<p>This paper studies the effects of a new law aimed at state-owned enterprises in Brazil. In particular, it analyzes whether this legislation, promoting improved corporate governance, leads to a reduced perception of risks in the management of these companies and, therefore, in the volatility of their stock returns. To do this, the ArCo (Artificial Counterfactual) methodology is applied, using high-dimensional panel time-series data from 2011 to 2018. Our results show that thirteen out of twenty stocks present a reduction in their volatility, six out of twenty stocks have contradictory results and one stock does not present a statistically significant result.</p>
The focus of the current study was to test the influence of credit availability on economic growth of Brazilian economy. The study time period was from 1951 to 2014 for overall bank credit; while, credit data at sectoral level covered the time period of 1973 to 2014. The annual overall and sectoral data for GDP is based on GDP at factor cost/GVA at basic prices at 2004-05 prices. Different metrics for credit and output is used to test the relationship at an overall as well as sectoral level. The credit growth and GDP growth variables are tested for stationarity using ADF test, PP test and KPSS test. For establishing long term relationship, we utilized Johansen test. For establishing the short-run relationship, we utilized Granger causality test. Data related to the GDP states that there is significant improvement in average growth rate during the 1990s. Co-integration test results as provided indicate that a long-term association between overall growth and overall credit exist for the period of 1952-1992, however, this relationship is not established post1992 time period. Our analysis suggests that there exist a long-term co-integration relationship between manufacturing credit and manufacturing GDP. However, we did not find the relationship between industrial credit and industrial GDP which suggest these are not co-integrated. Overall, our results show that there is correlation between Credit Growth and GDP Growth.
We provide conjectures for what caused the price spiral and the high underpricing of the dotcom bubble of 1999-2000. We raise two conjectures for the price spiral. First, given the uncertainty about the growth opportunities generated by the new technologies and their spillover effects across technology industries, investors saw the infl ow of a large number of high-growth fi rms as a sign of high growth rates for the market as a whole. Second, investors interpreted the wave of highly underpriced IPOs as an opportunity to obtain gains by investing in newly public companies. The underpricing resulted from the emergence a large cohort of fi rms racing for market leadership. Fundamentals pricing at the IPO was part of their strategy. We provide evidence for our conjectures. We show that returns on NASDAQ composite index are explained by the fl ow of high-growth (or highly underpriced) IPOs; the high underpricing can be fully explained by fi rms' characteristics and strategic goals. We also show that, contrary to alternatives explanations, underpricing was not associated with top underwriting, there was no deterioration of issuers' quality, and top underwriters and analysts became more selective.
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