RESUMOA teoria de opções é a melhor abordagem para integrar estratégia e finanças, pois considera, analiticamente, as opções de crescimento e as flexibilidades gerenciais, ou as formas de adaptação às mudanças do ambiente empresarial, que são o cerne da estratégia empresarial. Um projeto pode ser considerado como uma série de opções reais, como, por exemplo, postergar o investimento, contrair ou expandir a escala de produção, abandonar temporária ou definitivamente o projeto e investir em projetos dependentes deste primeiro. As opções reais são avaliadas de maneira análoga às opções financeiras. ABSTRACT Option theory is the best approach to integrate finance and strategy. It quantifies growth options and management flexibility, that are the heart of business strategy. A project can be viewed as a set of real options, as defer the investment, expand or contract operational scale, abandon, temporarily or definitively, investments in subsequent projects, switching inputs and outputs. Real options can be precified in a way analogous to financial options. PALAVRAS-CHAVE: Opções reais, teoria de opções, flexibilidade gerencial, integração entre estratégia e finanças.

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Our objective is to examine whether a rating change or Credit Watch announcement has a significant impact on Latin American stock prices. We conducted an event study to analyze stock market reaction to such news in the four major Latin American economies: Argentina, Brazil, Chile and Mexico. We find similar results to those previously observed in the literature, wherein the impact is quite significant for rating downgrades but less relevant for rating upgrades and Credit Watches. We also run cross section regressions to investigate which variables best explain the impact rating changes announcements have on stock prices in these countries. The results indicate that the most significant variable is the absolute change in the number of notches for downgrades. We conclude that credit ratings are relevant information in Latin America.

We intend to investigate whether active portfolio managers have higher security selection ability than passive managers in Brazil. We built net monthly historical returns and estimated gross historical returns series from January 1996 till October 2006 of 626 stock mutual funds. We used the regression model proposed by Carhart (1997) with the addition of a market timing factor and analyzed the alpha coefficient sign and significance. Our results show that a significant number of managers exploit well-known strategies as size, book-to-market ratio, momentum and market timing. When we use net returns series as the dependent variable, we find that only 4.8% of active portfolios have positive and significant alphas. Active portfolio performance on average is not significantly different than passive portfolio performance. But when we run the regressions using the estimated gross returns, we found that 10.3% of active funds have positive and significant alphas, and on average the performance of active funds is significantly positive. Our results are in accordance with Jensen’s (1978) version of efficient market, in which asset prices reflect existing information till the moment when marginal benefits of using information do not exceed marginal costs.

O objetivo deste trabalho é verificar se séries históricas de preços das ações no mercado brasileiro têm algum poder de prever retornos futuros, o que entraria em contradição com a hipótese de que os preços se comportam de acordo com um passeio aleatório. A metodologia utilizada consistiu em estimar modelos de previsão de retornos futuros com base em retornos passados, ordenar ações por retorno previsto e alocá-las mensalmente em dez carteiras pela posição na classificação, comparando os retornos dessas dez carteiras com os retornos de equilíbrio de mercado. Observou-se que a carteira com maior retorno previsto obteve um desempenho significantemente superior ao do equilíbrio de mercado, e que a de pior retorno previsto teve um desempenho significantemente inferior. Esse resultado indica que as séries de preços passados contêm algum poder de previsão. Uma das explicações possíveis para esse fato tem origem em razões behavioristas.

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Purpose Although credit unions are nonprofit organizations, their objectives depend on the efficient management of their resources and credit risk aligned with the principles of the cooperative doctrine. This paper aims to propose the combined use of credit scoring and profit scoring to increase the effectiveness of the loan-granting process in credit unions. Design/methodology/approach This sample is composed by the data of personal loans transactions of a Brazilian credit union. Findings The analysis reveals that the use of statistical methods improves significantly the predictability of default when compared to the use of subjective techniques and the superiority of the random forests model in estimating credit scoring and profit scoring when compared to logit and ordinary least squares method (OLS) regression. The study also illustrates how both analyses can be used jointly for more effective decision-making. Originality/value Replacing subjective analysis with objective credit analysis using deterministic models will benefit Brazilian credit unions. The credit decision will be based on the input variables and on clear criteria, turning the decision-making process impartial. The joint use of credit scoring and profit scoring allows granting credit for the clients with the highest potential to pay debt obligation and, at the same time, to certify that the transaction profitability meets the goals of the organization: to be sustainable and to provide loans and investment opportunities at attractive rates to members.