Revista de Gestão, Finanças e Contabilidade

04-29

Authors: Anderson Luiz Rezende Mól, Israel José dos Santos Felipe, Franklin Medeiros Galvão Júnior

The aim of this study is to investigate the existence of persistence and asymmetry in the volatility structure of indexes returns of Mid-Large Cap and Small Cap through models of time series of symmetric and asymmetric GARCH class with Gaussian probability distribution, Student's t and GED distributions. The underlying purpose of the study is that the disclosure of the structure of propagating the volatility of returns of these two theoretical portfolios can provide important elements for proper construction of optimal hedging strategies and risk management. As main results, there is evidence of greater persistence and asymmetry in volatility Small Cap Series The quality criteria used in setting indicated, for both series, one TARCH model with Student's t distribution. The empirical results suggest that the implementation of policies that encourage the use of hedging instruments for equity portfolios should incorporate pronounced persistence of shocks in the volatility. Still, models with t-student distribution obtained better adjustments for the series. The data used represent daily rates between the years 2005 and 2011.

52-76

Authors: Ricardo Adriano Antonelli, Marcelo Chaves Jesus, Ademir Clemente, Ana Paula Mussi Szabo Cherobim, Luciano Marcio Scherer

This study aims to determine the window of event which best explains the relationship between the adhesion or migration to the Differentiated Levels of Corporative Governance ( DLCG) of the BM&FBovespa and the valuation of company stocks. For that, the event study method was adopted, with the adoption of and the Statistical Model of Market was chosen adopted to determine the optimal size of the event window for the relationship between the adhesion or migration to the DLSG and to stock valuation. Windows of different sizes were set within the range of 70 trading sessions around the event. In 49.3% of the cases, there was at least one window in which the effect of the event was significant. The results line up to previous studies by indicating abnormal returns, though they are not enough to determine the window which effectively represents the relationship between the adhesion or migration to DLCG and the stock valuation.

90-106

Authors: Antônio André Cunha Callado, Aldo Leonardo Cunha Callado, Carla Renata Silva Leitão

Event studies have been widely used to investigate the Efficient Market Hypothesis over the last two decades. The objective of this article is to investigate the international stock market reaction of Chinese stock market crisis in February of 2007. To accomplish this study, twelve indexes were investigated (Germany, Argentina, Australia, Brazil, United States of America, France, Hong Kong, India, Indonesia, England, Japan and Mexico). The methodological procedures performed in this study considered both the time window and the event study as well as to investigate possible abnormal accumulated returns. The results obtained demonstrated reactions of some of the stock markets considered to the Chinese crisis. The fall observed in the Sharpe performance index corroborate the significance of the consequences of the crisis. These results obtained point out that that the relative importance of the Chinese stock market in the international scenario must not be underestimated from now on.

123-143

Authors: Hudson Fernandes Amaral, Robert Aldo Iquiapaza, Laise Ferraz Correia, Gustavo Henrique de Oliveira Amaral, Marcos Villela Vieira

In this paper, we analyze models to evaluate the intangible assets - more precisely, patents - in two approaches: one traditional, which encompasses the discounted cash flow model; and another heterodox, namely the real options theory. First, we discuss the relevance of the evaluation process and investment analysis in innovation as well as the relevance of the economic and financial evaluation in Brazil and worldwide. In this perspective, the investment in innovation starts a cycle that works as a strong driver of the nation’s wealth. The analysis of the results found is presented in the case study of a technology transfer at a Higher Education Institution – HEI. We consider that the technology is protected (by a patent) in the first simulation and that has no protection (without a patent) in the second simulation. To carry out this procedure, we discuss the pricing of intangible assets and the application of those methods in each circumstance proposed in the case study. The results show a significant superiority of the model with patent compared to the model without patent, even though these results also reveal the need of additional researches to improve evaluation of patents through the real options theory. Finally, the analyses suggest that the process to get the patent of a technology developed by the HEI can increases its transfer value. The models can also be used as a parameter in defining the value of technology transfer in the HEI.