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Este trabalho busca analisar a capacidade das empresas brasileiras de se apropriarem de benefícios associados aos investimentos em P&D, seguindo a metodologia proposta por Cohen, Dietther e Malloy (2013), a fim de refletir a capacidade das firmas em converter tais investimentos em vendas (habilidade em vendas). Durante o período de 07/2009 a 07/2014 foi analiso um total de 48 empresas. Além da habilidade em vendas, este trabalho propõe uma nova medida que incorpora os benefícios das inovações em custos (habilidade em margem). Os resultados indicam que, de fato, o mercado de capitais parece ignorar a habilidade de as empresas alocarem seus orçamentos de P&D com eficiência e sugerem que as inovações associadas ao incremento das vendas produzem retornos futuros maiores do que aqueles associados à redução de custos.

In the 21st century, digital currencies have become a disruptive technology that is shaking up both financial markets and academic environment. Investors, politicians, companies, and academics are attempting to improve their understanding of these currencies for future investment possibilities and technological applications. This study aims to evaluate changes in different volatility states of eight digital currencies (BTC, ETH, LTC, XRP, XMR, NEM, LISK, and STEEM) that showed the highest liquidity and market capitalisation from 2013 to 2017. The methodology involved the MSGARCH model, using SGARCH, EGARCH, GJRGARCH, and TGARCH models. Our study demonstrated that two volatility regimes, that is, one with a larger volatility and another with a smaller one, clearly exist for all the analysed cryptocurrencies. What differs between the currencies is the probability of a second regime occurring. Moreover, we concluded that for both the first and second state, the asymmetry coefficient (gamma) is positive for all currencies.

Fundos de investimento Private Equity e Venture Capital (PE/VC) investem principalmente em empresas de capital fechado (de maior porte e em fase inicial respectivamente). Sua atuação junto as companhias, tem como objetivo proporcionar rápido crescimento e desinvestir com elevada rentabilidade. O objetivo deste trabalho é investigar a relação entre a participação de fundos PE/VC antes da oferta pública inicial (IPO) e o desempenho de longo prazo das ações das companhias pós-IPO. Para tanto, as empresas foram divididas por setor econômico de atuação e duas análises foram realizadas: buy and hold e retorno anormal acumulado (CAR). Foi constatado que empresas com presença prévia de fundos PE/VC tiveram melhor desempenho nos setores de Consumo, Exploração Imobiliária, Saúde e Utilidade Pública. As regressões apontaram que a participação dos fundos influencia o CAR no período de seis meses no pós-IPO. Não foram encontradas evidências significativas desses fundos nos retornos de longo prazo.

This study aims to analyze risk preferences in Brazil based on prospect theory by estimating the risk aversion parameter of the expected utility theory (EUT) for a select sample, in addition to the value and probability function parameter, assuming various functional forms, and a newly proposed value function, the modified log. This is the first such study in Brazil, and the parameter results are slightly different from studies in other countries, indicating that subjects are more risk averse and exhibit a smaller loss aversion. Probability distortion is the only common factor. As expected, the study finds that behavioral models are superior to EUT, and models based on prospect theory, the TK and Prelec weighting function, and the value power function show superior performance to others. Finally, the modified log function proposed in the study fits the data well, and can thus be used for future studies in Brazil. KEYWORDS |

Resumo: A preferência ao risco é um fator importante que influencia uma ampla gama de decisões financeiras pessoais (SNELBECKER; ROSZKOWSKI; CUTLER, 1990) e é definida como a quantidade máxima de incerteza que alguém está disposto a aceitar ao tomar uma decisão financeira ou a disposição de se envolver em comportamentos cujos resultados são incertos com possibilidade de se ter um resultado negativo identificável (IRWIN, 1993). Nesse contexto, a Teoria do Prospecto surge como um modelo alternativo descritivo de escolha sob incerteza. Tendo em vista a importância crescente da influência de aspectos comportamentais no ambiente financeiro, neste estudo buscou-se analisar as preferências ao risco no Brasil seguindo os preceitos da Teoria do Prospecto. Para tal, por meio de questionários de loterias (utilizadas no estudo de RIEGER; WANG; HENS, 2011), foram estimados para uma amostra de estudantes e profissionais, os parâmetros das funções valor (com inclusão da função logarítmica modificada) e peso, supondo diversas formas funcionais, para então associar esses parâmetros a determinadas variáveis sociodemográficas. Não foram encontrados estudos precedentes com o objetivo de realizar essa análise no Brasil, sendo que com base na literatura revisada, pôde-se perceber similaridades e divergências. A análise por gênero, estado civil, faixa etária e renda mostra relativas similaridades com outros estudos em países desenvolvidos e em desenvolvimento. Entretanto, o nível educacional mostra resultados contrários ao esperado e a análise por profissão chega a resultados inconclusivos.Palavras-chave: Finanças comportamentais. Teoria do Prospecto. Função valor. Função peso. Brasil. Prospect Theory: determinant factors in risk preferences in Brazil Abstract: Risk preference is an important factor that influence a wide range of personal financial decisions (SNELBECKER; ROSZKOWSKI; CUTLER, 1990) and is defined as the maximum amount of uncertainty that someone is willing to accept when making a financial decision or the disposition of to be involved in behaviors whose results are uncertain with the possibility of having an identifiable negative result (IRWIN, 1993). In this context, the Prospect Theory emerges like a descriptive alternative model of choice under uncertainty. Given the increasing importance of the influence of behavioral aspects in the financial environment, this study sought to analyze the risk preferences in Brazil following the precepts of the Prospect Theory. To this end, with lottery questionnaires (used in the study by RIEGER; WANG; HENS, 2011), were estimated for a sample of students and professionals, parameters of value (with inclusion of the modified logarithmic function) and weight functions assuming various functional forms, and then associate these parameters to certain socio-demographic variables. No previous studies were found in order to perform this analysis in Brazil, and based on the literature reviewed, we could realize some similarities and differences. Analysis by gender, marital status, age and income shows similarities with other studies in developed and developing countries. However, the educational level shows results contrary to expected and the analysis by profession comes to inconclusive results.Keywords: Behavioral finance. Prospect Theory. Value function. Weight function. Brazil.

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This article sought to understand the behavior of young low-income university students through an experiment based on prospect and hyperbolic discounting theory, with risk and time preferences, and their relationships with financial literacy with regard to choice probability distortions. There is a notable lack of studies that simultaneously address risk and time preferences in low-income urban groups, relating experiments based on prospect theory to capture probability distortions in choice processes. This study opens the doors for the question of the relationship between poverty and risk and time preferences to be better discussed in Brazil with the aim of providing evidence that supports national financial literacy plans. The study shows the importance of financial education as a means of reducing agents’ probability distortion. This is crucial, given that probability distortion is one of the pillars of prospect theory. This experiment was based on prospect and hyperbolic discounting theory and used value, weight, and quasi-hyperbolic discounting functions within a maximum likelihood methodology to estimate the risk and time parameters with sociodemographic variables, and with the Financial Literacy Index moderating variable, in a private HEI, with 54 students and 5,940 lotteries. It was observed that low-income urban populations in emerging economies have similar risk and loss aversion parameters to rural populations in developing countries. Low-income students have a greater preference for the present, with it being perceived that a small increase in income is associated with a higher level of patience, making decisions more rational. A better financial education could lead to a smaller probability distortion.