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Alocação de recursos: nível ótimo de diversificação intraclasse entre fundos de investimentos abertos no Brasil

Duba, Tiago Lacerda Nader
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
36.16%
Apesar da diversidade de suas estratégias, os retornos dos fundos de investimentos multimercado geralmente exibem correlação positiva com índices de bolsa. Por outro lado, fundos de categorias distintas tendem a ser menos correlacionados entre si se comparados a fundos de mesma categoria. A ideia de diversificação entre fundos de baixa correlação é discutida recorrentemente pela literatura. Na prática, porém, poucos alocadores de portfólios otimizam suas carteiras através das linhas de Markowitz (1953) por exemplo. O objetivo deste estudo é buscar identificar o ponto ótimo de diversificação de ativos (fundos de investimentos) dentro de uma mesma categoria. Como metodologia, buscaremos a minimização do risco idiossincrático dos fundos de investimentos através de simulações com outros fundos de mesma categoria. O estudo contém análises para a escolha do número ideal de ativos em um dado portfólio. Esses resultados beneficiariam, principalmente, o processo decisório das empresas de Wealth Managements, das Consultorias de Investimentos e dos Private Bankers.; Despite the diversity of their strategies, the returns of hedge funds generally exhibit a positive correlation with stock index. On the other hand...

Metodologia de implementação de planejamento de vendas e operações : estudo de caso em manufatura de produção para estoque; Sales and operations planning implementation methodology : case study in make to stock manufacturing

Francisco Miguel Barbeiro
Fonte: Biblioteca Digital da Unicamp Publicador: Biblioteca Digital da Unicamp
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 21/12/2005 Português
Relevância na Pesquisa
36.33%
O Planejamento de Vendas e Operações é um processo integrado de gerenciamento do negócio, que pode gerar vantagem competitiva através de uma visão e entendimento do cenário futuro e do envolvimento de um time multifuncional para definir e executar um conjunto de planos operacionais alinhados de modo a maximizar os resultados do negócio e melhor atender os clientes. Este trabalho tem como objetivo apresentar uma metodologia que suporte a implementação de um Processo de Planejamento de Vendas e Operações e testá-la através de sua aplicação prática numa Divisão de Negócios que atende o mercado de consumo a partir de uma manufatura de produção para estoque. Identifica os fatores relevantes para uma implementação de sucesso, abordando os três elementos básicos do S&OP: i) Pessoas - Uma vez que o processo é gerenciado e operacionalizado por pessoas, estas precisam estar conscientes, treinadas, além de entender o que se espera delas. Precisam, também, operar o processo em conformidade com os princípios aprovados, políticas e procedimentos; ii) Processo - Um processo precisa estar formalizado, com etapas, entradas, saídas, definição de responsabilidades e de medidas de desempenho; iii) Ferramentas - Devem estar disponíveis para suportar as pessoas na execução de suas atividades. Podem incluir hardware...

Fundos de pensão como financiadores da atividade econômica

Amaral,Hudson Fernandes; Vilaça,Caroline Sales Issa; Barbosa,Camila Figueiredo Marques; Bressan,Valéria Gama Fully
Fonte: Fundação Getulio Vargas, Escola de Administração de Empresas de S.Paulo Publicador: Fundação Getulio Vargas, Escola de Administração de Empresas de S.Paulo
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2004 Português
Relevância na Pesquisa
36.16%
A geração de poupança interna e a ampliação do investimento produtivo é condição para alcançar e manter taxas de crescimento econômico compatíveis com o desenvolvimento social. Os fundos de pensão, com os recursos disponíveis para investir, possibilitam alavancar o desenvolvimento de um país na medida em que canalizam esses recursos para o setor produtivo. Diante dessa perspectiva, este estudo propõe analisar o desempenho das aplicações em renda variável desses fundos, aqui considerados investimento produtivo, por meio do Capital Asset Pricing Model (CAPM) e dos índices de Sharpe e M² . Estes se prestam a avaliar o investimento realizado em relação ao risco e ao retorno da carteira. A partir da metodologia proposta, verificou-se que os investimentos em ações incorreram em retornos superiores aos esperados, garantindo eficiência na remuneração pelo risco, gerando, por um lado, maior valor agregado ao fundo e, por outro, um incremento da poupança interna do país, respaldado pela aplicação de recursos no setor produtivo.

