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Estratégia Pairs Trading : combinação de Avaliação Relativa e Arbitragem Estatística

Dallagnol Júnior, Paulo Roberto
Fonte: Universidade Federal do Rio Grande do Sul Publicador: Universidade Federal do Rio Grande do Sul
Tipo: Trabalho de Conclusão de Curso Formato: application/pdf
POR
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36.95%
A aplicação de técnicas de arbitragem estatística em estratégias pairs trading tem sido objeto de uma quantidade cada vez maior de estudos. Neste trabalho propomos o uso de séries temporais de indicadores fundamentalistas em substituição as séries temporais de preço, tradicionalmente utilizadas para esse tipo de estratégia. Aplicamos testes de cointegração em séries de P/L e P/VPA para identificar pares de ações a serem utilizados em estratégias pairs trading. Tais indicadores foram utilizados também na determinação dos sinais de trade. Uma estratégia baseada apenas em preço foi simulada para possibilitar a comparação com a abordagem tradicional. Baseados em um indicador de rentabilidade apurado dentro da amostra, selecionamos pares de ações para compor três portfólios pairs trading. Testamos 69 ativos negociados na Bovespa, de janeiro de 2009 a Dezembro de 2012. Obtivemos rentabilidade média anual de 10,12% para estratégia de Preço, 4,96% para P/L e 10,86% para P/VPA, Índice de Sharpe de 1,62, 0,68 e 1,51, respectivamente, além de baixa correlação com o mercado.; The application of statistical arbitrage techniques in pairs trading strategies has been subject of an increasing amount of works. In this work we propose the usage of stocks multiples time series to replace price time series...

Estratégia em negócios internacionais: evidência em uma trading company que atua entre economias emergentes

Thomé,Karim Marini; Medeiros,Janann Joslin; Calegário,Cristina Lélis Leal
Fonte: Escola de Administração da UFRGS Publicador: Escola de Administração da UFRGS
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/04/2013 PT
Relevância na Pesquisa
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No presente estudo retomam-se os questionamentos de Peng (2004; 2003) a respeito do que direciona a estratégia da firma e do que determina o sucesso ou o fracasso em negócios internacionais. Mais especificamente, investiga-se o que direcionou a estratégia de uma trading company e o que determinou o seu sucesso em negócios internacionais. O referencial teórico é dividido em duas partes. A primeira diz respeito ao negócio da trading company, pautada na atuação triangular de relacionamento entre trading company, clientes e fornecedores. Na segunda parte versa-se sobre as distintas abordagens ou bases da estratégia em negócios internacionais: competição industrial, recursos e capacidades da firma e condições e transições institucionais. O estudo é de natureza descritiva e qualitativa. Na coleta dos dados primários foram utilizados roteiro de entrevistas em profundidade, observação direta não participativa e análise documental, ao longo dos meses de julho de 2010 a janeiro de 2011. O caso selecionado para estudo é uma trading company que apresenta elevado volume transacionado entre economias emergentes. Os resultados evidenciaram que não há direcionador único na estratégia da trading company estudada. O que se observou foi uma variedade de estratégias baseadas ora em competitividade industrial...

Rules of Origin for Preferential Trading Arrangements : Implications for the ASEAN Free Trade Area of EU and U.S. Experience

Cadot, Olivier; de Melo, Jaime; Portugal-Pérez, Alberto
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
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With free trade areas (FTAs) under negotiation between Japan and the ASEAN Free Trade Area (AFTA) members and between the Republic of Korea and AFTA members, preferential market access will become more important in Asian regionalism. Protectionist pressures will likely increase through rules of origin, the natural outlet for these pressures. Based on the experience of the European Union and the United States with rules of origin, the authors argue that, should these FTAs follow in the footsteps of the EU and the U.S. and adopt similar rules of origin, trading partners in the region would incur unnecessary costs. Using EU trade under the Generalized System of Preferences with Africa, Caribbean, and Pacific partners, the authors estimate how the use of preferences would likely change if AFTA were to veer away from its current uniform rules of origin requiring a 40 percent local content rate. Depending on the sample used, a 10 percentage point reduction in the local value content requirement is estimated to increase the utilization rate of preferences by between 2.5 and 8.2 percentage points.

