Aureliano Bressan

Federal University of Minas Gerais | UFMG · Departamento de Ciências Administrativas (CAD)

The objective of this article is to study the behavior of the stock markets in emerging countries (BRICS) and developed countries (USA, England, Germany, and Japan), aiming to identify the evolution of their degree of efficiency between June 2007 and July 2021 based on the hypothesis of fractal markets. Using the Hurst exponent, the fractal dimensi...

Purpose The aim of the study is to build and validate a perceived financial well-being scale (PFWBS). Design/methodology/approach A total of 34 items were developed on a five-point Likert scale. Validation involved two phases and four steps. In the qualitative phase, interviews, validation by specialists and the pre-test were carried out. In the q...

This article proposes and validates a Financial Protection Perception Scale (FPPS) from the perspective of the financial services consumer. The scale was applied to a sample of 1,137 individuals residing in Brazil and validated using exploratory and confirmatory factor analysis and standard multivariate validation methods. The FPPS, composed of 14...

The aim of this study is to verify whether the framing effects of past performance information affect the risk perception of individuals for fixed-income and variable income fund. We assess whether risk perception varies depending on how information is communicated to investors, considering the relevance of possible framing effects arising from how...

We propose a Pandemic Risk Perception Scale. Our scale comprises two constructs, Dread Risk and Personal Exposure, divided into five dimensions: Infection Risk, Emotional Health Risk, Health System Risk,Financial Risk, and Alimentary Risk. Using multidimensional item response theory, confirmatory factor analysis, and structural equation modeling on...

To assess the loss of Financial Well-being due to the pandemic. A websurvey was conducted with Brazilian citizens and the data were analyzed using descriptive statistics and tests of mean difference. The results indicate the loss of Financial Well-Being occurs mainly for individuals who have had a decrease or a total loss of income since the pandem...

This article aims to assess the loss of financial well-being in the COVID-19 pandemic. The developed theoretical model identifies the impacts of the perception of financial risk and financial anxiety on financial well-being. It also seeks, through a comparative analysis, to assess whether public servants, due to their status of job stability in Bra...

Purpose: This article has two main objectives: to measure the level of financial well-being (FWB) of the beneficiaries of the Minha Casa Minha Vida program (PMCMV) and test the hypothesis that financial literacy is an antecedent of the FWB. Originality/value: Considering that there is still no universally accepted definition and measure for the FW...

Purpose The purpose of this study is to propose and validate a Financial Citizenship Perception Scale from the perspective of the citizen. Design/methodology/approach An instrument was applied in Brazil, whose dimensions and items were analyzed using exploratory and confirmatory factor analysis techniques and hierarchical cluster analysis. Findin...

The evaluation of financial knowledge is still a controversial subject in the literature, and this work seeks to advance by proposing instruments for this evaluation. Based on the related literature, twenty-four questions were adapted in the initial instrument. Using Item Response Theory, a synthetic instrument was developed, with twelve questions...

This paper investigates if opacity (as measured by derivatives usage) creates value for investors and the managers of hedge funds that charge performance fees. Since we do not identify a positive relation between opacity and managers’ revenue, it is not possible to state that opacity is a source of manager’s value creation for hedge fund investors...

Despite the extensive privatization achievements over the last decades, government ownership of publicly traded companies remains pervasive around the world. Consistent with past evidence of structural change in the beta coefficient during financial crises, the more recent economic recession of 2014 to 2016 in Brazil presents an opportunity to demo...

Purpose In this work, the authors conduct an online survey to evaluate how Sensation Seeking and Overconfidence influences the transaction volume of day traders in Brazil. Design/methodology/approach The authors conducted a survey to gather the primary data. They applied linear regressions between the variables, and then the stepwise technique in...

This paper presents a method for constructing price-earnings ratios (P/Es) for the Brazilian stock market. The objective was to assess whether the P/E ratios exhibit mean reversion, in addition to assessing whether there is a long-run equilibrium relationship between the stock price index and the earnings per share index used in calculating the val...

The purpose of this work is to present the Weighted Forward Search (FSW) method for the detection of outliers in asset pricing data. This new estimator, which is based on an algorithm that downweights the most anomalous observations of the dataset, is tested using both simulated and empirical asset pricing data. The impact of outliers on the estima...

