Dissertação de Mestrado
URI permanente desta comunidadehttps://repositorio.insper.edu.br/handle/11224/3237
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8 resultados
Resultados da Pesquisa
Dissertação Machine Learning Methods in Asset Pricing: An Analysis of Cross-sectional Stock Returns with Macroeconomic Factors in Brazil(2025) Vieira, Emerson SousaThe literature on financial machine learning has growth rapidly with studies encompassing several asset classes, chiefly for the stock market. We apply machine learning methods to Brazilian stocks cross section of monthly excess returns by using Brazilian stock factors while adding a vast set macroeconomic ones as our research primary contribution, for which the literature on Brazilian equities is scarce. We confirm recent results that ML models drive a substantial improvement in out-of-sample R2 predictive power over traditional OLS models. Running an out-of-sample variable importance analysis, we also found macroeconomic factors overweight firm-related ones, with a slight predominance of country risk (EMBI Brazil Index), followed by the expectations of economics conditions, and Brazil’s commodities composite index, and credit-to-GDP ratio. Our findings suggest a high relevance of macroeconomic factors when predicting monthly excess returns for Brazilian stocksDissertação Modeling Inflation Dynamics in the United States and Brazil: A Study of Structural and Unrestricted Econometric Approaches(2024) Ferrazoli, AmabileThis thesis consists of two essays examining inflation dynamics through econometric modeling, with distinct analyses of the United States and Brazil, particularly during and after the COVID-19 pandemic. The first essay analyzes inflation dynamics in the United States, benchmarking the Bernanke & Blanchard Structural Vector Autoregression with Exogenous Variables (SVAR-X) models against unrestricted Vector Autoregression (VAR-X) and modified SVAR frameworks. It specifically addresses the structural limitations highlighted by the Bernanke and Blanchard (2023, 2024) model, demonstrating that rigidity in standard model assumptions can obscure critical interactions among wage growth, price inflation, and inflation expectations. The findings indicate significant feedback loops and highlight how structural assumptions impact the perceived role of labor market dynamics, sectoral price shocks, and inflation expectations, especially under the unprecedented disruptions brought by the pandemic. The second essay adapts and expands the modeling approach to Brazil's unique economic conditions, incorporating explicit adjustments for inflation expectations within an inflation-targeting regime. This essay demonstrates how structural factors—such as indexation, policy volatility, and expectation deviations from targets—significantly influence inflation persistence in an emerging market. The empirical results highlight Brazil's greater sensitivity to supply-side shocks and the critical role of wage-setting mechanisms. Methodological refinements, including the explicit modeling of policy credibility and labor market tightness through novel indicators, provide nuanced insights into the limitations of standard developed markets oriented econometric approaches when applied to emerging economies.Dissertação São Paulo Bus System: Transitioning to Electric Fleet(2024) Pucciarelli, Mateus LeiteThis study analyzes the electrification of São Paulo’s bus fleet through a principal-agent model, addressing the dynamics between concessionaires and the municipal government. Unlike traditional centralized models found in the literature, this method captures the distinct incentives of both parties, offering a more practical basis for public policy design. The analysis evaluates the effectiveness of São Paulo’s current subsidy policy, which covers the price difference between electric and diesel buses, subsidizing approximately 72% of electric bus acquisition costs, comparing it with alternative scenarios of subsidized percentage. The results indicate that the payoff of the current policy is close to the optimal payoff – with 100% subsidy – when compared to the alternative no-subsidy scenario, achieving a value R$ 151 million higher than the no-subsidy scenario and only R$ 13.6 million lower than the optimal case. Sensitivity analyses reveal that municipal budget constraints and externality pricing critically influence policy outcomes. Although the study demonstrates the effectiveness of the approach adopted by São Paulo, investments in the electrical grid infrastructure and supply constraints, which may impact implementation feasibility, were not considered. This research contributes a new methodological perspective to the literature and offers practical insights for urban mobility policymakersDissertação Does Gender and Nationality Diversity Imply in Innovation Performance?(2024) Daher, Hugo DirceuThis study explores the impact of gender and nationality diversity within startup founding teams on various performance metrics, shedding light on the complex dynamics between diversity and entrepreneurial success. Utilizing a dataset of 13,355 companies and 27,277 founders, the research employs linear and logistic regression models to investigate how diversity influences operational status, strategic exits, total funding amount received, and the number of funding rounds. The findings reveal a nuanced relationship between diversity and startup performance, highlighting both benefits and challenges. Gender diversity showed a non-significant effect on operational status but decreased the probability of strategic exits by 33%. Additionally, companies with women founders received $1.48 million less in funding compared to all-male teams. Nationality diversity, on the other hand, increased the probability of a company being active by 65% and was associated with more