Brazilian Market Portfolio
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Brazilian Market Portfolio
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Author : Cristina Tessari
language : en
Publisher: International Monetary Fund
Release Date : 2017-03-13
Brazilian Market Portfolio written by Cristina Tessari and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-13 with Business & Economics categories.
In recent years, Brazil has achieved substantial progress in capital market development by building a diversified investor base and expanding the menu of available financial instruments. In this context, we evaluated the invested Brazilian market portfolio for a period spanning 2005–15. This is a portfolio of all assets proportionally weighted by their market capitalization, and it is divided in eight broad categories: government bonds, equities, bank funding bonds, corporate bonds, real-estate, agribusiness, private-equity, and credit bonds. While the paper focuses on stylized facts related to market size, composition weighting and changes over time, the estimated market portfolio contains important information for policy makers and market participants alike.
Brazilian Derivatives And Securities
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Author : Marcos C. S. Carreira
language : en
Publisher: Springer
Release Date : 2016-07-11
Brazilian Derivatives And Securities written by Marcos C. S. Carreira and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-07-11 with Business & Economics categories.
The Brazilian financial markets operate in a very different way to G7 markets. Key differences include onshore and offshore markets, exponential rates, business days day-counts, and price formation from the futures markets (instead of the cash markets). This book provides a quantitative, applied guide to the offshore and onshore Brazilian markets, with a focus on the financial instruments unique to the region. It offers a comprehensive introduction to the key financial 'archaeology' in the Brazil context, exploring interest rates, FX and inflation and key differences from G7 market finance. It explores the core industry investment banking business in detail, from FX to interest rates and cash and inflation. Finally it introduces the region's unique financial instruments, as well as their pricing and risk management needs. Covering both introductory and complex topics, this book provides existing practitioners in Brazil, as well as those interested in becoming involved in these markets, everything they need to understand the market dynamics, risks, pricing and calibration of curves for all products currently available.
Risk Parity In The Brazilian Market
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Author : Pierre de Souza
language : en
Publisher:
Release Date : 2017
Risk Parity In The Brazilian Market written by Pierre de Souza and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Using sectorial indices of the Brazilian market, we compare the portfolio optimization approach known as risk parity with minimum variance and equally weighted approaches. We apply various estimators for the covariance matrix to each portfolio strategy, since portfolio variance is considered as risk measure. Empirical results demonstrate that the risk parity approach provides more diversified portfolios and stable weights in the out-of-sample than the other two approaches, thereby avoiding the dangers of excessive concentration and reducing transaction costs. Furthermore, the results demonstrate that different estimators of the covariance matrix had little influence on the results obtained through the risk parity approach.
The Bovespa Index
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Author : Helio de Paula Leite
language : pt-BR
Publisher:
Release Date : 1994
The Bovespa Index written by Helio de Paula Leite and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994 with Investments categories.
Brazil S Capital Market
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Author : Mr.Joonkyu Park
language : en
Publisher: International Monetary Fund
Release Date : 2012-09-01
Brazil S Capital Market written by Mr.Joonkyu Park and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-09-01 with Business & Economics categories.
Capital market development in Brazil is a key policy issue going forward to foster savings, investment and absorptive capacity in a context of prospects for sizable capital flows in the medium term. During the last decade, Brazil has achieved substantial progress in capital market development. The menu of available financial instruments has been expanded, market infrastructure has been reformed and strengthened, and a diversified investor base has been built. Nonetheless, Brazil’s capital markets are still facing a number of challenges including prevalent short-term indexation, investors’ risk aversion to long-term fixed rate bonds, still low liquidity in the secondary market, and managing the role of BNDES. A shift to a lower yield curve environment should continue to gradually take place. But further progress will require continued policy effort to assure macro stability and financial sector reforms to promote the development of longer-term private finance.
Predictive Power Of Brazilian Equity Fund Performance Using R2 As A Measure Of Selectivity
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Author : Marcelo Guzella
language : en
Publisher:
Release Date : 2017
Predictive Power Of Brazilian Equity Fund Performance Using R2 As A Measure Of Selectivity written by Marcelo Guzella and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This paper aimed to investigate the impact of levels of selectivity on the performance of equity funds using a methodology applied for the first time ever in the Brazilian market. As an indicator of the activity level of a fund, we proposed the coefficient of determination (R2) of the regression of its returns over market returns. In total, 867 funds were analyzed in the period between November 2004 and October 2014. The hypothesis tested is that more selective funds perform better to compensate for their higher operating costs. This hypothesis was confirmed in the Brazilian market. Dynamic equally-weighted portfolios of funds were simulated, according to their past R2 and alphas, with monthly rebalancing and 12-month moving windows. The portfolio of the most selective funds had a Sharpe ratio of 0.0494, on a monthly basis, while the portfolio of the least selective funds had a Sharpe ratio of -0.0314. Performance was also higher in evaluations involving excess returns, Jensen's alpha, and accumulated returns, as well as when compared to randomly selected portfolios. Moreover, past performance (as measured by Jensen's alpha) was also a predictor of future performance.