This article analyzes the relationship between opaque assets and the risks, returns and inflows of hedge funds. In particular, we use a unique dataset containing information required by a Brazilian regulator to evaluate the amount invested by funds in forward and future contracts, swaps and options in the context of qualified and non-qualified inve...

Resumo Este artigo apresenta as perspectivas da pesquisa em Governança de Empresas Familiares no Brasil, resultantes da chamada desta edição especial da RAC endereçada ao tema. Os dois artigos tratam de temas relevantes no debate acadêmico, a saber: a necessidade de um arcabouço teórico para a avaliação de processos decisórios estratégicos de empre...

This chapter evaluates the impact of revenue diversification with expanding products and services upon the financial performance of credit unions. The diversification effect on credit union performance was verified through dynamic panel data models estimated by two-stage system Generalized Method of Moments. Semiannual information (spanning 2009 to...

Open fund managers face situations of excess liquidity due to higher inflows, such as liquidity shortages when redemptions occur, which could affect the fund’s performance. This study aimed to evaluate the impact of the volume of inflows, redemptions and liquidity levels on the Adjusted Sharpe Ratio based on the analysis of 634 Brazilian hedge fund...

This study aims to identify whether a relationship exists between the controlling shareholders’ voting power and outside directors’ effectiveness in maximizing firms’ financial performance. We analyze a panel data with 3057 observations for the 2000–2012 period using a random effects model, logit and probit regressions, and the two-stage model of H...

A Hipótese da Substituição pressupõe que tanto o endividamento quanto a Governança Corporativa podem reduzir os conflitos de agência, permitindo que o gestor escolha uma dessas opções. Nesta perspectiva, o objetivo desta pesquisa foi verificar se a adesão às práticas de Governança Corporativa reduz a alavancagem das empresas brasileiras. Além disso...

Purpose – The aim of this study was to verify whether the credit unions affiliated to Brazilian Confederation of Central Cooperatives (UNICRED) manage their accounting results, in order to reduce the variability of the institution’s returns and transmit a sense of solidity to its members. Design/methodology/approach – The method adopted was the Cl...

This paper analyzes the effect of investor monitoring on the performance of equity investment funds. For that purpose, we analyze the relationship between fund performance, measured using four-factor Alpha, and a set of control variables and monitoring proxy variables. We used monthly data for 1.317 funds, from January 2005 to April 2015. We organi...

The financial system plays a crucial role in any economy. Factors such as strong regulation of the banking sector, measurement and evaluation in terms of performance and efficiency has been important for financial institutions. The long-term sustainability of cooperatives and banks demand the identification and comparison of variables that influenc...

Esse trabalho tem como objetivo analisar, a partir do estudo de caso da Parceria Público-Privada (PPP) Rodovia MG-050, o risco fiscal assumido pelo Poder Público na execução de Parcerias Público-Privadas. No caso da MG-050, elege-se o risco de variação do volume de tráfego na rodovia como variável-chave para a análise do potencial impacto da execuç...

Este trabalho explorou a pratica de gerenciamento de resultados em cooperativas de credito no Brasil filiadas ao Sistema de Credito Cooperativo (SICREDI). Estudos sobre o tema de gerenciamento de resultados no Brasil tem se acelerado nas ultimas decadas, mas o caso das instituicoes financeiras ainda e um tema em aberto, ja que o gerenciamento de re...

Using 3,057 observations from 2000 to 2012, we found the risk of expropriation of minority shareholders by controlling shareholders is positively associated with participation of institutional investors in equity funding. There is no evidence that these investors increase the likelihood of substituting the chief executive officer or increase the co...

A modernização do processo de intermediação financeira e a adaptação a novas tecnologias, trouxeram ajustes aos processos operacionais e permitiram a diminuição dos custos de captação da informação, maior satisfação aos clientes, o aumento da competitividade, além de ganhos com eficiência a longo prazo. Neste contexto, esta pesquisa analisa a evolu...

Asset pricing is a widely explored theme in the financial literature. Nevertheless, the value premium phenomenon remains controversial because although it is easily detected in developed and emerging markets, little is actually known about the economic forces that explain its existence. In this context, this article aims to identify the value premi...

