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Search Results: 1 - 10 of 151922 matches for " Fernanda F. Cordeiro;Perobelli "
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Expectativas racionais e eficiência informacional: análise do mercado acionário brasileiro no período 1997-1999
Perobelli, Fernanda F. Cordeiro;Perobelli, Fernando S.;Arbex, Marcelo Aarestrup;
Revista de Administra??o Contemporanea , 2000, DOI: 10.1590/S1415-65552000000200002
Abstract: the purpose of this paper is to test the brazilian capital market's efficiency in face of monetary policy. in the period between the asian crisis and the exchange flexibilization, the agents made a correct use of the available information and formed expectations about the policymaker's behavior, even in the moments of crisis, in order to maintain the political rules adopted previously. the study's approach was based on the discussion about rational expectations and their relationship with efficient markets. the bolsa de valores de s?o paulo index (ibovespa) was chosen as a proxy to brazilian capital market's behavior, because the index variation can be understood as the rate of return in that market. to evaluate the return's behavior, the wilcoxon ranks test was employed. from this statistical test's results, it was possible to infer that the brazilian market was efficient in face of the behavior of economic policy by rules.
Em risco: aplica??o a distribuidoras de energia elétrica
Perobelli, Fernanda Finotti Cordeiro;Securato, José Roberto;
Revista de Administra??o de Empresas , 2005, DOI: 10.1590/S0034-75902005000400005
Abstract: risk management has been taking an important role in the environment of non-financial businesses. however development of a model capable of evaluating risks affecting those companies is still wanting. considering the gap, the article sets as its objective to develop an empirical cash flow at risk model applied to companies operating in electricity distribution. the model is supposed to supply information on the probability of funds to meet its accounts payable at a given date or the probability of having a negative free cash flow on its payment dates.
Fatores determinantes da estrutura de capital para empresas latino-americanas
Perobelli, Fernanda Finotti Cordeiro;Famá, Rubens;
Revista de Administra??o Contemporanea , 2003, DOI: 10.1590/S1415-65552003000100002
Abstract: theories suggest that firms select capital structures depending on attributes that determine the various costs and benefits associated with debt and equity financing. with the object of proving this statement, titman and wessels (1988) suggested a method that assumes that, although the relevant attributes are not directly observable, we can observe a number of indicator variables that are linear functions of one or more attributes and a random term. in this article, we use a method very similar to this one, using factor analysis to extract a measure of correlation between the variable chose as proxy and the attribute of interest. the empirical results showed that, in mexico, large firms use more long-term debt; profitable firms and growth firms use less short-term and long term debt; firms which have more non-debt tax shields use less short-term debt; but, without explanation, firms which face high volatility of earnings use more short and long term debt. in argentina, just one relation: profitable firms use less short-term debt. in chile, small firms use more short-term debt and large firms use more long-term debt; firms that have high levels of tangible assets use more short-term and long-term debt; profitable firms use less long-term (and also short-term) debt.
Pagamento de proventos versus pre?os dea??es maduras e em expans?o segundo Kohonen Maps
Perobelli, Fernanda Finotti Cordeiro;Zanini, Alexandre;Santos, Aline Barreto dos;
Revista de Administra??o de Empresas , 2009, DOI: 10.1590/S0034-75902009000200002
Abstract: this study investigates if the results distribution policy is capable of changing the price of a company's shares. the objective of this work is to discuss the impact that paying dividends has on the share price on the ex dividend date of mature and expanding companies; it also considers the effect that the type of share (ordinary or preference) has on the results. to do so the panel data methodology was adopted, which segmented the sample from kohonen's self-organizing maps. the results reveal that the short term strategy of buying shares on the last with dividend date and selling on the first ex-dividend date and collecting the dividends is capable of producing capital losses that are up to four times larger than the net gain from the dividends that are received.
Market Reaction to the Approval of Stock Option Plans: an Event Study of Bovespa Listed Companies
Aline Barreto dos Santos,Fernanda Finotti Cordeiro Perobelli
Revista Brasileira de Finan?as , 2009,
Abstract: This paper aims to verify market reactions to Employee Stock Options Plans (ESOP) proposals and awards in the Brazilian Stock Exchange from July 1994 to March 2007. In order to achieve such objective, event studies methodology was applied and the original sample (comprised by all companies that adopted ESOP during the survey period) was divided according to employees’ eligibility to ESOP and CEOs bargain power. Using non-parametric tests (Sign Test e Wilcoxon Rank Sum Test), we could verify that announcements of ESOP proposals and ESOP awards were not related to positive abnormal returns. As the opposite, returns around those announcements dates were negatives, in general. Such pattern could be explained by some theoretical consequences of ESOP plans: increase in the CEOs risky behavior, constrains in the dividend policy and CEOs opportunistic behavior by managing the timing of their voluntary disclosures around stock option awards. We also found evidences suggesting that employees′ eligibility is related to abnormal returns. When all employees are awarded, returns are even more negative. Possible explanations are indirect costs of capital pulverization and increase in the companies cost of capital due to the ESOP. Our ndings suggest that an ESOP adoption in a poor governance environment can increase agency problems, instead of aligning CEOs and shareholders interests.
