Liquidity Risk
Mostrando 13-24 de 32 artigos, teses e dissertações.
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13. RETURN, RISK E LIQUIDITY RELATIONSHIP IN FUNDS OF FUNDS PORTFOLIO CONSTRUCTION / RELAÇÃO RISCO, RETORNO E LIQUIDEZ NA CONSTRUÇÃO DE PORTFÓLIOS DE FUNDOS DE FUNDOS
During the recent years, hedge funds in Brazil experienced an incredible increase in assets under management. Many investors are changing their asset allocation, migrating from fixed income to hedge funds. With this movement, another segment of the same industry will flourish: Funds of funds. This work main objective is to propose a methodology to help on th
Publicado em: 2008
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14. Effect of the trade opening and the external liquidity on the growth of the Brazilian agriculture sector / Efeitos da abertura comercial e da liquidez externa sobre o crescimento do setor agropecuário brasileiro
The process of Brazilian external opening, seen under the light of the trade opening and financial liberalization, has provoked deep changes in the world-wide economic political scene. In Latin America, this process began in 1990s and was implemented in order to get macroeconomic stability. In Brazil, after the external opening, the agriculture sector, which
Publicado em: 2008
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15. Securitie´s investment strategies based on financial statement analysis: is it possible to foresee the future? / Estratégias de investimento em ações baseadas na análise de demonstrações contábeis: é possível prever o sucesso?
This thesis investigates the usefulness and limitations of investment strategies based on financial statement analysis. Initially I assess the usefulness of the strategy for the full sample of Brazilian public-held firms. An additional analysis considers the partition of high book-to-market (HBM) or/and poor corporate governance (CG) firms. Capital markets r
Publicado em: 2008
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16. Um modelo coerente de gerenciamento de risco de liquidez para o contexto brasileiro
O objetivo desta dissertação é desenvolver um modelo de gestão de risco de liquidez que flexibilize as principais simplificações geralmente realizadas pelas instituições financeiras na aplicação de testes de estresse para gerenciamento do risco de liquidez. Assim, esta pesquisa consiste em estimar um fluxo de caixa unificado de uma instituição so
Publicado em: 2008
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17. Var ajustado por liquidez e seus impactos sobre o cálculo do requerimento de capital por risco de mercado / Liquidity-adjusted value-at-risk and its impact on regulatory capital for market risk
This paper applies the liquidity-adjusted value-at-risk based on the components of the bid-ask spread proposed by Angelidis &Benos (2005) on the Brazilian stock market. A group of stocks traded at BOVESPA are studied. Only half of them participate on the composition of the BOVESPA Index and correspond to more liquid equities. The components of the bid-ask sp
Publicado em: 2007
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18. Performance das melhores práticas de governança corporativa no Brasil: um estudo de carteiras
The practice of superior principles corporate governance can increase return and decrease share volatility, increase negotiated volume and liquidity, decreasing exposure to external risks, bringing the cost of capital down and enhancing the firms value. This work has the objective to analyzing if companies that adopt superior corporate governance pract
Publicado em: 2007
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19. Estudo da percepção de risco por parte dos depositantes de bancos: o caso do mercado brasileiro de 1999 a 2006 / A study of the perceptions of depositors regarding bank risk : the Brazilian market case from 1999 to 2006
Safe banking system is an important factor to economic and financial stability, which is the reason why it is necessary to develop tools to diminish the probability of crisis. In this context safety nets and risk-based capital requirements have been created. Since the 1990s, there have been growing discussions on a complementary mechanism to enhance the soun
Publicado em: 2007
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20. Assets Pricing in the Brazilian Stock market: CAPM and variants application. / PrecificaÃÃo de ativos com risco no mercado acionÃrio brasileiro: aplicaÃÃo do modelo CAPM e variantes.
The assets pricing models assist in the correct evaluation of the investments, as well as, to comprehend the relationship between the assets expected return and its risk. The Capital Asset Pricing Model (CAPM) and the Downside Capital Asset Pricing Model (D-CAPM), in their conditional and static versions, were tested in this study with time and cross-section
Publicado em: 2007
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21. O impacto do nível de transparência no custo do capital próprio das empresas do Ibovespa / The impact of how disclosure it is in the own capital cost of Ibovespa companies
The reduction of the costs of the companies´ capital by means of a bigger level of transparency in the spreading of information is supported by literature in two theoretical chains. The first one affirms that a greater disclosure increases the liquidity of stocks in the market and, thus, reduces the cost of the organization´s capital by the transaction cos
Publicado em: 2007
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22. A indústria de fundos de investimento: o poder regulamentar como garantia ao investidor e a responsabilidade civil do administrador de fundos
The Investment Fund Industry, concisely and objectively examines investment funds regulated by Comissão de Valores Mobiliários, pointing out the key management, portfolio management, and corporate governance aspects of this activity so important to the National Financial System, in parallel with the indispensable protection given to small investors and man
Publicado em: 2007
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23. Fundos de pensÃo: BenefÃcio ou prejuÃzo para os trabalhadores?
Public social welfare is being looked upon as being insufficient to answer to the longings of the people, and the idea of complemental social welfare grew in the imagination of those that fear abandonment in times of more difficulty and for employees is being born the matter of pension funds. The product financed from the resources of the workers themselves,
Publicado em: 2006
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24. Cost of equity determination in emerging markets / Determinação do custo do capital próprio em mercados emergentes
The objective of this paper is to investigate if the Brazilian stock market is partially or totally integrated to other emerging markets. In order to do so, we tested if the following CAPM models are adequate to price stocks: local CAPM, integrated or partially integrated. Our sample includes only the more liquidity stocks of companies with ADR, because thes
Publicado em: 2006