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Contribuição à avaliação do goodwill: depósitos estáveis, um ativo intangível. ; Contribution to the valuation of goodwill: core deposits, an intangible asset.

Martins, Vinicius Aversari
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 06/02/2002 Português
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36.36%
O presente trabalho tem como objetivo principal demonstrar que parcela da base de depositantes de instituições financeiras que se utilizam de depósitos (a prazo e a vista) como fonte de financiamento das suas atividades, identificada pelos depósitos estáveis, representa um ativo intangível da instituição depositária. Esse ativo intangível decorrente dos depósitos estáveis, quando passível de identificação específica, explica parte do goodwill da instituição depositária, pelo fato do goodwill ser um ativo residual dependente principalmente da avaliação da empresa como um todo. Sendo o valor do goodwill determinado pela diferença entre o fair value da entidade como um todo, como um ativo único em continuidade, e a soma algébrica dos fair values dos ativos líquidos identificáveis dessa entidade, à medida que novos ativos antes não contabilizados são identificados, está-se explicado a natureza do goodwill, assim como está-se auxiliando na sua atribuição de valor. Portanto a identificação de mais um ativo intangível das instituições financeiras implica na identificação de parcelas componentes do goodwill, que englobava esse ativo intangível antes da identificação do ativo intangível, assim como também implica na explicação econômica de parte do goodwill. Para que o objetivo pudesse ser alcançado...

Essays on Asset Pricing and Econometrics

Jin, Tao
Fonte: Harvard University Publicador: Harvard University
Tipo: Thesis or Dissertation
Português
Relevância na Pesquisa
36.25%
This dissertation presents three essays on asset pricing and econometrics. The first chapter identifies rare events and long-run risks simultaneously from a rich data set (the Barro-Ursua macroeconomic data set) and evaluates their contributions to asset pricing in a unified framework. The proposed model of rare events and long-run risks is estimated using a Bayesian Markov-chain Monte-Carlo method, and the estimates for the disaster process are closer to the data than those in the previous studies. Major evaluation results in asset pricing include: (1) for the unleveraged annual equity premium, the predicted values are 4.8%, 4.2%, and 1.0%, respectively; (2) for the Sharpe ratio, the values are 0.72, 0.66, and 0.15, respectively.; Economics

How Does Bank Competition Affect Systemic Stability?

Anginer, Deniz; Demirguc-Kunt, Asli; Zhu, Min
Fonte: Banco Mundial Publicador: Banco Mundial
Português
Relevância na Pesquisa
36.2%
Using bank level measures of competition and co-dependence, the authors show a robust positive relationship between bank competition and systemic stability. Whereas much of the extant literature has focused on the relationship between competition and the absolute level of risk of individual banks, they examine the correlation in the risk taking behavior of banks, hence systemic risk. They find that greater competition encourages banks to take on more diversified risks, making the banking system less fragile to shocks. Examining the impact of the institutional and regulatory environment on systemic stability shows that banking systems are more fragile in countries with weak supervision and private monitoring, with generous deposit insurance and greater government ownership of banks, and public policies that restrict competition. Furthermore, lack of competition has a greater adverse effect on systemic stability in countries with low levels of foreign ownership, weak investor protections, generous safety nets...

Financial Sector Assessment Program Update : Republic of Poland - Competition and Performance in the Polish Second Pillar

World Bank; International Monetary Fund
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
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36.25%
In March 1999, Poland implemented a systemic pension reform that involved the introduction of a multi-pillar pension system to replace the defined benefit (DB), pay-as-you-go (PAYG) system that had been operating since 1949. This technical note on the pension sector was elaborated as part of the Poland Financial Sector Assessment Program, or FSAP update that took place in April-May 2006. The note assesses the structure and performance of the second pillar, as well as its regulatory and supervisory framework. The note is structured as follows. Section two provides an overview of the whole pension system after the 1999 reform, including coverage and fiscal policy in the transition to the new system. Section three analyses the structure and performance of the second pillar, including asset growth, portfolio composition, investment returns, and fees. Section four examines the regulatory and supervisory framework for the second pillar. Section five analyzes briefly the status of capital market development and the main obstacles to the further development of financial instruments suitable to pension funds. Finally...

