Mestrado em Contabilidade, Fiscalidade e Finanças Empresariais; A IAS 39 - Instrumentos Financeiros: Reconhecimento e Mensuração refere como evidência objectiva de imparidade um declínio significativo ou prolongado no justo valor do ativo. O que significa um declínio significativo não está definido no IAS 39. Este artigo mostra que 202 instituições financeiras europeias cotadas utilizam julgamentos diferentes sobre a expressão de declínio significativo no justo valor nas demonstrações financeiras de 2010. Apesar das instituições financeiras aplicarem o mesmo princípio contabilístico, as demonstrações financeiras não podem ser inteiramente comparáveis, contrariando um dos objectivos do Regulamento (CE) n º 1606/2002 do Parlamento Europeu. Neste trabalho, propomos uma orientação específica com base nos fundamentos teóricos do modelo de Black-Scholes, a fim de superar parcialmente a lacuna na IAS 39 de não fornecer critérios mais específicos para a classificação de investimentos em títulos classificados como disponíveis para venda. O modelo proposto permite uma aplicação coerente da IAS 39.61 e restringe parcialmente o julgamento dos gestores na aplicação do conceito de declínio significativo para eventos específicos. Levando em consideração as simulações...
Mestrado em Gestão/ Classificação JEL: C21; E31.; The 2008 economic downturn triggered significant fluctuations in several scopes,
namely in the automotive industry. The purpose of this dissertation is to analyse the
influence of the current crisis on the sale price of second hand vehicles. A linear
regression model was estimated using the Ordinary Least Squares procedure, based on a
sample of used cars sold in Portugal, since 2005 to 2012. Macroeconomic variables
such as Unemployment Rate, Oil Prices, Loans granted to Private Individuals, Private
Consumption Indicator, Harmonized Index of Consumer Prices, among others, were
tested in the estimated regression. In addition, some variables representing the own
vehicle characteristics were also included. Finally, an out-of-sample analysis was
performed to evaluate the predictive ability of the linear regression model. Results
suggested that some of the selected macroeconomic indicators actually influence the
sale price of an automobile sold in the secondary market and due to its predicting
capacity can be useful to pricing procedures or just for asset valuation.; A recessão económica de 2008 desencadeou flutuações relevantes em diversos
âmbitos, nomeadamente na indústria automóvel. O objetivo desta dissertação é analisar
a influência da atual crise no preço de venda dos carros em segunda mão. Para tal...
Land assets have become an important
source of financing capital investments by subnational
governments in developing countries. Land assets, often with
billions of dollars per transaction, rival and sometimes
surpass subnational borrowing or fiscal transfers for
capital spending. While reducing the uncertainty surrounding
future debt repayment capacity, the use of land-based
revenues for financing infrastructure can entail substantial
fiscal risks. Land sales often involve less transparency
than borrowing. Many sales are conducted off-budget, which
makes it easier to divert proceeds into operating budgets.
Capital revenues from sales of land assets exert a much more
volatile trend and could create an incentive to appropriate
auction proceeds for financing the operating budget,
particularly in times of budget shortfalls during economic
downturns. Furthermore, land collateral and expected future
land-value appreciation for bank loans can be linked with
macroeconomic risks. It is critical to develop ex ante
prudential rules comparable to those governing borrowing...
Ownership and control over assets such
as land and housing provide direct and indirect benefits to
individuals and households, including a secure place to
live, the means of a livelihood, protection during
emergencies, and collateral for credit that can be used for
investment or consumption. Unfortunately, few studies -
either at the micro or macro levels- examine the gender
dimensions of asset ownership. This paper sets out a
framework for researchers who are interested in collecting
data on individual level asset ownership and analyzing the
gender asset gap. It reviews best practices in existing
surveys with respect to data collection on assets at both
the household and individual levels, and shows how various
questions on individually owned assets can be incorporated
with a minimum of effort and cost into existing multi-topic
household surveys, using examples of three Living Standard
Measurement Study surveys: the 1998-99 Ghana survey, the
2000 Guatemala survey, and the 1997-98 Vietnam survey
questionnaires. The analysis shows that it is feasible to
add a minimal set of questions to enable calculation of the
gender asset gap. Adding a series of extra questions will
permit a more satisfactory and nuanced analysis of asset
Previous empirical analyses have found
that bank privatizations are more successful when the
government fully relinquishes control, when the bank is
privatized to a strategic investor, and when foreign-owned
banks are allowed to participate in the bidding. The
privatization of Uganda Commercial Bank (UCB) to the South
African bank Stanbic met all these criteria, suggesting that
it is a likely candidate for success. But other features
suggest reasons for caution: UCB dominated the Ugandan
banking sector prior to privatization and the institutional
environment in Uganda was less favorable than in many of the
middle-income countries looked at in earlier empirical
studies. Despite these concerns, the privatization appears
to have been relatively successful. The portfolio of the
privatized bank, which was cleaned prior to sale, remains
relatively strong and profitability and credit growth are
now on par with other Ugandan banks. Though market
segmentation remains a concern since Stanbic faces little or
no direct competition in many remote areas...