A data driven culture is arising as a research field and analytic tool in Finance and Management since the advent of structured, semi-structured and unstructured socio-economic and demographic information from social media, mobile devices, blogs and product reviews from consumers. Big Data, the expression that encompasses this revolution, involves...

Este estudo avaliou se as cooperativas de credito filiadas ao Sistema de Credito Cooperativo (SICREDI) utilizaram da estrategia de gerenciamento de resultado para evitar divulgar perdas. O tema de gerenciamento de resultados se apresenta eminente tanto na literatura internacional quanto na nacional, e se mostra ainda mais notavel no caso das instit...

Asset pricing is a widely explored theme in the financial literature. Nevertheless, the phenomenon of value premium is still controversial, since although easily detected in developed and emerging markets, little is know about the economic forces that explain its existence. In this context, this article examines value premium in the Brazilian marke...

Resumo -Este estudo objetivou verificar quais são as variáveis que afetam a alavancagem de empresas do agronegócio brasileiro, considerando a migração de faixas de endividamento conforme modelo de Matarazzo (1998). Foram selecionadas 26 empresas enquadradas nos seguintes elos da cadeia produtiva: a) produção agropecuária; b) fornecedor de insumos;...

O objetivo desta pesquisa foi comparar a rentabilidade de carteiras formadas a partir dos melhores modelos de previsão univariados e multivariados, identificando a relevância da informação contábil. Tal comparação foi feita por meio do uso de previsões com os modelos ARIMA (univariados) e os modelos VAR (multivariados). Os indicadores contábeis e o...

Resumo Objetivou-se neste trabalho identificar se existe relação entre a emissão de duas classes de açaç˜ações, a existência de estrutura piramidal de controle e o desempenho financeiro das empresas brasileiras. Para tanto, utilizaram-se testes univariados e modelos de dados em painel para um período amostral entre 2000 a 2012. Os resultados indica...

Vencedores IBGC Academia 2014 1º Colocado Resumo: Verificou-se, neste trabalho, a relação entre os mecanismos de alavancagem do poder de voto e a efetividade do conselho de administração em aumentar o desempenho financeiro das empresas brasileiras. A principal evidência sugere que o acordo de acionistas seja uma estratégia substituta à emissão de d...

This study aims to identify whether there is a relationship between dual class shares issuance, pyramidal ownership structure and firms’ financial performance in the Brazilian market. To this end, univariate tests and panel data analysis were applied in a sample for the 2000 to 2012 period. The results indicate that there is a significant and negat...

As demonstrações contábeis têm por objetivo apresentar informações que viabilizem a compreensão dos fatos ocorridos nas entidades e, assim, auxiliam a tomada de decisões dos agentes econômicos. Neste contexto, a avaliação da estrutura financeira das cooperativas centrais de crédito, que são responsáveis por auxiliar a gestão das cooperativas singul...

We used alternative specifications of the Almost Ideal Demand System to estimate the aggregate demand for beef, pork, chicken, and other consumption goods and their elasticities in Brazil. We detected the need for using time trend variables in models' equations so that an upward trend for each meat demand and a downward trend for other consumption...

A eficiencia da taxa de dividendo em prever o movimento futuro das acoes ou do dividendo sempre foi muito discutida, tanto no meio academico como nos mercados financeiros. Analistas de investimentos defendem que a taxa de dividendo pode ser usada como estrategia para obtencao de retornos anormais; por outro lado, pesquisadores ainda tem uma visao b...

Este artigo foi realizado com o objetivo de identificar variáveis que se apresentam como determinantes de adesão de empresas brasileiras ao Índice de Sustentabilidade Empresarial (ISE) da BM&FBOVESPA, e se tal adesão apresenta relação com o valor de mercado das empresas. Foram coletados dados anuais das empresas, no período de 2006 a 2011. A metodo...

Theoretical models concerning Credit Unions (CUs) suggest that the type of CU domination determines the way it allocates the monetary value it generates. A borrower- (saver-) dominated CU benefits borrower (saver) members at the expenses of saver (borrower) members, and a neutral CU equally benefits its member groups. This paper applies direct meas...

We propose a single-factor mixed effects panel data model to create an arbitrage portfolio that identifies differences in firm-level latent fundamentals. Furthermore, we show that even though the characteristics that affect returns are unknown variables, it is possible to identify the strength of the combination of these latent fundamentals for eac...

