Fernanda Perobelli

Columbia University | CU · Division of Finance

Se empresas que atuam em setores com maior restrição financeira tendessem a ser mais conservadoras, formando uma reserva de liquidez, haveria efeitos sobre a estrutura de capital. Assim, pretende-se verificar se a sensibilidade setorial a oscilações na oferta de recursos pelo setor financeiro afeta o grau de ajustamento da estrutura de capital das...

This article analyses the relationship between investment in intangible assets and value creation (measured by Tobin's Q) by the publicly traded Brazilian companies. The article uses the system GMM method for longitudinal data in 208 firms in the Brazilian stock exchange B3 during the period from 2000-2014. We use data from Economatica and Brazilia...

This article empirically test the lower partial moments models, Sortino, Upside Potential Ratio, Omega and Kappa, comparing them with the traditional CAPM, for listed shares of Ibovespa and Dow Jones index. These two classes of models are distinguished in terms of investors' profile assumptions and risk measurement. While the CAPM considers only th...

A case, in portuguese, of financial education intervention, conducted by prof. Fernanda F. Perobelli and group, with discussions in my project and produced by Fernando Berlezi.

Neste trabalho é proposta uma metodologia para elaboração de Matrizes de Contabilidade Social e Financeira (MCSF) para a economia brasileira a partir da união do fluxo de produção das Matrizes Insumo-Produto com fluxos de renda e fluxos financeiros das Contas Econômicas Integradas. São apresentadas MCSF brasileiras elaboradas para os anos de 2005 a...

This article discusses profitability-liquidity relationships on accounting and market levels for 872 shares of publicly-traded Brazilian companies, observed between 1994 and 2013. On the market level, the assumption is that share liquidity is able to reduce some of the risks incurred by investors, making them more willing to pay a higher price for...

Purpose: Verify the effects of the subprime mortgage crisis on firms with different debt levels. Originality/gap/relevance/implications: The study contributes to the literature by examining the financial capital structure of emerging market companies in a context of crisis, in addition to using a robust econometric tool - the quantile regression....

This paper suggests a change in appraising technology innovation. One of the most used approaches to the matter is based on Silva and Santiago (2009), who developed a management model of product development projects. The proposal discussed here modifies the function of sales volume of the above mentioned model based on the idea that some new produc...

The objective of this paper is to estimate, using an event study methodology, the potential competitive effects on the relevant market of the major mergers that occurred in Brazil since the 'Plano Real', a monetary stabilization plan. Furthermore, to verify if the event study methodology is able to properly capture the competitive effects of merger...

Para algumas empresas de capital fechado, a questão não é se ela deve abrir ou não o capital, mas sim quando, ou seja, qual o momento mais apropriado (timing) para realizar a abertura de capital. Nesse contexto, o presente trabalho teve por objetivo verificar se as decisões de Initial Public Offering (IPO) das empresas brasileiras de energia que re...

Abstract: This paper includes a study of the Brasilian Financial and Social Acconting Matrices from 2005 to 2009 in order to highlight the impact of financial flows on the real economy and assess the effects of the global financial crisis on investment and financing decisions of Brazilian companies. It was demonstrated that enter the analysis of fi...

To understand the effects of the financial restructuring provided by firms IPO on workers' wages, this study investigates the existence of wage differentials due to the mobility of workers from publicly traded companies to privately held ones and vice-versa, controlling by the fact that the same firm can change its status by promoting the IPO of it...

Abstract: The theory of real options discussed in this article, works with unusual uncertainties (technical and temporal) and options (of improvement and of speed), which are issues less explored in the options literature and by practioners. Therefore, this work aims to show the applicability of the model proposed by Silva & Santiago (2009), with s...

In this paper we test the cross-sectional Omega CAPM (OCAPM) with the Market Equity variable. There is evidence in the literature that if the Market Equity is included in the regression of the traditional CAPM, the beta becomes redundant. Our objective here is to find out if this result holds for the OCAPM. The data we used covers the period from 1...

Resumo: A defesa da concorrência preocupa-se com o bom funcionamento do sistema competitivo da economia. Ao se assegurar a livre concorrência, garante-se não somente preços mais baixos, mas também produtos de maior qualidade, diversificação e inovação, aumentando, portanto, o bem-estar do consumidor e o desenvolvimento econômico. Neste contexto as...

ABSTRACT: This paper investigates the effects of the number of patents and investments in intangible assets on the market value of Brazilian firms. Despite being subject to considerable theoretical advanced, this literature has few empirical contributions in Brazil. The econometric method used is panel data in order to control for the effects of un...

Volatility measures are a concern on the part of scholars and professionals in the financial market. The recent availability of data at frequencies below a trading day allowed the development of indicators of volatility observable through a measure known as realized volatility. Using high frequency data on Petrobrás shares we construct a measure of...

ABSTRACT This study aim was, using the Forbes and Rigobon (2002) and Corsetti, Pericoli and Sbracia (2005) suggested methodologies, verifying the contagion effect among fifteen economies during eight financial crisis. The study conclusion is that the Corsetti, Pericoli and Sbracia (2005) model is more efficient to detect contagion, once it consider...

ABSTRACT: This work investigates the effects of the Employee Stock Options Plans (ESOP) on the company‟s value listed in the Brazilian capitals market (BOVESPA). ESOP is a mechanism of variable compensation, generally offered to executives, having the alignment of interests between managers and shareholders as one of the goals of its adoption. To a...

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 work investigates the effects of Employee Stock Options Plans (ESOP) on the value of companies in the Brazilian Stock Exchange (BM&FBOVESPA). An ESOP is a mechanism of variable compensation, generally offered to executives, having the alignment of interests between managers and shareholders as one of its goals. To achieve this purpose, a panel...

