No abstract

No abstract

ResumoO objetivo deste artigo foi avaliar, no setor de energia elétrica, se a composição dos conselhos afetam o valor e o desempenho das empresas. Para tal foi feito um levantamento bibliográfico com aplicação em um estudo de caso empírico do setor em questão. Foram utilizados dados secundários baseados em uma amostra de 38 companhias de grande porte no período de 2005 a 2010, cujas ações são negociadas na BM&FBOVESPA. Os resultados das regressões em painel apontam que o tamanho do conselho de administração e a independência do conselho apresentaram relação positiva, ao passo que a porcentagem de mulheres no conselho não apresentou relação positiva com as variáveis de desempenho.

No abstract

Purpose The purpose of this paper is to present the results of a study on investor behavior in exchange-traded fund (ETF) markets. The standard feedback trading model of Sentana and Wadhwani (1992) is used in a sample of 18 ETFs contracts in Brazil, China, South Africa, Korea, Mexico and India, as well as three ETFs contracts in the US market. Design/methodology/approach The sample includes data on daily closing prices and net asset values (NAVs) for three ETFs from each of the emerging markets of Brazil, China, Mexico, Korea and India, as well as on three ETFs from the US market. The authors used the earliest start date available in the Thomson Reuters database pertaining to all of the ETFs, and all series ended on May 5, 2017, and applied the well-established Santana and Wadhwani (1992) seminal model to evaluate evidence of feedback trading in the sample. Findings The empirical analysis suggests that there is evidence of feedback trading in emerging markets such as Brazil, Korea, Mexico and India, while there is no such evidence for the US market. The results are consistent with the view that developed markets investors are prone to pursue fundamental-driven investment strategies, while emerging markets investors appear to have informational guided behavior. Research limitations/implications Emerging markets still make up a very small part of the global ETF market, led by the USA. Nevertheless, it is extremely important that studies of this nature be gradually expanded as these markets grow, in order to verify how emerging markets compare to their developed counterparts in terms of the efficiency of information sharing and rationalization of its operations. Practical implications Emerging markets policy makers could benefit from these findings by stimulating new mechanisms that could minimize informational asymmetry and the persistence of so-called noise traders, a phenomenon observed recently in studies regarding ETF markets (Brown, Davies and Ringgenberg, 2018). Originality/value The behavior of investors was investigated by analyzing a sample of 18 ETFs from the emerging markets of Brazil, China, South Africa, Korea, India and Mexico, as well as three ETFs from the US market. Despite of being investigated separately both emerging (Charteris et al., 2014) and developed markets (Chau et al., 2011), the innovation consists in comparing those markets in a single study, pursuing to explain potential reasons for the differences observed between developed and emerging markets.

No abstract

Internal operational risk models have not yet been established as a methodology for calculating regulatory capital. These models, which must be integrated with operational risk management, have been criticized for the subjectivity of some of their fundamental elements. The purpose of this paper is to demonstrate the use of the "scenario analysis" element in the Loss Distribution Approach (LDA) methodology for calculating regulatory capital relative to operational risk, based on the experience of the Brazilian Development Bank (BNDES) in integrating operational risk management with the measurement of capital. The proposed methodology, which applied the Delphi technique through questionnaires, enabled: (i) the measurement of regulatory capital considering feasible scenarios; (ii) the identification of tail and body scenarios for the aggregate distribution of losses, which are not reflected in the internal loss database; (iii) the identification and comprehensive measurement of BNDES’s operational risks; (iv) the obtainment of information that can guide risk management with regard to identifying risks that must be given prioritized treatment; (v) the development of a risk culture, with a view to involving specialists from different units; (vi) the use of a methodology that can be understood by all business experts, who are the ones that are aware of the risks of their activities.

No abstract