Aplica??o do CF@R e de cenários de stress no gerenciamento de riscos corporativos
Januzzi, Flávia Vital;Perobelli, Fernanda Finotti Cordeiro;Bressan, Aureliano Angel;
Estudos Econ?micos (S?o Paulo) , 2012, DOI: 10.1590/S0101-41612012000300005
Abstract: the present study compares two estimation approaches to cash flow-at-risk (cf@r): autoregressive moving average model (arima) and vector autoregressive model (var/vecm) with exogenous variables. both are used to calculate the cashflow-at-risk of brazilian energy companies. its major contribution, however, is the application of two methods used to compare cf@ar estimations, aiming to improve the managing of corporative risks: backtesting of cf@r estimates and stressed scenarios, both using monte carlo simulation. the last one considered the impact of extreme values (obtained from the distribution of the risk factors), like energy rationing, over estimation of operational cash flows.
Governan?a Corporativa e os determinantes da estrutura de capital: evidências empíricas no Brasil
Silveira, Alexandre Di Miceli da;Perobelli, Fernanda Finotti Cordeiro;Barros, Lucas Ayres Barreira de Campos;
Revista de Administra??o Contemporanea , 2008, DOI: 10.1590/S1415-65552008000300008
Abstract: this study empirically investigates the influence of a firm's corporate governance practices [cg] over its capital structure. governance quality is measured by a broad index proposed in previous research and constructed for a sample of brazilian publicly traded companies. we explicitly model the possible bidirectional causality between the constructs of interest, because, as suggested by the specialized literature, capital structure can influence the adoption of certain cg practices by the firm. the postulated systems of equations also include various potential determinants of both capital structure and gc quality suggested by prior research. the equations were estimated by the tobit, ordinary least squares, and three-stages least squares methods. our results show a significant positive influence of cg practices over financial leverage, in particular of those practices related to the dimension ownership structure and board of directors, suggesting that cg can be an important determinant of capital structure. the results are not conclusive, on the other hand, regarding the influence of leverage over the full cg index and over two sub-indices derived from it.
Cash flow at risk: different estimation methods tested in the Brazilian steel industry
Fernanda Finotti Cordeiro Perobelli,Flávia Vital Januzzi,Leandro Josias Sathler Berbet,Danilo Soares de Medeiros
Revista Brasileira de Finan?as , 2007,
Abstract: Risk management is a subject that, crisis after crisis, assumes a relevant role in the environment of non- nancial companies. Despite the growing importance of the subject, debate about the introduction of a model capable of evaluating the risks to which companies are exposed is still in its infancy. Considering this gap and the importance of the theme for companies, this study proposes constructing an empirical cash ow at risk model and applying it to companies in the steel sector in Brazil. We have analyzed two methods of risk factors identification: sector components and company-level components. After such identification, simulations of risk factors future behavior were made using either the historical distribution of each risk factors and residuals of each risk factor time-series model. In addition, a third (and na ve) method was tested: bootstrap of each component of the cash ow.
Employee Stock Options Plans and the Value of Brazilian Companies
Fernanda Finotti Cordeiro Perobelli,Bruno de Souza Lopes,Alexandre Di Miceli da Silveira
Revista Brasileira de Finan?as , 2012,
Abstract: This work investigates the effects of Employee Stock Options Plans (ESOP) on the value of companies in the Brazilian Stock Exchange (BM&FBOVESPA). An ESOP is a mechanism of variable compensation, generally offered to executives, having the alignment of interests between managers and shareholders as one of its goals. To achieve this purpose, a panel data analysis was used in order to try measuring if the ESOP generated or not value to shareholders. The results show that there is evidence that the ESOP only generates wealth for shareholders when it is well-set, specifically when the exercise price is fixed at-money or out-of-money. An increase in the stock price is also achieved when companies adopt best practices of corporate governance and the ESOP by more than three years.
Testando o "Cash-Flow-at-Risk" em empresas têxteis
Perobelli, Fernanda Finotti Cordeiro;Januzzi, Flávia Vital;Berbert, Leandro Josias Sathler;Medeiros, Danilo Soares Pacheco de;Probst, Luiz Guilherme da Silva;
Nova Economia , 2011, DOI: 10.1590/S0103-63512011000200003
Abstract: despite the relevance for companies in general of measuring the probability that its cash flow on a certain future date might reach values that would make it impossible for the company to honor its commitments, make investments or choose a more reliable capital structure, discussions on methods capable of indicating such probability are in their early days. considering this scenario, this paper proposes different methods of measuring cash flow-at-risk based on the riskmetrics cash-flow-at-risk metric. as a practical example, an application to the textile sector is presented and two methods for risk factor identification were analyzed: sector relationships (panel) and individual relationships (time series). secondly, factor simulations were made by: 1) original factor series (level) and 2) factor forecast error series (error). plus, as a naive procedure, original cash flow component series are bootstrapped (and no risk factor is identified), in order to verify if a naive procedure would perform better than complex ones. results show that, for the sample, the best method took risk factors by company (time series approach) and simulated shocks by forecast errors (error approach).
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