Fundos de pensão como formadores de poupança interna: uma alternativa para o financiamento da atividade econômica

Amaral,Hudson Fernandes; Vilaça,Caroline Sales Issa; Barbosa,Camila Figueirêdo Marques; Bressan,Valéria Gama Fully
Fonte: Associação Nacional dos Programas de Pós-graduação em Administração Publicador: Associação Nacional dos Programas de Pós-graduação em Administração
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/06/2004 Português
Relevância na Pesquisa
36.16%
A geração de poupança interna e a ampliação do investimento produtivo é condição para alcançar e manter taxas de crescimento econômico compatíveis com o desenvolvimento social. Os fundos de pensão, com os recursos disponíveis para investir, possibilitam alavancar o desenvolvimento de um país na medida em que canalizam esses recursos para o setor produtivo. Diante de tal perspectiva, o nosso estudo propõe analisar o desempenho das aplicações em renda variável desses fundos, aqui considerados investimento produtivo, por meio do Capital Asset Pricing Model (CAPM). Esse modelo se presta a explicar o comportamento dos preços dos títulos e fornecer mecanismos de avaliação do investimento realizado em relação ao risco e retorno da carteira. A partir da metodologia proposta, verificou-se que os investimentos em ações incorreram em retornos superiores aos esperados, gerando por um lado maior valor agregado ao fundo e, por outro, um incremento da poupança interna do país, respaldado pela aplicação de recursos no setor produtivo.

Integrating Land Financing into Subnational Fiscal Management

Peterson, George E.; Kaganova, Olga
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
36.73%
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...

The Co-movement of Asset Returns and the Micro-Macro Focus of Prudential Oversight

Majnoni, Giovanni
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
36.44%
The integration of micro-prudential oversight with the macro-approach to financial stability -- long in the making -- raises several issues of coordination of regulatory responsibilities. This paper argues that a decomposition of the covariance of asset returns into an endogenous volatility component -- which can be reduced -- and an exogenous volatility component -- which we have to live with -- helps address these coordination issues and provides the basis for financial health diagnostics and supervisory responses to observed symptoms of financial instability. By linking risk origination and risk control, the paper may also contribute to the search for an operational definition of the term "macro-prudential."

Gender and Asset Ownership : A Guide to Collecting Individual-Level Data

Doss, Cheryl; Grown, Caren; Deere, Carmen Diana
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.45%
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 acquisition...

Safe and Sound Banking : A Role for Countercyclical Regulatory Requirements?

Caprio, Gerard, Jr.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.36%
Most explanations of the crisis of 2007-2009 emphasize the role of the preceding boom in real estate and asset markets in a variety of advanced countries. As a result, an idea that is gaining support among various groups is how to make Basel II or any regulatory regime less pro-cyclical. This paper addresses the rationale for and likely contribution of such policies. Making provisioning (or capital) requirements countercyclical is one way potentially to address pro-cyclicality, and accordingly it looks at the efforts of the authorities in Spain and Colombia, two countries in which countercyclical provisioning has been tried, to see what the track record has been. As explained there, these experiments have been at best too recent and limited to put much weight on them, but they are much less favorable for supporting this practice than is commonly admitted. The paper then addresses concerns and implementation issues with countercyclical capital or provisioning requirements, including why their impact might be expected to be limited...

Corporate and SME Workouts

International Finance Corporation
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
36.41%
Bank loans can become non-performing because of problems with the borrower s financial health, problems with the design or implementation of lender protection features, or both. In ascertaining how to deal with a problem loan, it is important to distinguish between a borrower s ability to pay and willingness to pay, Making this distinction is not always easy and requires effort. This manual was written as a guide for lending institution staff dealing with non-performing loans (NPLs) extended to corporations and small and medium enterprises (SMEs). It deals with both ad hoc and systemic financial distress and delves into how borrower problems may have arisen in the first place. It provides guidance to lending institutions staff responsible for handling individual problem loans and to senior managers responsible for organizing portfolio-wide asset resolution.

The Use of Asset Management Companies in the Resolution of Banking Crises

Klingebiel, Daniela
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
46.5%
Asset management companies have been used to address the overhang of bad debt in the financial system. There are two main types of asset management company: those set up to expedite corporate restructuring and those established for rapid disposal of assets. A review of seven asset management companies reveals a mixed record. In two of three cases, asset management companies for corporate restructuring did not achieve their narrow goal of expediting bank or corporate restructuring, suggesting that they are not good vehicles for expediting corporate restructuring. Only a Swedish asset management company successfully managed its portfolio, acting sometimes as lead agent in restructuring - and helped by the fact that the assets acquired had mostly to do with real estate, not manufacturing, which is harder to restructure, and represented a small fraction of the banking systems assets, which made it easier for the company to remain independent of political pressures and to sell assets back to the private sector. Asset management companies used to dispose of assets rapidly fared somewhat better. Two of four agencies (in Spain and the United States) achieved their objectives...

