Econoinfo and GRI databases. Findings –The findings show that there is a positive relationship between both board independence and GRI reporting and board size and GRI reporting, and a neutral relationship between ownership concentration and GRI reporting. These results indicate that the corporate governance structure influences a company’s decision to engage in social issue and stakeholders’ relationship activities. Originality/value – The contribution of this study is it presents theoretical arguments and empirical evidence regarding the influence of corporate governance structure on CSD beyond the Anglo-Saxon context. The results show that good corporate governance practices cannot be generalized to different contexts.

Gerenciamento de resultados e republicação de demonstrações contábeis em empresas listadas na B3

As informações divulgadas nas demonstrações contábeis impactam diretamente no processo decisório dos stakeholders. Nesse contexto, busca-se confirmar se as empresas que gerenciam resultados têm maior propensão a republicar suas demonstrações contábeis. O objetivo deste estudo é investigar as relações entre o gerenciamento de resultados e a republicação das demonstrações contábeis nas companhias listadas na B3—Brasil, Bolsa, Balcão. A amostra da pesquisa reúne 154 empresas e 201 casos de republicação de demonstrações contábeis entre 2011 e 2017. Para análise dos dados, foram aplicadas técnicas de análise de conteúdo, estatística descritiva, análise de correlação e regressão logística. Os resultados apontam para uma relação entre a republicação de demonstrações contábeis e a prática de gerenciamento de resultados por accruals discricionários, não se rejeitando a hipótese do estudo. Verificou-se, ainda, uma elevada proporção de republicações voluntárias, sugerindo que as empresas são propícias a adotarem esse procedimento com a finalidade de prover para os usuários uma maior qualidade das informações contábeis.

Do good fundamentals generate alpha?

Objective: To verify abnormal risk-adjusted returns in Brazilian stock portfolios formed according to the F-Score that indicates the presence of good fundamentals.
 Method: The sample has 146 companies per year on average, includes the period of adoption of the International Financial Reporting Standards (IFRS) from July 2008 to June 2018 and uses equally weighted portfolios formed at the end of June of each year with information from the previous year.
 Results: The high F-Score portfolio showed greater average returns, lower beta, and a positive and significant alpha that disappeared in the sub-period initiating after the full adoption of IFRS. Significant coefficients for the small capitalization risk premium and egalitarian weighting suggest that large companies do not dominate its performance. High and low F-Score portfolios cannot be characterized as value stocks. The low F-Score portfolio displayed a negative and significant coefficient for the moment factor, suggesting persistence of negative returns.
 Contributions: Portfolios with high F-Score may have less chance of catastrophic returns. The technique can be employed by less sophisticated investors to build defensive portfolios of companies with good fundamentals.