Aureliano Bressan
Research interests
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InterestsFinance, Finance Management, Applied Econometrics
Publications
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Previsão Não-linear de Retornos na BOVESPA: Volume Negociado em um Modelo Auto-Regressivo de Transição Suave
Revista de Administração Contemporânea. 01/2010;
In this study, the predictive power of a logistic smooth transition auto regression model (LSTAR) in generating statistically significant returns is evaluated when the transition variable is trading volume and the lagged return itself, for the São Paulo Stock Exchange’s Ibovespa Index, with the anal... [more] In this study, the predictive power of a logistic smooth transition auto regression model (LSTAR) in generating statistically significant returns is evaluated when the transition variable is trading volume and the lagged return itself, for the São Paulo Stock Exchange’s Ibovespa Index, with the analysis based on daily data between 1996 and 2006. The reason for the inclusion of trading volume is found in some market characteristics and behavioral finance results, which indicate the existence of a negative relationship between trading volume and future returns. The model shows a good adjustment to the data, although it does not have the ability to generate additional profits if the transaction costs are of 0.5% per trade. For lower costs there is some predictive power, though lower than an AR(1) model and a buy and hold strategy. Considering the risk, for transaction costs of 0.035% per trade, the autoregressive model permitted a Sharpe index 20% larger than the buy and hold strategy.
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Análise dos determinantes do endividamento das empresas de capital aberto do agronegócio brasileiro
Sociedade Brasileira de Economia e Sociologia Rural, Brazilian Journal of Rural Economy and Sociology (RESR). 01/2009; 47(1).
Studies involving capital structure and the identification of its determinants are relevant issues in the field of corporate finance management research. In this regard, the present study intends to evaluate the determinants of corporate leverage in the Brazilian agribusiness sector using the model ... [more] Studies involving capital structure and the identification of its determinants are relevant issues in the field of corporate finance management research. In this regard, the present study intends to evaluate the determinants of corporate leverage in the Brazilian agribusiness sector using the model of Rajan and Zingales (1995). In the definition of the sample there were selected 26 companies that are classified in one of three subdivisions of the Brazilian agribusiness sector: a) the agriculture or cattle raising; b) inputs or production factors and c) processing and distribution sector, using as reference the CNA classification. The study used data from the Economatica® database, with the adoption of panel data methods. The results indicated that the variables tangibility of assets, growth opportunities, size and profitability were statiscally significant as determinant factors of the debt structure of Brazilian agribusiness companies. It is also possible to conclude that the model estimated by panel data generated results that are compatible with those suggested by the pecking order theory.
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Análise da alavancagem das empresas de capital aberto do agronegócio brasileiro: uma abordagem usando logit multinomial
Federal University of Vicosa, Department of Agricultural Economics, Revista de Economia e Agronegocio / Brazilian Review of Economics and Agribusiness. 01/2008; 6(1).
This study intends to verify which variables affect the financial leverage of Brazilian agribusiness companies, considering the migration in the indebtedness ranges as proposed in the model of Matarazzo (1998). 26 companies were selected in accordance to the following links of the agribusiness chain... [more] This study intends to verify which variables affect the financial leverage of Brazilian agribusiness companies, considering the migration in the indebtedness ranges as proposed in the model of Matarazzo (1998). 26 companies were selected in accordance to the following links of the agribusiness chain flow: a) agricultural production; b) input supplying; and c) processing and distribution. The study was conducted using a multinomial logit model, based on annual data from 1999 to 2005. The results indicate that the variables tangibility of assets, growth opportunities, size and profitability were statistically significant in the explanation of the debt structure of Brazilian agribusiness companies.