Pensions in Crisis : Europe and Central Asia Regional Policy Note

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Português
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46.21%
The financial crisis has significantly impacted pension systems in the Europe and Central Asia region (ECA) tempting governments to make policy changes in response to the increased pension deficits they are facing. The crisis exacerbates the existing financial imbalance in the public pension systems by reducing contribution revenues sharply while leaving expenditures constant or even higher. The crisis also resulted in a sharp drop in financial asset values which affects pensions provided by funded pillars. Consequently, no pension system, however structured, has been immune to the crisis. Despite the severity of the financial crisis, it pales in comparison to the demographic crisis which the region will face. Therefore, countries are urged not to make long-term policy changes to address short-run fiscal concerns. Any short-run responses should be consistent with strategies to address the long-run challenges to the pension system. The long-run focus should include: (i) protecting the purchasing power of pensioners and fiscal sustainability of the system...

Institutional Investors and Long-Term Investment : Evidence from Chile

Opazo, Luis; Raddatz, Claudio; Schmukler, Sergio L.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.24%
Developing countries are trying to develop long-term financial markets and institutional investors are expected to play a key role. This paper uses unique evidence on the universe of institutional investors from the leading case of Chile to study to what extent mutual funds, pension funds, and insurance companies hold and bid for long-term instruments, and which factors affect their choices. The paper uses monthly asset-level portfolios to show that, despite the expectations, mutual and pension funds invest mostly in short-term assets relative to insurance companies. The significant difference across maturity structures is not driven by the supply side of debt or tactical behavior. Instead, it seems to be explained by manager incentives (related to short-run monitoring and the liability structure) that, combined with risk factors, tilt portfolios toward short-term instruments, even when long-term investing yields higher returns. Thus, the expansion of large institutional investors does not necessarily imply longer-term markets.

Bank Capital and Systemic Stability

Anginer, Deniz; Demirguc-Kunt, Asli
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Português
Relevância na Pesquisa
36.32%
This paper distinguishes among various types of capital and examines their effect on system-wide fragility. The analysis finds that higher quality forms of capital reduce the systemic risk contribution of banks, whereas lower quality forms can have a destabilizing impact, particularly during crisis periods. The impact of capital on systemic risk is less pronounced for smaller banks, for banks located in countries with more generous safety nets, and in countries with institutions that allow for better public and private monitoring of financial institutions. The results show that regulatory capital is effective in reducing systemic risk and that regulatory risk weights are correlated with higher future asset volatility, but this relationship is significantly weaker for larger banks. The paper also finds that increased regulatory risk-weights not correlated with future asset volatility increase systemic fragility. Overall, the results are consistent with the theoretical literature that emphasizes capital as a potential buffer in absorbing liquidity...

Modeling the Marginal Value of Rainforest Losses; A Dynamic Value Function Approach

Strand, Jon
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Working Paper; Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
36.2%
A rainforest can be modeled as a dynamic asset subject to various risks, including risk of fire. Any small part of the forest can be in one of two states: either untouched by forest fire, or already damaged by fire, in which case there is both a local forest loss and increased dryness over a broader area. In this paper, two Bellman equations are constructed, one for unharmed forest and a second for already burnt forest. The analysis solves the two equations for the total expected asset values in each of the two states, assuming that asset returns have a constant growth rate over time. The equations are used for deriving the marginal value of standing (unburnt) rainforest, equivalent to the expected discounted value loss when losing a small additional forest patch. The paper shows that marginal forest value is increased by the additional dryness and forest fire risk that follow from forest fragmentation when additional forest is lost locally. Both forest fires and dryness here serve as “multipliers” to the basic services return loss...

Longer-Term Economic Impacts of Self-Help Groups in India

Deininger, Klaus; Liu, Yanyan
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
36.15%
Despite the popularity and unique nature of women's self-help groups in India, evidence of their economic impacts is scant. Based on two rounds of a 2,400 household panel, the authors use double differences, propensity score matching, and pipeline comparison to assess economic impacts of longer (2.5-3 years) exposure of a program that promoted and strengthened self-help programs in Andhra Pradesh in India. The analysis finds that longer program exposure has positive impacts on consumption, nutritional intake, and asset accumulation. Investigating heterogeneity of the impacts suggests that even the poorest households were able to benefit from the program. Furthermore, overall benefits would exceed program cost by a significant margin even under conservative assumptions.

Mutual Fund Investment in Emerging Markets : An Overview

Kaminsky, Graciela L.; Lyons, Richard K.; Schmukler, Sergio L.
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Journal Article; Publications & Research :: Journal Article
Português
Relevância na Pesquisa
36.32%
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.