In this issue: money for nothing: the
dire straits of medical practice in Delhi, India; World Bank
research digest: an effective way to disseminate research
findings; bank supervision and corruption in lending; who
benefits from residential water and electricity subsidies?
Child labor and agriculture shocks; market access for sale;
and public disclosure: a tool for controlling pollution.
This paper presents first concepts and insights on an International Carbon Asset
Reserve. In particular, it explores how different design options can support a range of networked carbon pricing efforts. The report provides an overview of key risks in carbon markets, highlights the benefits of pooling risks on an aggregated scale,
and identifies potential design options and structures for an international carbon asset reserve. The paper contributes to the wide effort to promote a long-term price on carbon and carbon market stabilization, comparability, and networking.
Currently, the legitimate transfer of ownership of an asset occurs either through voluntary means--gift, bequest, sale--or through the use of state power--compulsory acquisition, resumption, eminent domain, court order. In Australia and elsewhere, compulsory acquisition of private property is followed by the payment of compensation, which may be too little or too great. This paper outlines an auction mechanism that is intermediate between the forced resumption of water entitlements and their voluntary sale. To be effective, the mechanism requires there to be competitive bidders in the auction; so the mechanism would work best if there were an end to collusion between public agencies in the water market. The seller would be an irrigation district, which would be compelled by government to engage in the auction. The proceeds of any auction sale would be distributed to the individual irrigators, according to fixed and known fractional shares. However, in contrast with the use of forced resumption, under the Shapiro--Pincus mechanism no sale would be made unless each individual irrigator receives at least what he or she has nominated as a minimum required payment. This guarantee would be secured through the use of a secret reserve for the auction of the district's water entitlements. The combination of a secret reserve...
This article analyzes the legislation and institutions connected with creditor rights and insolvency proceedings in Colombia. It aims to contribute to the debate on the conditions required to restore the vitality of the Colombian credit environment. In relation to creditor rights, there is a particular emphasis on mechanisms for establishing security interests used in granting corporate credit. The analysis identifies the principal factors affecting the efficiency of security interests. These include deficiencies in substantive and procedural law, as well as in registry organization. The paper goes on to analyze the legal, institutional and regulatory framework for insolvency proceedings, identifying weaknesses and highlighting strengths that insolvency reforms should aim to preserve. The need for attention to corporate workouts and prepackaged reorganization agreements is also addressed. The paper concludes with prioritized recommendations for a plan of legal and institutional reform intended to improve the credit environment, creditor protection and enable the establishment of a more balanced insolvency system. Applying the recommendations to Senate Bill 207/05 (Insolvency Regime) makes it possible to identify the strengths of the Bill...