Design Options for an International Carbon Asset Reserve for the World

Fuessler, Juerg; Herren, Martin
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
36.26%
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.

Sales Promotion in Hotels:A British Perspective

Suttle, Francis; Akpabio, lni
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
Português
Relevância na Pesquisa
36.44%
In their article - Sales Promotion In Hotels: A British Perspective - by Francis Buttle, Lecturer, Department of Hotel, Restaurant, and Travel Administration, University of Massachusetts and Ini Akpabio, Property Manager, Trusthouse Forte, Britain, Buttle and Akpabio initially state: “Sales promotion in hotels is in its infancy. Other industries, particularly consumer goods manufacturing, have long recognized the contribution that sales promotion can make to the cost-effective achievement of marketing objectives. Sales promotion activities in hotels have remained largely uncharted. The authors define, identify and classify these hotel sales promotion activities to understand their function and form, and to highlight any scope for improvement.” The authors begin their discussion by attempting to define what the phrase sales promotion [SP] actually means. “The Institute of Sales Promotion regards sales promotions as “adding value, usually of a temporary nature, to a product or service in order to persuade the end user to purchase that particular brand as opposed to a competitive brand,” the authors offer. Williams, however, describes sales promotions more broadly as “short term tactical marketing tools which are used to achieve specific marketing objectives during a defined time period...

The effect of short-selling of the aggregation of information in an experimental asset market

Veiga, Helena; Vorsatz, Marc
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /07/2008 Português
Relevância na Pesquisa
36.36%
We show by means of a laboratory experiment that the relaxation of short--selling constraints causes the price of both an overvalued and an undervalued asset to decrease. Hence, the aggregation of information by the market price becomes better in case the asset is overvalued but worse if the asset is undervalued. With respect to payoffs, we find that not only uninformed but also some of the imperfectly informed traders suffer from the weakening of short--selling constraints.

Do Phoenix Miracles Exist? Firm-Level Evidence from Financial Crises

Ayyagari, Meghana; Demirgüç-Kunt, Asli; Maksimovic, Vojislav
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
36.42%
This paper provides empirical evidence on firm recoveries from financial system collapses in developing countries (systemic sudden stops episodes), and compares them with the experience in the United States in the 2008 financial crisis. Prior research found that economies recover from systemic sudden stop episodes before the financial sector. These recoveries are called Phoenix miracles, and the research questioned the role of the financial system in recovery. Although an average of the macro data across a sample of systemic sudden stop episodes over the 1990s appears consistent with the notion of Phoenix recoveries, closer inspection reveals heterogeneity of responses across the countries, with only a few countries fitting the pattern. Micro data show that across countries, only a small fraction (less than 31 percent) of firms follow a pattern of recovery in sales without a recovery in external credit, and even these firms have access to external sources of cash. The experience of firms in the United States during the 2008 financial crisis also suggests no evidence of credit-less recoveries. An examination of the dynamics of firms' financing...

Land Leasing and Land Sale as an Infrastructure-Financing Option

Peterson, George E.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
36.67%
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...

Serbia : Decentralization and Local Service Delivery

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Other Public Sector Study; Economic & Sector Work
Português
Relevância na Pesquisa
46.33%
Serbia's ability to achieve macroeconomic stabilization and restructure its public finances has been, and will continue to be, impacted by the policy actions of its sub-national governments. For the purposes of this paper, these include the province of Vojvodina and municipal governments. In many countries, the fiscal performance of sub-national governments has created problems for macroeconomic management through the running of deficits, accumulation of arrears, or the incurring of debts which must eventually be covered by the central government. This chapter examines the experience to date and the institutional mechanisms for macroeconomic management at the sub-national level in Serbia. The next section of this chapter reviews the fiscal performance of Serbian sub-national governments, especially in relation to the Republican government's ongoing efforts to restructure the public sector. A key finding is that the composition of public expenditures evolved quite differently at the Republican and sub-national levels...