Tropical Bubbles : Asset Prices in Latin America, 1980-2001

Herrera, Santiago; Perry, Guillermo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
36.26%
The authors test for the existence of asset price bubbles in Latin America in 1980-2001, focusing mainly on stock prices. Based on unit root and cointegration tests, they find that they cannot reject the hypothesis of bubbles. They arrive at the same conclusion using Froot and Obstfeld's intrinsic bubbles model. To examine empirical regularities of these bubble episodes in the region, the authors identify periods of significant stock price overvaluation. They quantify the relative importance of different factors that determine the probability of bubble occurrence, focusing on the contrast between the country-specific variables and the common external factors. They include as country-specific variables both the level and the volatility of domestic credit growth, the volatility of asset returns, the capital flows to each country, and the terms of trade. As common external variables, they consider the degree of asset overvaluation in the U.S. stock and real estate markets and the term spread of U.S. Treasury securities. To quantitatively assess the relative importance of each factor...

Corporate Governance and Bank Insolvency Risk : International Evidence

Anginer, Deniz; Demirguc-Kunt, Asli; Huizinga, Harry; Ma, Kebin
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
Português
Relevância na Pesquisa
36.15%
This paper finds that shareholder-friendly corporate governance is positively associated with bank insolvency risk, as proxied by the Z-score and the Merton's distance to default measure, for an international sample of banks over the 2004-08 period. Banks are special in that "good" corporate governance increases bank insolvency risk relatively more for banks that are large and located in countries with sound public finances, as banks aim to exploit the financial safety net. Good corporate governance is specifically associated with higher asset volatility, more nonperforming loans, and a lower tangible capital ratio. Furthermore, good corporate governance is associated with more bank risk-taking at times of rapid economic expansion. Consistent with increased risk-taking, good corporate governance is associated with a higher valuation of the implicit insurance provided by the financial safety net, especially in the case of large banks. These results underline the importance of the financial safety net and too-big-to-fail policies in encouraging excessive risk-taking by banks.

The Heavenly Liquidity Twin : The Increasing Importance of Liquidity Risk

Montes-Negret, Fernando
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
36.18%
Liquidity and solvency have been called the "heavenly twins" of banking (Goodhart, Charles, 'Liquidity Risk Management', Financial Stability Review -- Special Issue on Liquidity, Banque de France, No. 11, February, 2008). Since these "twins" interact in complex ways, it is difficult -- particularly at times of crisis--to distinguish between them, especially in the presence of information asymmetries (Information asymmetry occurs when one party has more or better information than the other, creating an imbalance of power, giving rise to adverse selection and moral hazard ). An insolvent bank can be liquid or illiquid, and a solvent bank may be at times illiquid. In the latter case, insolvency is not far away, since banking is grounded in information and confidence, and it is confidence which in the end determines liquidity. In other words, liquidity is very much endogenous, determined by the general condition of a bank, as well as the perception of it by the public and market participants. Dealing with liquidity risk is more challenging than dealing with other risks...

IFC Annual Report 2008 : Creating Opportunity, Volume 2. IFC 2008 Financials, Projects, and Portfolio; Crear oportunidades : informe annual report 2008 Criacao de oportunidades : velatorio anual 2008 Creer des opportunites : rapport annuel 2008

International Finance Corporation
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Publications & Research :: World Bank Annual Report; Publications & Research :: Publication
Português
Relevância na Pesquisa
36.38%
The International Finance Corporation (IFC) annual report continues an approach pioneered last year, combining information on the investments and advisory services, sustainability, development effectiveness, and donor partnerships. The report covers fiscal 2008 (July 1, 2007, through June 30, 2008) and discusses the year's new business as well as the performance and development results of the portfolio. In FY08, new investments totaled $16.2 billion, rising 34 percent from the previous year. The IFC seeks to enhance the accountability and to articulate the vision, core corporate values, purpose, and the way the IFC works for a wide range of stakeholders: client companies, governments, partners, local communities affected by the activities, advocacy organizations, investors, and the staff.

Salient Issues in Income and Asset Disclosure Systems : Lessons Learned from the Field in Preventing Conflict of Interest and Combating Illicit Enrichment

Burdescu, Ruxandra; Reid, Gary; Trapnell, Stephanie; Barnes, Dan; Kwapinski, Modest; Berger, Tammar
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Brief; Publications & Research
Português
Relevância na Pesquisa
46.15%
Asset disclosure (AD) systems also referred to as financial disclosure or asset declarations can play two important roles within broader anticorruption efforts prevention and enforcement. On the prevention side, AD requirements can help bring to light conflict of interest risks faced by public officials who file ADs, thereby facilitating the avoidance of conflict of interest situations. On the enforcement side, AD requirements can provide one more source of information that may be used in the investigation and prosecution of suspected illicit enrichment cases, thereby aiding asset recovery efforts. Effective collaboration, both domestically and internationally, between policy makers and practitioners is essential for such benefits to materialize. In an effort to identify how best to design and implement an AD system, the report recognizes that each country ultimately must design a system that is tailored to the environment in which it will function. As such, the study analyzes some of the tradeoffs faced by policy makers and practitioners alike in designing and implementing an optimal AD system in a particular context. The report complements the Public Sector Governance Group's development of AGI...