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 c...

This article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and the Bovespa Future indexes, four forecasting models have been built: ARIMA, ARFIMA, VAR, and VE...

The aimof this study was to identify the dominance behavior in credit unions affiliated to the Sicoob-Crediminas system in Minas Gerais state, Brazil. Borrower-dominated unions are those that offer low borrowing rates and also low saving rates, while saver-dominated unions practice higher rates for savings as well as for loans. The results indicate...

Interesses conflitantes e monitoramento imperfeito podem induzir instituições financeiras cobertas por seguro depósito a se exporem mais ao risco do que o nível preconizado pelo fundo gestor do seguro. Testa-se se a instauração do Fundo Garantidor (FGS) do Sistema das Cooperativas de Crédito do Brasil (Sicoob) não induziu ao problema de risco moral...

This article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and the Bovespa Future indexes, four forecasting models have been built: ARIMA, ARFIMA, VAR, and VE...

We use alternative specifications of the Almost Ideal Demand System (AIDS) to estimate the aggregate demand in Brazil for beef, pork, chicken, other consumption goods, and their elasticities. We detect the need for using time trend variables in models' equations so that we found an upward trend for the demand of each type of meat and a downward tre...

O mecanismo de seguro-depósito objetiva criar segurança e liquidez no sistema financeiro, mas, paradoxalmente, pode gerar instabilidade ao sistema devido ao problema de risco moral. Os interesses conflitantes das partes, aliados ao monitoramento imperfeito, podem induzir as instituições financeiras sob a égide do seguro-depósito a se expor a um ris...

No presente artigo, apresenta-se um estudo realizado com o objetivo de adequar os indicadores do sistema PEARLS à realidade brasileira e estimar as probabilidades de insolvência das cooperativas de crédito filiadas ao Sistema de Cooperativas de Crédito do Brasil (Sicoob). Para tanto, foi estimado um modelo logit utilizando uma base de dados com 35....

This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel’s (2006) methodology in the Brazilian stock market. To this end we studied a sample of Bovespa’s stocks in a monthly basis from July 1995 to June 2008. The results indicate that only t...

We propose a single factor mixed effects panel data model to compose an arbitrage portfolio identifying differences in firm-level latent fundamentals. Furthermore, we show that even though the characteristics that affect returns are unknown variables, it is possible to identify the strength of the combination of these fundamentals for each stock by...

A major challenge for credit unions today is to create management mechanisms that are consistent with its administrative complexity, meets regulatory requirements of the Central Bank and are in accordance with their doctrinal principles. In this sense, the present study aimed to construct unpublished financial statements indicators adequate to Braz...

O presente estudo objetivou estimar as probabilidades de insolvência das cooperativas de crédito do Estado de Minas Gerais, condicionadas aos indicadores contábeis financeiros do sistema Pearls, o qual é recomendado pelo Conselho Mundial do Cooperativismo de Poupança e Crédito. Esse sistema tem como principal objetivo possibilitar o monitoramento d...

This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel’s (2006) methodology in the Brazilian stock market. To this end we studied a sample of Bovespa’s stocks in a monthly basis from July 1995 to June 2008. The results indicate that only t...

Multicriterio. Using DEA Multicriteria Analysis. To build portfolios that have high adherence or correlation with the Bovespa Index - Ibovespa;and to create a managing tool for small portfolios, connecting low cost management to results that reflect to the investors the whole market.

A intenção desta pesquisa foi a averiguação do relacionamento entre endividamento e volume de investimento por empresas brasileiras. Além disso, aferimos se outras variáveis como rentabilidade, tamanho e risco operacional também influenciam o processo decisório acerca de investimentos das organizações. Para tanto, foram utilizados dados contábeis e...

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 Sao Paulo Stock Exchange's Ibovespa Index, with the analysis based on daily data between 1996 and 2006. Th...

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. Th...

Resumo: O presente estudo investigou a existência de eficiência de custo e economia de escala nas cooperativas de crédito mútuo de Minas Gerais, no período de 2001 a 2003, a partir de uma amostra de 42 cooperativas com ativo total superior a 5 milhões de reais. Utilizou-se a abordagem da fronteira estocástica de custos e a medida de economia de esc...

