Feedback to SSRN (Beta)
What type of feedback would you like to send?
Abstract: The pecking order theory, or preferences in terms of sources of finance, is an important proposal to explain the financing decisions, and firm's capital structure. Recent publications had criticized this theory, alleging that it would not be a valid explanation for capital structure decisions, and accusing of methodological flaws in previous proofs. The aim of this article is to test the pecking order propositions, through a new methodology, applied to a sample of companies listed at São Paulo stock exchange, in the period 1998-2005. When the complete sample is used, it seems that we cannot reject the pecking order. The adherence is different by sub period, being smaller between 2002 and 2005. But, when the companies are grouped according to size, profitability and growth, it is noticed that the support to the theory, in general, disappears as the companies are more lucrative and of larger size. These results contradict previous studies in Brazil on the pecking order theory and they are in line with recent literature statements about the methodological flaws and the validity of the pecking order as theory able to explain the firm's capital structure.
Capital structure, Financing Decisions,Pecking Order, Deficit
Abstract: 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 observed that around the fifties and sixties of the twentieth century there was a methodological and theoretical revolution in finance research that, due to the adoption of the foundations of the positivist functionalism, took this to be more normative, quantitative and close to the natural sciences, losing their classic characteristics of being positive, and the recognition of its capacity of affecting the research object, the individuals and companies' financial behavior. Only in the last two decades there seems to be some alternative proposals, among them behavioral finance studies. That approach had shown important contributions to finance studies, even though is being hardly challenged by the dominant paradigm.
Finance research, Epistemology, Paradigm, Modern finances, Behavioral finance
Abstract: 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. 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 a AR(1) model and an buy and hold strategy. Considering the risk, for transaction costs of 0.035% per trade, the autoregressive model allowed a Sharpe index 20% bigger than the buy and hold strategy.
Return forecast, Non linear models, Ibovespa index, Trading volume, Brazil
Abstract: 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 with restricted M-estimators. The significant determinants were: the excess of return in relation to the savings account rate, the growth of per capita GDP, the lower interest rates and the less volatility or risk. The introduction of valuation at market prices for fixed income assets, in circumstances of instability in the market, national and international, motivated important redemptions in 2002. Furthermore, for investors of exclusive funds were identified indicators of larger sophistication. These results permit to define strategies for managing these institutions.
net money flows, fixed income funds, mutual fund industry, M-estimators, econometric models.
Abstract: 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 results indicate that the two categories did not present any significant statistical difference in terms of the mean return in the period. However, differences in the variance along the period generated a better risk x return relation for the fixed income funds, a result that is associated with the high interest rates that were experienced during that period.
Investment Funds, Mutual funds, Sharpe Index, Sortino Index, Brazil
Abstract: The financial restrictions affect the business conduct, especially in the cash flow financial management to undertake good investment projects. The aim of this study was to identify what the proportion and characteristics of companies that have an active cash management policy. For both, we used to the panel data regression techniques with financial information related to cash flow of 158 companies listed at the Sao Paulo Stock Exchange in the period 1996 to 2005. Only 27 (17.1%) of companies in the sample study had a cash policy consistent with the model of financial constraint and active management of cash flow. These companies have a positive and statistically significant coefficient of cash flow sensitivity of cash. These companies with financial constraint on average generate a less cash flow as a percentage of assets, undertake fewer investments, have worse liquidity and debt indicators and are smaller in size.
Financial policy, Financial constrains, Cash management, Cash flow, Open companies, Brazil
© 2009 Social Science Electronic Publishing, Inc. All Rights Reserved. Terms of Use Privacy Policy This page was served by apollo2 in 0.110 seconds.