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
36.33%
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...

Competition and Performance in the Polish Second Pillar

Rudolph, Heinz; Rocha, Roberto
Fonte: Washington, DC: World Bank Publicador: Washington, DC: World Bank
Tipo: Publications & Research :: Publication; Publications & Research :: Publication
Português
Relevância na Pesquisa
36.26%
This paper provides an assessment of the Polish funded pension system and the quality of the regulatory framework for the accumulation phase. There are two elements that distinguish the Polish pension fund portfolios from other reforming countries': the relatively high component of domestic equity, and the negligible component on international securities. Although this asset allocation has provided relatively high real rates of return in the past, it may not be the case in the future, as further portfolio diversification to other instruments will become necessary to ensure sustainable rates of return. The paper provides a number of recommendations to expand the opportunities of investments to pension funds. The paper finds that pension fund management companies have been able to exploit scale economies in certain areas of the business, such as collection of revenues, and proposes to study mechanisms to enhance them even more by centralizing also the account management system, which may also help to increase portfolio efficiency and competition. The paper suggests that...

Valorização do Activo Imobiliário dos Fundos de Investimento Imobiliário Portugueses e suas Características

Pais, Manuel Alexandre Pinto Caldeira
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /06/2011 Português
Relevância na Pesquisa
36.26%
Mestrado em Finanças; Os Fundos de Investimento Imobiliário são um veículo de investimento indirecto em activos imobiliários, não cotados, tendo na valorização dos imóveis o ponto central do seu desempenho. A regulamentação portuguesa vigente, para além de ter em conta as avaliações realizadas por peritos avaliadores externos, concede à entidade gestora margem para decidir o valor a apresentar pelo fundo. Efectivamente, o gestor dos fundos pode fixar o valor do imóvel entre o seu valor de aquisição e a média das duas avaliações realizadas por avaliadores externos. Este paradigma pretende ser modificado com a proposta de alteração da valorização do activo imobiliário, pretendendo-se utilizar exclusivamente as avaliações dos peritos externos na valorização dos activos imobiliários. Neste sentido, para perceber melhor as alterações introduzidas por esta proposta, sugerimos neste trabalho estudar as características das rendibilidades, pelo processo de valorização vigente, bem como pelo processo proposto, tendo em conta, não só as especificidades do activo imobiliário e as questões levantadas com os valores baseados em avaliações, como também a natureza, gestão e regulamentação próprias destes fundos. Para comparação com o mercado bolsista...

The Earnings/Price Risk Factor in Capital Asset Pricing Models

Noda,Rafael Falcão; Martelanc,Roy; Kayo,Eduardo Kazuo
Fonte: Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária Publicador: Universidade de São Paulo, Faculdade de Economia, Administração e Contabilidade, Departamento de Contabilidade e Atuária
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2015 Português
Relevância na Pesquisa
36.2%
This article integrates the ideas from two major lines of research on cost of equity and asset pricing: multi-factor models and ex ante accounting models. The earnings/price ratio is used as a proxy for the ex ante cost of equity, in order to explain realized returns of Brazilian companies within the period from 1995 to 2013. The initial finding was that stocks with high (low) earnings/price ratios have higher (lower) risk-adjusted realized returns, already controlled by the capital asset pricing model's beta. The results show that selecting stocks based on high earnings/price ratios has led to significantly higher risk-adjusted returns in the Brazilian market, with average abnormal returns close to 1.3% per month. We design asset pricing models including an earnings/price risk factor, i.e. high earnings minus low earnings, based on the Fama and French three-factor model. We conclude that such a risk factor is significant to explain returns on portfolios, even when controlled by size and market/book ratios. Models including the high earnings minus low earnings risk factor were better to explain stock returns in Brazil when compared to the capital asset pricing model and to the Fama and French three-factor model, having the lowest number of significant intercepts. These findings may be due to the impact of historically high inflation rates...

The Discrete Sell or Hold Problem with Constraints on Asset Values

Du, Ye
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 23/07/2014 Português
Relevância na Pesquisa
36.29%
The discrete sell or hold problem (DSHP), which is introduced in \cite{H12}, is studied under the constraint that each asset can only take a constant number of different values. We show that if each asset can take only two values, the problem becomes polynomial-time solvable. However, even if each asset can take three different values, DSHP is still NP-hard. An approximation algorithm is also given under this setting.