This toolkit is designed to assist
authorities in resolving troubled banks. It provides generic
forms that can be adapted for use in planning supervisory
actions or implementing resolution processes. This toolkit
contains forms that are generic and will need to be tailored
to the particular country laws and circumstances. The
toolkit also contains a least cost or lesser cost model and
explanatory guide that provide diagnostic tools to assist
authorities in estimating the costs of various resolution
methods. The least cost or lesser cost model can also be
used to value various assets that may be offered for sale as
part of the resolution process. In some circumstances, the
decision will be made to liquidate a bank at the end of a
long period of utilizing other supervisory tools to try to
rehabilitate the bank, thereby providing the authorities
with adequate time to gather information about the problem
bank and prepare a plan for its closure. In other
circumstances, the authorities will have little time to plan
for a bank's closing and will have to rely on their
general crisis preparedness tools to handle the resolution
process as efficiently as possible. Whichever circumstances
International mutual funds are key
contributors to the globalization of financial markets and
one of the main sources of capital flows to emerging
economies. Despite their importance in emerging markets,
little is known about their investment allocation and
strategies. This article provides an overview of mutual fund
activity in emerging markets. It describes their size, asset
allocation, and country allocation and then focuses on their
behavior during crises in emerging markets in the 1990s. It
analyzes data at both the fund-manager and fund-investor
levels. Due to large redemptions and injections, funds'
flows are not stable. Withdrawals from emerging markets
during recent crises were large, which is consistent with
the evidence on financial contagion.
Municipal land sales provide one option for financing urban infrastructure investment. In countries where land is owned by the public sector, land is by far the most valuable asset on the municipal balance sheet. Selling land or long-term leasing rights to land use while investing the proceeds in infrastructure facilities can be viewed as a type of portfolio asset adjustment. This paper shows that in China many municipalities have financed more than half of their high rates of infrastructure investment from land sales, for periods of 10 to 15 years. Much of the remaining investment has been financed by municipal borrowing against the collateral of land values. Other countries also have turned to land sales and leasing for infrastructure finance. From a local perspective, land sales have the advantage that they typically are free from the intergovernmental restrictions that require higher-level approval for increases in local tax rates or user fees and that restrict local government borrowing. However, financing municipal infrastructure investment through land sales creates special risks that are not recognized in most intergovernmental fiscal frameworks. One danger involves the use of proceeds to finance operating budgets. Risk exposure is exaggerated by the highly volatile nature of urban land markets and evidence that in some countries urban land values in 2006 reflected a real estate bubble. In the past...
This paper considers the historical
origins and efficacy of enforcement of civil court
judgments, with a special focus on court auctions. It
reviews the procedural and practical options available to
courts and associated agencies for the identification of
assets that may be used to satisfy a judgment debt and the
processes for court-supervised asset seizure and sale by
public auction. The efficiencies of public court auction
processes are considered, including the elements of
enforcement systems that can produce sub-optimal returns on
sold assets and higher incentives for corrupt practices.
Also considered is the trend in some systems for greater use
of private agents as a means by which the cost of court
enforcement processes can be reduced and for overcoming
sometimes lengthy delays in enforcement. The paper concludes
by identifying alternatives to public auction that in some
cases can offer better prospects of assuring full payment of
a judgment debt.
Theoretical papers link the liquidity
premium to the optimal trading decisions of investors facing
transaction costs. In particular, investors' holding
periods determine how transaction costs are amortized and
priced in asset returns. Using a unique data set containing
two million trades, this paper investigates the relationship
between holding periods and transaction costs for 66,000
households from a large discount brokerage. The author finds
that transaction costs are an important determinant of
investors' holding periods, after controlling for
household and stock characteristics. The relationship
between holding periods and transaction costs is stronger
among more sophisticated investors. Households with longer
holding periods earn significantly higher returns after
amortized transaction costs, and households that have
holding periods that are positively related to transaction
costs earn both higher gross and net returns. The author
shows that there is correlation in the demand for liquid
assets across households and...
The emergence in the 1990s of a nascent
project bond market to fund long-term infrastructure
projects in developing countries merits attention. The
authors compile detailed information on a sample of 105
bonds issued between January 1993 and March 2002 for
financing infrastructure projects in developing countries,
document their contractual covenants, and analyze their
pricing determinants. They find that on average, project
bonds are issued at approximately 300 basis points above
U.S. Treasury securities, have a surprisingly high issue
size of US$278 million, a maturity of slightly under 12
years, and are rated slightly below investment grade. In
terms of geographic origin, projects in Asia and Latin
America have issued more bonds than those located in other
regions. Much of the recent work relating to the role of
contractual covenants to the determination of bond prices
has focused on the U.S. corporate bond market with its
unique bankruptcy code - Chapter 11 - and well developed
legal framework, recognizing the bond contract as the sole
instrument of defining the rights and duties of various
parties. In circumstances in which the underpinning legal
and institutional frameworks governing contract formation
and enforcement are not well developed...