DEA. aplicação em carteiras da Bolsa do RJ

The objective of this article was to analyze the theoretical-methodological evolution in the finance area, emphasizing the important stages, marking their contributions and contradictions, with special emphasis in the dominant paradigm and the post-modern critics. It is a theoretical reflection with an ad hoc revision of the literature. It is obser...

The aim of this research was to identify the determinants of the development of the fixed income mutual funds in Brazil through the study of net money flows, from February 1995 to September 2004. The data were analyzed by multiple regression analysis of monthly series. Looking for robustness of the results, the classic OLS estimators were compared...

The purpose of this paper is to check whether liquidity plays an important role in asset pricing, i.e., it intends to investigate whether the security prices are also determined by their liquidity. Thus, it examines whether the stock returns are empirically related to the turnover ratio (number of stocks traded as a fraction of the number of stocks...

This study analyzes the performance of Brazilian Investment Funds between May 2001 and May 2006, using as a guideline the division in fixed-income funds and equity funds. The performance is evaluated in terms of risk and return, using Sharpe and Sortino indexes, with the returns and volatilities being also analyzed through t and F tests. The result...

One of the main characteristics of the fixed income market in Brazil is the short term to maturity of public bonds, an issue that emphasizes the importance of studies related to the identification of the common factors that affect the volatility of these bonds, which is a critical component for interest rate risk management. In this sense, the main...

O presente trabalho analisa as possíveis relações existentes entre estrutura de capital,operações de crédito e de tesouraria, spread e índice de eficiência com a rentabilidade, medidapelo ROE, dos bancos de varejo brasileiros, no período compreendido entre 1999 e 2005.A amostra utilizada consiste em instituições financeiras pertencentes ao segmento...

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,...

This study analyzes the performance of stocks listed on Bovespa - the São Paulo Stock Exchange - between 03/17/1998 and 08/03/2004. First, stationarity was tested in order to check whether these stocks followed the random walk model. The results showed that all returns were stationary. In relation to prices, 90% of all stock prices revealed a unit...

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 cre...

This paper presents a comparative study of the predictive capacity of the models EWMA, GARCH (1,1) EGARCH (1,1) and TARCH (1,1) when applied to forecast the volatility of the exchange rates in the Brazilian inter-bank market. The sample consists of the daily closing quotations of the exchange rate real/US dollar obtained in the period from August 2...

Neste estudo avalia-se a existência de sinalização dos dividendos pagos em dinheiro e analisa-se o impacto do processo de estabilização e das mudanças na política tributária sobre a distribuição de dividendos. Para tal, utilizam-se técnicas econométricas de cointegração e causalidade para dados em painel, considerando assim a inter-relação entre as...

Resumo: O objetivo foi analisar a literatura existente e elaborar um tutorial para a verificação das propriedades de séries temporais em séries financeiras utilizando as ferramentas de análise de dados em painel. A apresentação está centrada em dois testes de raiz unitária para dados em painel propostos por Im, Pesaran e Shin (1997, 2003), e Chang...

A previsão de insolvência é um fator importante para o sistema bancário e, por esse motivo, vem sendo estudada por vários autores. Com o intuito de corroborar esses estudos, este trabalho avaliou a situação financeira das cooperativas de crédito rural do Estado de Minas Gerais entre 1998 e 2001, buscando verificar se as mudanças que afetaram o sist...

This research deals with the usefulness of times series models as a tool for buy and sell decisions of the Brazilian BM&F future contracts, in dates nearby the expiration. The models considered were ARIMA, Artificial Neural Networks and Dynamic Linear Models. The data corresponds to the weekly quotations of coffee, soybeans and live cattle prices i...

This paper studies the applicability of time series models as a decision tool of buy and sell orders of live cattle futures contracts in the Brazilian Futures Market (BM&F), on dates close to expiration. The models considered are: ARIMA, Neural Networks and Dynamic Linear Models - DLM (this in the classic and bayesian approach). Weekly data, of the...

This paper studies the applicability of time series models as a decision tool of buy and sell orders of live cattle futures contracts in the Brazilian Futures Market (BM&F), on dates close to expiration. The models considered are: ARIMA, Neural Networks and Dynamic Linear Models – DLM (this in the classic and bayesian approach). Weekly data, of the...

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-tes...