International Experience with Cross-border Power Trading

World Bank
Fonte: Washington, DC Publicador: Washington, DC
EN_US
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The five main lessons for Southern Africa from our review of the experiencewith cross-border power trading in other regions of the work are that: Security of supply concerns need to be explicitly addressed and understood by the parties to proposed cross-border transactions. Regional entities need to be empowered to make decisions based on legally enforceable national government commitments, particularly in relation to planning, pricing, and settlement rules. Bilateral trading provides a basis for expanding trading volumes, both through constructing the physical infrastructure that future deals will use and by establishing workable legal and regulatory frameworks. Power pools will help to generate sustained increases in cross-border trading along with other regional trading arrangements, particularly in power systems with several interconnection. The substance and process of regulatory reviews in importing and exporting countries must be clear to create sufficient investment certainty.

For Whom the Bell Tolls: The Demise of Exchange Trading Floors and the Growth of ECNs

Markham, Jerry W.
Fonte: SelectedWorks Publicador: SelectedWorks
Tipo: Artigo de Revista Científica Formato: application/pdf
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This article describes the rise and fall of exchange trading floors on exchanges in both the stock and derivatives markets. The colorful “open outcry” trading in the “pits” of the Chicago futures exchanges and the bell ringing tradition opening trading on the floor of the New York Stock Exchange (“NYSE”) have long dominated the public perception of how those markets operate. Those scenes are now fast becoming history as the exchanges implement radical changes to their trading practices as the result of competition from electronic communications networks (“ECNs”). That competition has already forced the NYSE and the Chicago futures exchanges to demutalize, consolidate and reduce the role of their trading floors, while expanding their own electronic execution facilities. The amazing growth of the ECNs and their displacement of the traditional exchanges has raised regulatory concerns. The Commodity Futures Trading Commission (“CFTC”) and the Securities and Exchange Commission (“SEC”) have been struggling with this market transformation for nearly a decade. The CFTC initially tried to prevent virtually all non-exchange trading of derivatives. It then reversed itself and deregulated ECNs that provide execution services only to institutional investors. However...

Key to trading profits - matching the probability distribution of a contact with an appropriate mechanical trading strategy

Tan, H.
Fonte: Canadian Center of Science and Education Publicador: Canadian Center of Science and Education
Tipo: Artigo de Revista Científica
Publicado em //2010 EN
Relevância na Pesquisa
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Most research on technical trading strategies had centred only on testing the efficacy of common trading rules applied to various contracts. Other research on the implications of moments of distribution tends to concentrate on asset or portfolio valuation perspective as opposed to trading rules. Given the controversy surrounding the usefulness of mechanical trading strategies per se, this paper seeks to match the distribution of a contract with an appropriate trading rule to determine the profitability or lack thereof of such an approach. We tested this approach using Light Sweet Crude Oil futures for the period 1994 – 2008. On the whole, our results strongly support the approach employed. We also tested the results against the weak form EMH and found that there may be some non randomness in prices that one can exploit with the use of mechanical trading methods.; Gary Tan

An empirical examination of informed trading in the option market.

Le, Thi Thanh Van
Fonte: Universidade de Adelaide Publicador: Universidade de Adelaide
Tipo: Tese de Doutorado
Publicado em //2012
Relevância na Pesquisa
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Despite a growing research interest in option trading and its impact on the pricing of the underlying asset, the role of options as a vehicle for informed trading remains an important economic question which has not yet been fully explored. In fact, even though academics have often argued that informed traders may prefer to trade in the option market rather than the equity market1, the question of whether (and to what extent) such a proposition would hold in practice has not been systematically addressed in the literature. This overarching research problem forms the foundation of this doctoral research project, leading to two important research questions. First, if investors do in fact use options to trade on information about underlying stock prices in practice, what implications does this have for the option (stock) pricing and forecasting? Second, what are the key factors driving traders’ decisionsto trade on new information in one market over another? These two issues correspond to the two gaps found in the extant literature on option trading, and also in the strand of empirical studies focusing on the role of options as a mechanism for trading on information about the underlying asset. To explore these research questions, three interrelated projects have been undertaken...