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Análise do Desempenho Recente de Fundos de Investimento no Brasil
Contabilidade Vista & Revista. 01/2007;
O estudo analisa o desempenho dos fundos de investimento no Brasil entre maio de 2001e maio de 2006, utilizando como referência a divisão entre fundos de renda fixa e fundos derenda variável. A performance em termos de risco e retorno é avaliada em termos dos índicesde Sharpe e Sortino, sendo ainda ... [more] O estudo analisa o desempenho dos fundos de investimento no Brasil entre maio de 2001e maio de 2006, utilizando como referência a divisão entre fundos de renda fixa e fundos derenda variável. A performance em termos de risco e retorno é avaliada em termos dos índicesde Sharpe e Sortino, sendo ainda os retornos e volatilidades analisados por meio de testes t e F.Os resultados indicam que as duas categorias de fundos não apresentaram diferença estatísticasignificativa em termos do retorno médio no período. Entretanto, diferenças na variânciadurante o período analisado levaram a uma melhor relação risco x retorno para os fundos derenda fixa, fato associado às altas taxas de juros praticadas no mercado brasileiro neste período.
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Alternative Hedging Models for the Brazilian Exchange Market: A Comparative Analysis
IUP Publications, The IUP Journal of Applied Economics. 01/2007;
This paper attempts to assess the hedge effectiveness of four hedging models in the Brazilian futures exchange rate market, with daily data from January 1999 to September 2004. The models that were analyzed are naive (full hedge) model; conventional OLS model and error correction model with and with... [more] This paper attempts to assess the hedge effectiveness of four hedging models in the Brazilian futures exchange rate market, with daily data from January 1999 to September 2004. The models that were analyzed are naive (full hedge) model; conventional OLS model and error correction model with and without a GARCH error structure. As a general result, the error correction model was found to be superior to others, and the dynamic estimation of the conventional and error correction models seems to be enough to take into account the time-varying feature of the hedge ratios.
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Investigating the solvency of brazilian credit unions using a proportional hazard model
Blackwell Publishing, Annals of Public and Cooperative Economics. 01/2006; 77(1):83-106.
Due to high interest rates and bank spreads, the number of credit unions in Brazil has increased over recent years. As financial institutions, these cooperatives need tools to signal impending financial problems. This paper focuses on one tool that can be used to evaluate credit union solvency: the ... [more] Due to high interest rates and bank spreads, the number of credit unions in Brazil has increased over recent years. As financial institutions, these cooperatives need tools to signal impending financial problems. This paper focuses on one tool that can be used to evaluate credit union solvency: the Cox Proportional Hazards Model. A sample of 80 credit unions from the Brazilian state of Minas Gerais was selected to supply data. The analysis period is between December 2001 and June 2003. The results indicate that the relevant indicators for insolvency prediction are, in descending order of predictive ability, General Liquidity, Salary and Benefit Expenses, and the Loan/Equity Ratio. In general, results produced using the delineated theoretical model were in consonance with international literature. Copyright CIRIEC, 2006.
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Avaliação financeira das cooperativas de crédito rural do estado de Minas Gerais
Universidade Federal de Lavras, Departamento de Administracao e Economia, Organizacoes Rurais e Agroindustriais/Rural and Agro-Industrial Organizations. 01/2003; 5(2).
This article presents a financial analysis of agricultural credit cooperatives in Minas Gerais, between 1998 and 2001. The financial indicators used in this study were separated in the following groups: struture, solvency, costs, financial returns and growth, whose definitions were extracted from th... [more] This article presents a financial analysis of agricultural credit cooperatives in Minas Gerais, between 1998 and 2001. The financial indicators used in this study were separated in the following groups: struture, solvency, costs, financial returns and growth, whose definitions were extracted from the Austin Asis Consulting Company manual. The t-test, with a 5% level of significance, was used as a analytical framework for the financial performance from one year to the next one. As a general result, the indicators showed that the asset and liability accounts were in equilibria, allowing to conclude that the agricultural credit cooperatives of Minas Gerais are in a stable financial situation.
Following (3)
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Kelly Lissandra Bruch
Faculdade Meridional - IMED -
Valéria Fully
Universidade Federal de Minas Gerais -
Robert Iquiapaza
Universidade Federal de Minas Gerais