This work investigates the effects of Employee Stock Options Plans (ESOP) on the value of companies in the Brazilian Stock Exchange (BM&FBOVESPA). An ESOP is a mechanism of variable compensation, generally offered to executives, having the alignment of interests between managers and shareholders as one of its goals. To achieve this purpose, a panel...

Despite the relevance for companies in general of measuring the probability that its cash flow on a certain future date might reach values that would make it impossible for the company to honor its commitments, make investments or choose a more reliable capital structure, discussions on methods capable of indicating such probability are in their ea...

ABSTRACT: This paper analyses 296 small companies located in two important cities of Minas Gerais State according to theirs capital structure. Objective was to verify relationship among companies/managers attributes and short-term and long-term liability. To achieve such objective, Correspondence Analysis was used. Conclusively, evidences against m...

In Corporate Finance, many studies have been analyzed capital structure determinants. However, these studies have been focused on debt and equity choice, instead of debt profile (maturity and source). So on, this study aims to investigate companies attributes able to influence maturity (short or long term) and source (public or public debt) choice...

Abstract: This paper aims to verify market reactions to Employee Stock Options Plans (ESOP) proposals and awards in the Brazilian Stock Exchange from July 1994 to March 2007. In order to achieve such objective, event studies methodology was applied and the original sample (comprised by all companies that adopted ESOP during the survey period) was d...

This paper analyzes the capital structure of 99 small companies. The objectives are to check the desired financing and relationship characteristics between attributes of the company/manager and current and desired short and long term financing using joint and correspondence analyses. In the sample "cost" was the most important factor in the choice...

Este estudo investiga se a política de distribuição de resultados seria capaz de alterar os preços das ações de uma empresa. O objetivo deste trabalho é discutir os impactos do pagamento de proventos sobre os preços das ações, na data ex direito, de empresas maduras e de empresas em expansão, considerando-se ainda o efeito da classe da ação (ordiná...

This study investigates if the results distribution policy is capable of changing the price of a company’s shares. The objective of this work is to discuss the impact that paying dividends has on the share price on the ex dividend date of mature and expanding companies; it also considers the effect that the type of share (ordinary or preference) ha...

This paper analyzes the capital structure of 99 small companies. The objectives are to check the desired financing and relationship characteristics between attributes of the company/manager and current and desired short and long term financing using joint and correspondence analyses. In the sample “cost” was the most important factor in the choice...

This study empirically investigates the influence of a firm's Corporate Governance practices [CG] over its capital structure. Governance quality is measured by a broad index proposed in previous research and constructed for a sample of Brazilian publicly traded companies. We explicitly model the possible bidirectional causality between the construc...

O gerenciamento de riscos é assunto já estabelecido em instituições financeiras. Mais recentemente, o assunto se consolida também em empresas. Nessas, entretanto, discussões sobre a implementação de um método capaz de informar a probabilidade de se observar um nível indesejado de fluxo de caixa numa data futura ainda são incipientes. Visando contri...

Risk management is a subject that, crisis after crisis, assumes a relevant role in the environment of non-financial companies. Despite the growing importance of the subject, debate about the introduction of a model capable of evaluating the risks to which companies are exposed is still in its infancy. Considering this gap and the importance of the...

The present article aims to show the dynamic of bank spreads - defined by difference between the cost of borrowing by financial institutions and lending rates in credit operations - practiced by financial institutions in Brazil. Besides, the article intends to analyse relevant points concerning to reduction of credit costs in Brazil. Such reduction...

Diferentes teorias desenvolvidas ao longo dos últimos 40 anos sugerem que as empresas podem selecionar sua estrutura de capital de acordo com determinados atributos teóricos relevantes. A influência de tais atributos sobre a decisão de financiamento derivaria dos impactos que estes seriam capazes de exercer sobre os custos e benefícios associados à...

Theories suggest that firms select capital structures depending on attributes that determine the various costs and benefits associated with debt and equity financing. With the object of proving this statement, Titman and Wessels (1988) suggested a method that assumes that, although the relevant attributes are not directly observable, we can observe...

This study shows that decisions related to capital structure of Brazilian companies have impacts on market value and that, for most companies, issuance of shares is related to a drop in the price of shares even after this price undergoes adjustments that incorporate the effect on it of newly issued shares. An exception is presented. In the case of...

Desde o início da década de 80, com a grande crise bancária americana de 1982 e anos seguintes, tornou-se evidente a preocupação com os riscos inerentes às instituições financeiras. Confrontadas simultaneamente com crises bancárias generalizadas e com o desenvolvimento de atividades cada vez mais arriscadas pelos bancos, as autoridades responsáveis...

A despeito da falta de consenso entre os teóricos de finanças acerca da relevância da estrutura de capital para o valor das empresas, empiricamente estas tendem a comportar-se como se a estrutura ótima existisse, permanecendo, entretanto, a comprovação dos fatores indutores da estrutura de capital escolhida para cada uma delas uma questão em aberto...

O objetivo do artigo é mostrar que o mercado acionário brasileiro é eficiente em relação à condução de política monetária. No período compreendido entre a Crise Asiática e a Flexibilização do Câmbio, os agentes souberam avaliar corretamente as informações disponíveis e formar expectativas acerca da conduta do governo, mesmo em momentos de crise, pa...

O artigo procura calcular o Valor Presente Líquido de uma carteira de crédito hipotética, estabelecendo uma probabilidade para cada parcela a ser recebida, obtida a partir da comparação entre a estrutura temporal das taxas praticadas no mercado de crédito e da taxa livre de risco. Adicionalmente, compara este resultado com o Valor Presente Líquido...