Artigos em Andamento [Working Paper]
URI permanente desta comunidadehttps://repositorio.insper.edu.br/handle/11224/3232
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Resultados da Pesquisa
Working Paper The Use of Trade Credit by Firms: Evidence for Latin America(2011) Santos, Gisler Andre; Hsia Hua Sheng; ADRIANA BRUSCATO BORTOLUZZOTrade Credit (TC) is the short-term credit linked to the sale of goods given to the cliente by the supplier without any intermediary financial agent. This work aims to study whether TC is used as a substitute for bank credit in crisis periods in Latin America. The sample of this study was composed of firms listed on the Argentinian, Brazilian and Mexican stock exchanges from 1994 to 2009. Controlled by sector and size, the tests provide evidence of the substitution effect for these three countries firms in crisis periods. The results indicate that small firms of all sector substitute bank financing for TC in crisis periods. However, large Brazilian and Mexican firms do not finance with trade credit in crisis periods due to their better capability to get money from local and foreign capital market and better ability of generating cash internally.Working Paper Earning Management in Brazilian Financial Institution(2015) Gomes, Ana Luiza Porto; Sheng, Hsia Hua; ADRIANA BRUSCATO BORTOLUZZOWorking Paper Building portfolios of stocks in the São Paulo Stock Exchange usingRandom Matrix Theory(2012) ADRIANA BRUSCATO BORTOLUZZO; Sandoval Junior, Leonidas; Venezuela, Maria KellyBy using Random Matrix Theory, we build covariance matrices between stocks of the BM&F-Bovespa (Bolsa de Valores, Mercadorias e Futuros de S˜ao Paulo), which is cleaned of some of the noise due to the complex interactions between the many stocks and the finiteness of available data. We also use a regression model in order to remove the market effect due to the common movement of all stocks. These two procedures are then used to build stock portfolios based on Markowitz’s theory, trying to obtain better predictions of future risk based on past data. This is done for years of both low and high volatility of the Brazilian stock market, from 2004 to 2010.Working Paper Estimation of Conversion Rates into Annuities: A Brazilian Perspective(2011) Vaz, Thalita A.; Machado, Sergio Jurandyr; ADRIANA BRUSCATO BORTOLUZZOBecause pension plans have been marketed with outdated technical premises, Brazilian insurance companies find themselves required to identify additional resources to ensure their ability to meet future benefit payments obligations. When calculating the additional amount of this provision, the parameters used are: mortality and disability decrements, the structure of interest rates, financial performance, cancellation fees and conversion rates. The aim of this study is to present new techniques for the estimation of conversion rates. The resulting analysis of the data allows us to conclude that two factors—the volume of accumulated reserves and the classification of prices as actuarially fair—increase the propensity of an individual to convert resources in retirement. In turn, retirement age and the need for liquidity reduce the propensity to convert resources in retirement.Working Paper The Impact of Tax Exemptions on Labor Registration: The Case of Brazilian Domestic Workers(2011) Madalozzo, Regina Carla; ADRIANA BRUSCATO BORTOLUZZOLabor informality has long been a subject of public concern in Brazil, and across different occupations, domestic workers are the epitome of informal workers. In 2006, the Brazilian President approved a law to encourage employers to formally register their domestic employees this specific occupation. The present study uses various statistical approaches to investigate the effectiveness of this new law. Using different techniques, our results show that the law had no relevant impact on the formalization rates of domestic workers. Explanations for this result suggest that uncoordinated public policy initiatives may emphasize mixed goals, which prevents the achievement of any of the goals. On one hand, there continues to be a need for policy-level incentives that allow workers to deduct labor social security contributions from their personal income taxes, while on the other hand, other public policy initiatives, such as increases in the real minimum wage, provide disincentives to formalization.Working Paper Analysis of Multiscale Systemic Risk in Brazil’s(2010) ADRIANA BRUSCATO BORTOLUZZO; ANDREA MARIA ACCIOLY FONSECA MINARDI; Passos, BrunoThis work analyzes whether the relationship between risk and returns predicted by the Capital Asset Pricing Model (CAPM) is valid in the Brazilian stock market. The analysis is based on discrete wavelet decomposition on different time scales. This technique permits us to analyze the relationship between different time horizons, from short-term ones (2 to 4 days) to long-term ones (64 to 128 days). The results indicate that there is a negative or null relationship between systemic risk and returns for Brazil from 2004 to 2007. Because the average excess return of a market portfolio in relation to a risk-free asset during that period was positive, we should expect this relationship to be positive. That is, greater systematic risk should result in greater excess returns, which did not occur. Therefore, during that period, appropriate compensation for systemic risk was not observed in the Brazilian market. When the decompositions are analyzed year by year, the expected risk and return relationship is observed in 2004 and 2005, but is not observed in 2006 and 2007. Moreover, the scales that proved to be most significant to the risk-return ratio (the t statistic of the expected risk premium) and the R2 of the regression of returns and beta were the first three, which corresponded to short-term time horizons. In other words, when treating year-by-year results differently and consequently separating positive and negative premiums, we find that during some years, the risk-return relation predicted by the CAPM was somewhat relevant. However, this pattern did not persist during all years. Therefore, there is not enough strong evidence that asset pricing follows the model. There are other possible risk factors beyond the market portfolio that explain the risk-return ratio in Brazil.Working Paper Estimating Claim Size and Probability in the Auto-insurance Industry: the Zero-adjusted Inverse Gaussian (ZAIG) Distribution(2009) ADRIANA BRUSCATO BORTOLUZZO; DANNY PIMENTEL CLARO; Caetano, Marco Antonio Leonel; RINALDO ARTESThis article aims at the estimation of insurance claims from an auto data set. Using a ZAIG method, we identify factors that influence claim size and probability, and compared the results with the analysis of a Tweedie method. Results show that ZAIG can accurately predict claim size and probability. Factors like territory, vehicles´ advanced age, origin and body influence distinctly claim size and probability. The distinct impact is not always present in Tweedie’s estimated model. Auto insurers should consider estimating risk premium using ZAIG method. The fitted models may be useful to develop a strategy for premium pricing.Working Paper Time-Varying Autoregressive Conditional Duration Model(2009) ADRIANA BRUSCATO BORTOLUZZO; Morettin, Pedro A.; Toloi, Clelia M. C.Working Paper The effectiveness of a multi-channel marketing approach for relationship management: a study in the context of private pension plans(2016) CARLA SOFIA DIAS MOREIRA RAMOS; DANNY PIMENTEL CLARO; ADRIANA BRUSCATO BORTOLUZZO; Barros, C.The relational approach is based on a model that uses multiple marketing channels and services to promote contacts between the customer and the firm. But to which extent do firms benefit from using multiple marketing channels with their customers? This study aims to understand the effectiveness of adopting a multi-channel approach. This effectiveness is measured with the impact on customer lifetime value (CLV). We argue that not all marketing channels have a significant, positive effect on customer value, and that when it is significant, that effect is moderated by the customer time of permanence in the firm, and by the amount of products held by the customer. We find that not all channels have a positive and significant effect over CLV, and thus, firms may want to re-consider the allocation of resources to some of the used channels. We also confirm the moderating effect of the considerable variables for some of the channels. This research contributes to marketing theory in the sense that it shows that not all marketing channels have a significant impact over customer value. It also provides an insightful way of categorizing marketing channels, distinguishing between push and pull channels. In managerial terms, results indicate that marketing managers can enhance customer value, redefining marketing strategies and relationships through the provision and activation of multiple contact channels with customers, yet properly selected as not all channels have a positive impact on CLV.