funding rounds, though not a higher total funding amount. These results underscore the need for a balanced approach in the startup ecosystem, recognizing both the potential drawbacks and advantages of diverse founding teams. The study's implications are significant for academics, venture capitalists, founders, and policymakers. For academics, it highlights the importance of further empirical research to understand the diverse impact on entrepreneurial outcomes better. Venture capitalists and founders are encouraged to address biases and promote inclusivity to harness the benefits of diverse teams. Policymakers should consider strategies to support diverse startups, recognizing the potential of diversity to drive innovation and economic growth. Overall, this study emphasizes that while diversity poses certain challenges, it also holds substantial potential to enhance performance and foster a more inclusive entrepreneurial environment.Dissertação Money in the Bank, Health on the Mend: An investigation of the Emergency Aid’s effect on health demand in Brazil(2024) Resende, Ana Carolina Marinato deThis study aims to estimate the Emergency Aid program's effect on healthcare demand in Brazil, focusing on the reasons for seeking healthcare and the heterogeneous impacts on isolated and less developed communities. Using a difference-in-differences methodology, the study leverages the nearly random distribution of EA payments based on birth months, allowing comparison between eligible and non-eligible groups. Findings indicate that the EA cash payment causes an average decrease of 6 hospitalizations for municipalities. Urban areas experienced decreased hospitalizations and rural areas saw increases, while highly developed municipalities showed a more pronounced negative effect. Specific health conditions responded differently: Covid-19 and eye-related hospitalizations decreased, while those for cardiovascular and mental health issues increased. Overall, the EA was shown to effectively promote social isolation, reducing hospitalization rates, but with varied impacts based on municipality characteristics and health conditions. Institutional quality and population density influenced these outcomes, reflecting local governments' capacity to manage aid and pandemic measures effectively. The findings underscore the importance of considering socioeconomic and geographic disparities in policy implementation, offering valuable guidance for designing equitable and impactful aid programs in future crises.Dissertação A Comparative Analysis of Monetary Shocks: Insights from the Brazilian Economy(2023) Araújo, Gabriella Souza deThis article seeks to contribute to the still limited literature on monetary shocks in Brazil and draw comparisons with previously estimated shocks. The proposed methodology, based on Bu, Rogers, and Wu (2021), allows for estimating a series of shocks without the price puzzle, as its competitive advantage lies in the absence of informational effects. We have identified significant advantages in the response and robustness of the estimated instrument, highlighting that the BRW methodology appears to be effective not only in estimating the effects of traditional monetary policies but also in measuring forward guidance.Dissertação The discount on the valuation of private companies in the American and European markets.(2024) Andrade, Daniel Pecanka deThis study investigates the discount applied to the valuation of private companies in the American and Western European markets. I perform a multivariate regression analysis on M&A transactions from 1993 to 2024 to see the factors that influence the valuation multiples, followed by an estimative of the private company discount using the acquisition approach. The investigation reveals that private companies are generally traded at a discount compared to their public counterparts, a phenomenon attributed to the illiquidity premium and other market-specific factors. By comparing the North American and European markets, the research indicates a higher discount in the Western European market. The findings contribute to the existing literature by providing a more nuanced understanding of how private company discounts are influenced by regional market dynamics. This study is particularly valuable for M&A professionals and investors, enhancing the existing methodologies for valuing privately held firms. The dissertation emphasizes the importance of considering liquidity and marketability in private company valuation, enriching the theoretical and practical perspectives on the subject.Dissertação When Science Strikes Back - Has a scientific background helped mayors against COVID-19?(2023) Passos, Gabriel Caser dosNeste artigo, tentamos responder à pergunta: "A experiência com ciência ajudou líderes contra a COVID-19?". Para isso, utilizamos um design de regressão descontínua em eleições municipais acirradas entre candidatos STEM (ciência, tecnologia, engenharia e matemática) e não-STEM para estimar o impacto causal de ter um prefeito com formação científica nos resultados epidemiológicos da COVID-19 no Brasil. Descobrimos que prefeitos STEM reduziram as mortes e hospitalizações por COVID-19 e um de seus mecanismos foi o aumento no número de intervenções não farmacêuticas (INFs), como a obrigatoriedade do uso de máscaras faciais. Também mostramos que este impacto estimado não se deve a outras características observáveis dos prefeitos, como anos de educação, ideologia ou gênero. Nossos resultados sugerem que, em geral, líderes municipais com formação STEM lidaram melhor com um cenário envolvendo emergências e pequenas quantidades de dados e evidências. Argumentamos que nossos resultados podem indicar que o investimento em capital humano relacionado à ciência e tecnologia produz externalidades não esperadas - como melhorias em desafios de gestão pública