Ciências Contábeis

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Programa de Pós-Graduação em Ciências Contábeis

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Navegando Ciências Contábeis por Assunto "Ações (Finanças)."

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    Ativismo de acionistas no mercado acionário brasileiro : evidências e determinantes em empresas listadas na BM&FBovespa
    (Universidade Federal do Espírito Santo, 2013-09-20) Vargas, Luiz Henrique Fernandes; Bortolon, Patricia Maria; Barros, Lucas Ayres Barreira de Campos; Almeida, José Elias Feres de
    This study aims at verifying the characteristics and determinants of shareholder activism in public Brazilian companies. Shareholder activism means the attempt of shareholders to cause alterations in the company, without changing its control structure, as defined by Gillan e Starks (2007). The sample is made up of 322 companies for the year 2010 and 347 companies for 2012. The study analyzed minutes of the ordinary meetings, media news on activism, and complaints at the Brazilian Securities and Exchange Commission (CVM). In order to achieve our goals and show shareholder activism in the sample, an index made up of seven questions was employed, as well as logistic regression and multiple linear regression. The results show the existence of shareholder activism expressed in the minutes through proposals made before and during the meetings, opposing votes and refusal of proposals presented, as well as search for representation in board of directors and audit committee through the election effective members by minority shareholders. Evidence of shareholder activism was verified in news of that period, mainly incorporation events and capital closing operations. Because of the interest these events aroused in the media, the news about them were republished, which led to an increase in the figures from one year to another. As far as the proceedings filed at the Brazilian Securities and Exchange Commission are concerned, there was a decrease from 2010 to 2012, even though there was an increase in proceedings concerning “measures adopted by company’s administrator and/or controller". The Shareholder Activism Index showed the highest score for five of the seven questions for only two of the sample companies in the study period. The chances of a company to target of activism are negatively affected by return on equity and ownership concentration, and positively by firm size, board size , number of proposals during meetings and quantity of shareholders; both individuals and corporations. However, when using the variable “number of individual shareholders”, no statistical significance was found for the model referring to complaints filed at CVM. For companies that had been target of activism, multiple linear regression and activism measured by the index showed that the company is negatively affected by leverage, and positively affected by firm size and quantity of individual shareholders. Therefore, this study is a contribution the literature on shareholder activism in the Brazilian stock market by showing the existence of the former through methodology different from what had been used in international studies, i.e. analyzing three aspects: meeting minutes, media news, and complaints filed at Brazilian Securities and Exchange Commission. This variety of information allows verifying this phenomenon that is frequently analyzed in international studies, but scarcely investigated in the Brazilian market.
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    Estágios do ciclo de vida definidos com base nos fluxos de caixa como fator de risco no modelo de precificação de ativos
    (Universidade Federal do Espírito Santo, 2017-04-27) Faller, Renato Loureiro; Bortolon, Patrícia Maria; https://orcid.org/0000-0001-7965-9577; Cunha, Cláudio Márcio Pereira da; Motoki, Fábio Yoshio Suguri
    This study investigates the capacity of firms' life cycle stages to describe the return of stocks, specifically, combined in the three-factor model of Fama and French. The approach proposes the use of a factor constructed from the stages of the life cycle, called MMG - Maturity Minus Growth -, which is the difference between the returns of the portfolios composed of mature firms’ stocks and the returns of the portfolios formed by growth firms’ stocks as an alternative to HML - High Minus Low - due to possible distortions arising from the book-to-market in order to test whether there is gain in the capacity of model to capture the return of the stocks. The sample is composed of non-financial companies listed on the BM&FBOVESPA in the period from 2008 to 2016. For the classification of companies in stages of the life cycle is employed the method of Dickinson (2011), in which combinations of the cash flow signals are used to determine the stage the company is. In determining of the market factor, the Ibovespa is used as benchmark and the T-Bond nominal rate (issued by the Treasury of the United States of America) plus Brazil country risk is used as risk-free rate. Three regression models are estimated: the first is the three-factor model in its traditional form; The second is a four-factor model, in which there is the addition of factor derived from the life cycle stage - called MMG; And the third is the modified three-factor model in which the HML factor is replaced by the factor constructed from the stages of the life cycle. First, the regressions are estimated for the period from 05/2009 to 10/2011, in an in-sample procedure. The results of this approach indicate that the MMG factor is positively related to the returns of the study stocks. Then the out-of-sample analysis is performed for the period from 11/2011 to 04/2016, testing which of the models provides better forecasts for the portfolios. In the comparison of the predictions related to the effective returns, the test of Diebold and Mariano (1995) is used to verify which of the models presents precision in the forecast statistically superior to the others. It is observed that the models 1 and 3 show balanced performance in the predictions of returns. Further, the results, both in the in-sample approach and in the out-of-sample approach, indicate a complementary relationship between HML and MMG factors. That is, the MMG factor worked well for the portfolios where HML did not work, and the opposite also occurred