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Search Results: 1 - 10 of 185171 matches for " Otávio Ribeiro de Medeiros "
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Rela??o entre concentra??o e rentabilidade no setor bancário Brasileiro
Dantas, José Alves;Medeiros, Otávio Ribeiro de;Paulo, Edilson;
Revista Contabilidade & Finan?as , 2011, DOI: 10.1590/S1519-70772011000100002
Abstract: the study of bank profitability involves two lines of discussion: (1) bank performance is important to guarantee the strength of the institution and the stability of the banking industry; and (2) a greater profitability might indicate that banks have an opportunistic behavior, associated to a concentrated market. this study is aimed at evaluating the degree of concentration of the brazilian banking industry and verifying whether there is a relationship between the level of bank profitability and the sector's degree of concentration, based on total assets, credit operations and bank deposits from january 2000 to december 2009. taking the parameters of brazilian antitrust authorities as benchmarks, we cannot find evidence of concentration in the brazilian banking industry, although it should be mentioned that the concentration indicator has increased substantially from the end of 2008 onwards. when we take the concentration parameters used in the us, we find that, by the end of the period, the indicators fall within the "moderate concentration" range. as a second aim of the paper, we test hypotheses based on the structure - performance paradigm, which assumes that less competition associated to higher concentration results in higher bank profitability. the results do not corroborate the hypotheses in any of the combined tests performed, because the parameters are either statistically insignificant or negative. expectations that higher market concentration would explain higher bank profitability, according to the structure - performance hypothesis, are not confirmed. on the contrary, we find evidence that the efficient structure hypothesis explains the profitability of the brazilian banking industry more adequately.
Testando a teoria de hierarquiza??o de fontes de financiamento nas empresas brasileiras
Medeiros, Otávio Ribeiro de;Daher, Cecílio Elias;
Revista Contabilidade & Finan?as , 2005, DOI: 10.1590/S1519-70772005000100003
Abstract: the paper tests if the theory known as pecking order theory provides empirical explanations for the capital structure of brazilian firms. according to this theory, the capital structures would result from a hierarchy of financial decisions, in which internally generated resources would have first priority, followed by debt issues and, as a last resort only, by equity issues. in its strong form, the pecking order sustains that equity issues would never occur, whereas in its weak form, limited amounts of issues are acceptable. the methodology adopted in this empirical study involves cross-sectional regressions and the testing of hypotheses based on the underlying theory in its strong and weak forms. the results led to the conclusion that the tested theory, in its weak form, is applicable to brazilian firms, but that the same does not happen in its strong form. the results also show that the goodness of fit of the brazilian regressions are significantly better than those reported for american firms and that brazilian firms seem to be closer to the pecking order's strong form than the american ones. the sample involves 132 publicly listed firms and the accounting data refer to 2001.
Emiss?es públicas de a??es, volatilidade e insider information na Bovespa
Medeiros, Otávio Ribeiro de;Matsumoto, Alberto Shigueru;
Revista Contabilidade & Finan?as , 2006, DOI: 10.1590/S1519-70772006000100003
Abstract: the paper uses an event study to examine stock returns associated to public equity issues carried out by brazilian firms listed on bovespa, from 1992 to 2002, with the purpose of determining how the market reacted before, during, and after the issue announcement dates. after utilizing the conventional method for measuring abnormal returns by ols, we used arch and garch models, which take into account the conditional heteroskedastic volatility of the abnormal returns in more than 70% of the sample, since the presence of these processes was found in the original residuals. the results show that (1) there is evidence of insider information prior to the announcement date, (2) abnormal returns occurred on the announcement date, and (3) within one year after the issues, the shares of issuing firms had negative returns after adjusting for risk and market effects.
Testando teorias alternativas sobre a estrutura de capital nas empresas brasileiras
Medeiros, Otávio Ribeiro de;Daher, Cecílio Elias;
Revista de Administra??o Contemporanea , 2008, DOI: 10.1590/S1415-65552008000100009
Abstract: the paper documents results of empírical tests involving two models applied to the capital structure of brasilian firms. the models tested were developed under the two theories competing for the determination of the capital structure of firms in the academic literature: the static tradeoff theory and the pecking order theory. the methodology involves the utilization of panel-data econometric techniques, aiming to establish which of the two theories has higher explanatory power for the brazilian firms. the analisis utilized three types of models: common coeficients, fixed effects, and random effects. additional statistical tests were also employed to confirm the robustness of results. the sample consists of non-financial firms listed in the sao paulo stock exchanges (bovespa and soma) from 1995 to 2002. the analysis of the results obtained led to the conclusion that the pecking order theory in its semi-strong form provides the best explanation for the capital structure of brazilian firms.
íNDICE DE BASILéIA NO BRASIL: BANCOS PúBLICOS X PRIVADOS
OTáVIO RIBEIRO DE MEDEIROS,EMERSON JADER PANDINI
Revista de Educa??o e Pesquisa em Contabilidade , 2007,
Abstract: O artigo tem como objetivo verificar se o índice de Basiléia dos bancos públicos e privados nacionais se comporta de modo diferente em fun o de o controle acionário dos bancos ser privado ou estatal. No intuito de elucidar essa quest o, o trabalho utiliza como metodologia o teste estatístico n o-paramétrico de Mann-Whitney. Por meio desse teste verificou-se se o índice de Basiléia correspondente ao tipo de controle acionário dos bancos (público ou privado) seria um fator de diferencia o, isto é, se existe diferen a significativa entre o valor médio do índice dos bancos públicos e dos privados no período compreendido entre os anos 2001 e 2006. Os resultados empíricos revelaram que n o é possível rejeitar a hipótese de que o índice de Basiléia médio de bancos públicos é equivalente àquele dos bancos privados.
Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market
Márcio André Veras Machado,Otávio Ribeiro de Medeiros
Revista Brasileira de Finan?as , 2011,
Abstract: This paper is aims to analyze whether a liquidity premium exists in the Brazilian stock market. As a second goal, we include liquidity as an extra risk factor in asset pricing models and test whether this factor is priced and whether stock returns were explained not only by systematic risk, as proposed by the CAPM, by Fama and French’s (1993) three-factor model, and by Carhart’s (1997) momentum-factor model, but also by liquidity, as suggested by Amihud and Mendelson (1986). To achieve this, we used stock portfolios and five measures of liquidity. Among the asset pricing models tested, the CAPM was the least capable of explaining returns. We found that the inclusion of size and book-to-market factors in the CAPM, a momentum factor in the three-factor model, and a liquidity factor in the four-factor model improve their explanatory power of portfolio returns. In addition, we found that the five-factor model is marginally superior to the other asset pricing models tested.
Testes empíricos sobre o comportamento assimétrico dos custos nas empresas brasileiras
Medeiros, Otávio Ribeiro de;Costa, Patrícia de Souza;Silva, César Augusto Tibúrcio;
Revista Contabilidade & Finan?as , 2005, DOI: 10.1590/S1519-70772005000200005
Abstract: the study tests and confirms the hypothesis that costs of brazilian firms are sticky, i.e. that costs increase with more intensity when revenues increase than in the opposite direction, as shown by recent empirical evidence involving american firms. as opposed to this evidence, however, the sticky behavior does not seem to decrease when periods over one year are considered. the possibility of a partial reversion of the asymmetry when lagged periods are tested is confirmed in the study. the adopted methodology involves different types of panel data regressions. the paper intends to contribute to a better understanding of brazilian firms' cost behavior related to changes in the firms' activity level, which is a relevant theme for business administration, accountants and external financial analysts. by using a sample of 198 firms within a 17-year period, it was found that the properties of the sticky costs model proposed by anderson, banker e janakiraman (2003) are partially applicable to brazil.
Corporate Governance and Information Incorporation Speed: Lead-Lag between the IGC and IBrX
José Carneiro da Cunha Oliveira Neto,Otávio Ribeiro de Medeiros,Thiago Bergmann de Queiroz
Revista Brasileira de Finan?as , 2012,
Abstract: Based on intraday data with a frequency of 15 minutes, the present study investigates the relationship between the high corporate governance market (IGC) and the traditional market (IBrX). The hypothesis tested is that a higher level of corporate governance reduces the cost associated to incorporating new information to asset prices, and so firms with higher governance incorporate information faster. The co-integration relationship between the time series was tested using the Engle-Granger method in two stages. The vector error correction model (VECM) and the Granger causality test do not permit the rejection of the hypothesis of faster incorporation of information for the high governance market prices. To estimate the VECM we used a bivariate GARCH BEKK model. The results suggest that the IGC finds its equilibrium price more rapidly and that the IBrX converges to the equilibrium relationship determined by the IGC.
Evidence of speculative bubbles on the BOVESPA: an application of the Kalman filter
Thiago Bergmann de Queiroz,Otávio Ribeiro de Medeiros,José Carneiro da Cunha Oliveira Neto
Revista Brasileira de Finan?as , 2011,
Abstract: The existence of bubbles in asset prices is a matter of great importance to governments and investors due to possible serious effects they may have on economies. In the case of shares, the presence of a price bubble can be seen by comparing prices and dividends in the long run. This study aimed to assess the occurrence of price bubbles in the Brazilian stock market, by comparing the IBOVESPA as price index and an index of dividends, built based on the methodology of IBOVESPA. The bubble was considered a unobserved state vector in a state-space model and was estimated using the Kalman filter. The results were compared with the standard present value model and intrinsic bubbles model (Froot e Obstfeld, 1991). Although the model establishes the presence of bubbles, the intrinsic bubbles model (Froot e Obstfeld, 1991) showed similar results with greater accuracy.
Rea??o do mercado à alavancagem operacional: um estudo empírico no Brasil
Dantas, José Alves;Medeiros, Otávio Ribeiro de;Lustosa, Paulo Roberto B;
Revista Contabilidade & Finan?as , 2006, DOI: 10.1590/S1519-70772006000200006
Abstract: studies evaluating the impact of financial reporting information on capital market variables have gained great importance in the accounting literature and became a tool for assessing the usefulness of accounting information. the present study follows the l path of earnings-return research, measuring operating leverage as a substitute for net income shown in the financial statements. it is based on data between the second quarter of 2001 and the third quarter of 2004 referring to firms listed on bovespa (s?o paulo stock exchange) and relating to the following sectors: petroleum and gas, basic materials, industrial goods, construction and transportation, non-cyclical consumption, and cyclical consumption. the hypothesis of the study is that since operating leverage, besides being related to earnings (operating earnings), is one of the factors determining the systematic risk of stocks, and since there is a relationship between risk and stock returns, it is possible to infer a positive relationship between the degree of operating leverage and stock returns. empirical tests carried out using panel data methods suggest that the operating leverage is statistically relevant in explaining the behavior of stock returns and that this relationship is positive, as predicted by theory. the results also demonstrate that statistical relevance increases when stricter parameters are employed for analyzing the data and that the conclusions are not determined by outlier behavior. unit root tests on the data series as well as autocorrelation and heteroskedasticity tests on the residuals ensure the robustness of the results obtained.
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