Indonesia : Managing Government Debt and its Risks

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
Relevância na Pesquisa
46.49%
The Asian economic crisis has left Indonesia's Government deeply in debt. Government debt has increased from 23 percent of GDP before the crisis to about 83 percent of GDP in early 2000. Nearly three quarters of this increase is domestic debt to pay for bank restructuring. Though very large, the government's debt is manageable. Actions to rebuild investor confidence, keep real interest rates down, and renew growth are necessary. Moreover, actions are also needed in the following areas: 1) generating significant primary fiscal surpluses; 2) containing off-budget losses and counteracting fiscal risks; 3) aggressively selling government assets to reduce government debt; 4) rescheduling existing debt under international rules and seeking the best possible terms for new borrowing; 5) building capacity to manage debt well; and 6) establishing an effective domestic bond market. The report concludes that Indonesia can overcome its government debt burden with renewed growth and prudent fiscal management. But this will not be easily or quickly achieved. Sustained fiscal surpluses and asset sales will be important. So will actions to avoid additional new government debt and strengthen debt management capacity.

Unlocking Land Values for Urban Infrastructure Finance : International Experience--Considerations for Indian Policy

Peterson, George E.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
36.56%
Despite strong economic growth, investment in basic urban infrastructure -- water supply, wastewater removal and treatment, roads, and other capital-intensive systems -- has failed to keep pace with urban growth, leaving a critical urban infrastructure deficit. At the same time, urban lands in these many developing countries are among the most expensive in the world. Much of this land is owned by public authorities. Significant parts of it lie vacant, unused for public service provision or inappropriate for conversion to higher-valued economic activity. A composite public-sector balance sheet for India's urban areas would show an asset mix strong on public-sector landholdings but weak on infrastructure. This raises the following questions: Can some excess public-sector land be exchanged for infrastructure, in a manner that is politically acceptable and economically efficient? Can public land sales be a realistic source of finance for critically needed urban infrastructure investment? This paper considers the policy context that has shaped different land-disposal and earmarking initiatives...

Poland - Public Land and Property Asset Management in Warsaw : Strategic Opportunities

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Policy Note; Economic & Sector Work
Português
Relevância na Pesquisa
36.53%
The report is addressed to two audiences: the World Bank team and the decision makers and technical experts at the city administration who define the future of land and asset management in Warsaw. The report starts (section two) from reviewing municipal property holdings and associated institutional arrangements. This section focuses primarily on land and financial aspects of asset management, due to the overall orientation of the report and its limited scope. Portfolios of built-up properties are considered only partly, mainly for indicating the grand magnitude of the total holdings. For the same reason, the institutional arrangements are analyzed only at the level that identify main issues, but not details. Section three reviews main achievements, challenges, and risks related to municipal land and asset management in Warsaw. Section four considers the experiences of Warsaw with public-private partnerships (PPPs) in the past and on city's plans. This section also includes a discussion of a PPP potential related to such transportation facilities as Park and Ride (P&R)...

Asset Managers and Financial Instability: Evidence of Run Behavior and Run Incentives in Corporate Bond Funds

Wang, Jeffrey J.
Fonte: Harvard University Publicador: Harvard University
Tipo: Thesis or Dissertation; text Formato: application/pdf
Português
Relevância na Pesquisa
36.26%
Asset managers may be a source of systemic risk due to their risk-taking strategies and vulnerability to dramatic outflows. Investor withdrawals trigger asset sales and redemption costs that only impact remaining investors in the fund. Liquidation lag and mark-to-market lag translate these redemption costs into run incentives. This paper first tests for run-like behavior in corporate bond mutual funds and then tests for the underlying run incentive, measured by the NAV impact. I find that illiquid bond funds are significantly more sensitive to past performance than liquid funds and experience up to 43.6% more outflows given a 1% decrease in returns. Furthermore, net flows into bond funds held primarily by institutional investors are less sensitive to performance but more sensitive to illiquidity than flows into funds held by retail investors, suggesting that institutional bond funds may be more vulnerable to runs. Finally, using a novel dataset, I proxy for the illiquidity of a fund’s underlying bonds and quantify the run incentive. Given 10% net outflows, funds that have insufficient cash and hold bonds of illiquidity 3-5 deviations from the mean experience a significant decrease in NAV of about 34-49 basis points. This paper contributes to the mutual fund and runs literature by offering new empirical evidence of run behavior and run incentives in corporate bond funds.; Applied Mathematics