This dissertation investigates the impact of central banks' asset purchase programs on the economy and the role of frictions in the corporate loan markets. It builds a series of models with trading and information frictions in goods market and credit market. Chapter 1 introduces the main idea in this thesis and presents a review on central banks' asset purchase programs and unconventional monetary policies.
Chapter 2 constructs a model of the monetary economy with multiple nominal assets. Assets differ in terms of the liquidity services they provide. I show that the central bank can control the overall liquidity and welfare of the economy by changing the relative supply of assets. A liquidity trap exists away from the Friedman rule that has a positive real interest rate; the central bank's asset purchase/sale programs may be ineffective in instances of low enough inflation rates. My model also enables me to study the welfare effects of a restriction on trading with government bonds.
Chapter 3 investigates the effects of open-market operations on the distributions of assets and prices. It offers a theoretical framework to incorporate multiple asset holdings in a tractable heterogeneous-agent model. This model features competitive search...
In this article we consider a special case of an optimal consumption/optimal
portfolio problem first studied by Constantinides and Magill and by Davis and
Norman, in which an agent with constant relative risk aversion seeks to
maximise expected discounted utility of consumption over the infinite horizon,
in a model comprising a risk-free asset and a risky asset with proportional
transaction costs. The special case that we consider is that the cost of
purchases of the risky asset is infinite, or equivalently the risky asset can
only be sold and not bought.
In this special setting new solution techniques are available, and we can
make considerable progress towards an analytical solution. This means we are
able to consider the comparative statics of the problem. There are some
surprising conclusions, such as consumption rates are not monotone increasing
in the return of the asset, nor are the certainty equivalent values of the
risky positions monotone in the risk aversion.
We look at how asset exchange models can be mapped to random iterated
function systems (IFS) giving new insights into the dynamics of wealth
accumulation in such models. In particular, we focus on the "yard-sale" (winner
gets a random fraction of the poorer players wealth) and the "theft-and-fraud"
(winner gets a random fraction of the loser's wealth) asset exchange models.
Several special cases including 2-player and 3-player versions of these `games'
allow us to connect the results with observed features in real economies, e.g.,
lock-in (positive feedback), etc. We then implement the realistic notion that a
richer agent is less likely to be aggressive when bargaining over a small
amount with a poorer player. When this simple feature is added to the yard-sale
model, in addition to the accumulation of the total wealth by a single agent
("condensation"), we can see exponential and power-law distributions of wealth.
Simulation results suggest that the power-law distribution occurs at the
cross-over of the system from exponential phase to the condensate phase.; Comment: 7 pages, 8 figures, to appear in Phys. Scr. T (Spl. issue: Proc. Int.
In this article we study an optimal stopping/optimal control problem which
models the decision facing a risk-averse agent over when to sell an asset. The
market is incomplete so that the asset exposure cannot be hedged. In addition
to the decision over when to sell, the agent has to choose a control strategy
which corresponds to a feasible wealth process. We formulate this problem as
one involving the choice of a stopping time and a martingale. We conjecture the
form of the solution and verify that the candidate solution is equal to the
value function. The interesting features of the solution are that it is
available in a very explicit form, that for some parameter values the optimal
strategy is more sophisticated than might originally be expected, and that
although the setup is based on continuous diffusions, the optimal martingale
may involve a jump process. One interpretation of the solution is that it is
optimal for the risk-averse agent to gamble.; Comment: Published in at http://dx.doi.org/10.1214/07-AAP511 the Annals of
Applied Probability (http://www.imstat.org/aap/) by the Institute of
Mathematical Statistics (http://www.imstat.org)
Portfolio constraints are widespread and have significant effects on asset prices. This paper studies the effects of constraints in a dynamic economy populated by investors with different risk aversions and beliefs about the rate of economic growth. The paper provides a comparison of various constraints and conditions under which these constraints help match certain empirical facts about asset prices. Under these conditions, borrowing and short-sale constraints decrease stock return volatilities, whereas limited stock market participation constraints amplify them. Moreover, borrowing constraints generate spikes in interest rates and volatilities and have stronger effects on asset prices than short-sale constraints.