Anomalies And Investor Sentiment
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Author : Gustavo Xavier
language : en
Publisher:
Release Date : 2017
Anomalies And Investor Sentiment written by Gustavo Xavier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
This study examined the relationship between investor sentiment and value anomalies in Brazil. In addition, it analyzed if pricing deviations caused by investors with optimistic views are different from those caused by pessimistic investors. The sample included all non-financial firms listed on the B3 (Brasil, Bolsa, Balcão) stock exchange from July 1999 to June 2014. We used the Principal Component Analysis multivariate technique to capture the component common to four different proxies for investor sentiment. The study empirically tested the index series and its variation on the return series of Long-Short portfolios of 12 anomaly-based strategies. The study found that the measure of the sentiment index had a partial explanatory power for the anomalies only when included in the CAPM. Yet, when using the index sentiment changes as an explanatory variable, the study found a relationship with future returns, robust to all risk factors. Thus, it is possible to relate investor sentiment index to anomaly-based portfolio returns. When analyzing average returns after optimistic and pessimistic periods, the values we found in our empirical test were not statistically significant enough to infer the possible existence of short-sale constraints.
Market Anomalies In The Bric Countries Stock Market Evidence For Size And Price To Book Effects
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Author : Julian Anschütz
language : en
Publisher: GRIN Verlag
Release Date : 2016-10-28
Market Anomalies In The Bric Countries Stock Market Evidence For Size And Price To Book Effects written by Julian Anschütz and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-10-28 with Business & Economics categories.
Master's Thesis from the year 2016 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,3, RWTH Aachen University (Faculty of Business and Economics), course: Corporate Finance, language: English, abstract: In order to fill a gap in the research on developing equity markets, especially emerging markets, this study deals with market anomalies in the BRIC countries, specifically focusing on identifying the anomalies size and price-to-book effect. However, the reason for an analysis regarding stock market anomalies in the BRIC countries is not exclusively limited to the lack of contemporary studies on this topic. The emerging markets in general, and, specifically, the BRIC stock markets are very interesting and valuable objects for respective examinations, since they still provide an enormous growth potential. The markets naturally show a high volatility. This study’s approach is to explain the established market anomalies and point at factors, which may enforce size and price-to-book effects in each BRIC country. Therefore, after presenting the BRIC concept in chapter 2, the standard method to estimate the stock return, the Capital Asset Pricing Model (CAPM), is introduced in chapter 3 in order to identify possible weaknesses and certain anomalies, which have been identified in the research. The most common anomalies will be introduced in chapter 4. Subsequently, an alternative method to explain the stock return, the Fama / French three-factor model is discussed as a possibility to identify further risk factors, which can invalidate anomalies with respect to the CAPM, in chapter 5. Furthermore, a brief overview on previous studies, which include valuation anomalies in the respective countries, is given in chapter 6. In the empirical part of chapter 7, each country is analyzed individually with respect to size and price-to-book effects. However, the study applies the same empirical analysis for each stock market in order to obtain comparable results, choosing a timespan, which covers the maximum period for which sufficient data is available in all stock markets. Two approaches are used per country. The first, to identify the mentioned stock market anomalies, the second to explain the cross-section of stock returns by means of three proxies for risk, namely systematic risk in form of CAPM-beta, size and book-to-market equity ratio. The empirical part of this examination investigates the time frame from January 1996 until June 2015 and uses a total sample of 6,054 stocks throughout the four stock markets. In the conclusion, the study’s results are summarized and findings presented.
Anomalies In The Brazilian Capital Markets Essays With Empirical Tests At Bovespa
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Author :
language : pt-BR
Publisher:
Release Date : 2005
Anomalies In The Brazilian Capital Markets Essays With Empirical Tests At Bovespa written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
O estudo das anomalias existentes no mercado de capitais brasileiro vemganhando força em pesquisas recentes, tanto pela curiosidade de pesquisadorescomo pela necessidade de pessoas do mercado em entender alguns fenômenos quepersistem em ocorrer, mesmo com a disseminação da informação por todo omercado, contrariando os pressupostos da eficiência de mercado. Dentro destecontexto, esta tese se propôs a estudar alguns deles, e também realizarmodificações em modelos já consolidados. Foram feitas aqui três modificações namaneira tradicional de análise de modelos de anomalias, dentro de quatrocapítulos distintos, porém inter-relacionados, além da introdução e da conclusão.O primeiro capítulo se propõe a verificar dois pressupostos básicos de modelosestatísticos, que são a normalidade e a estacionariedade da série de retornos deações no Brasil. O segundo capítulo modifica a metodologia tradicional deformação de carteiras, aplicando uma técnica conhecida como análise de clusterem detrimento das medidas de posição. A terceira parte apresenta umamodificação do modelo de Grinblatt e Moskowitz (2004), analisando os aspectosque seriam importantes para o mercado brasileiro nos retornos futuros das ações. Por fim, é feita uma modificação importante no Modelo de Multifatores de Famae French (1996), incorporando elementos da variância condicional, através damodelagem ARCH e GARCH na equação do modelo. Concluí-se que o mercadobrasileiro apresenta algumas anomalias comuns a outros mercados, e que umamelhoria pode ser realizada nos modelos tradicionais, levando-se em consideraçãocaracterísticas específicas do caso brasileiro.
Brazil S Experience In Creating A Capital Market
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Author : Roberto Teixeira da Costa
language : en
Publisher:
Release Date : 1985
Brazil S Experience In Creating A Capital Market written by Roberto Teixeira da Costa and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1985 with Capital market categories.