Die Markteinführung des Emissionshandels in Deutschland : die emissionshandelspflichtigen Unternehmen im Spannungsfeld zwischen Theorie und Praxis; The market launch of emissions trading in Germany : the participating emissions trading companies in the debate between theory and practise

Baumann, Sonja
Fonte: Universidade de Tubinga Publicador: Universidade de Tubinga
Tipo: Dissertação
DE_DE
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Zur Erfüllung der im Rahmen des Kyoto-Protokolls eingegangenen Emissionsredukti-onsverpflichtungen hat sich die Europäische Union zur Implementierung eines Emissi-onshandelssystems entschlossen. Seit dem 1. Januar 2005 ermöglicht der Emissionshandel aufgrund seiner Eigenschaft als ökonomisch und ökologisch effizientes Instrument den beteiligten Unternehmen, ihren Bedarf an CO2-Emissionen auf kostengünstige Weise zu reduzieren. Die Menge der zur Verfügung stehenden Emissionsberechtigungen ist jedoch be-grenzt, so dass sich durch Angebot und Nachfrage der Marktpreis bestimmt, der sich wiederum auf das Verhalten der Unternehmen und auf die Wirtschaft auswirken kann. Aufgrund der Vielzahl neuer rechtlicher Regelungen ist offensichtlich, dass der Emis-sionshandel erhebliche Anforderungen an das betriebliche Umweltmanagement stellt und aufgrund der Anpassungspflicht zu Veränderungen in den Unternehmensprozes-sen führen kann. Der vorliegenden Arbeit liegt daher die Hypothese zugrunde, dass der EU-weite CO2-Emissionshandel erhebliche Auswirkungen auf die zur Teilnahme verpflichteten Un-ternehmen hat und als marktwirtschaftliches Instrument das betriebliche Umweltma-nagement verändert und zudem über Preissignale die unternehmerischen Strukturen und das Marktverhalten beeinflusst und belastet. Die daraus resultierenden Verände-rungen der strukturellen und organisatorischen Gefüge haben längerfristig Auswirkun-gen auf den nationalen Energiemix und können im ungünstigsten Fall den Wirtschafts-standort Deutschland beeinträchtigen. Für die Analyse der Auswirkungen des Emissionshandels auf die teilnehmenden Un-ternehmen und deren unternehmerischen Handlungsfeld wurde mittels standardisier-ter Fragebögen eine zweistufige Befragung (vor und nach Handelsbeginn) durchge-führt. Die Ergebnisse zeigen...

The role of information and trading volume on intradaily and weekly returns patterns in the Spanish stock market

Camino Blasco, David
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /01/1996 ENG
Relevância na Pesquisa
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The aim of this work is to document new results about intradaily and weekly effects in the Spanish stock market, relating the returns in the stock index, during trading and non trading hours, to the arrival of information and daily trading volume. Weekly and intraday patterns are examined using the index Ibex-35 transaction data. Twenty-three months oftransaction records of the Ibex-35, at 15-minutes intervals, were examined in an attempt to better understand the dayof-the week effect and trading return patterns, to further characterize systematic weekly and intradaily price patterns. Several results were found: -There are cross-sectional differences in weekday patterns found in both trading and nontrading period returns. These patterns are pervasive over time and for different trading volumes. We found a positive relation between opening volume and unexpected overnight volatility, which is reflected in a higher standard deviation of returns, during the first to first and half hours of trading. -There are significant weekday differences in intraday trading returns in the first four hours of trading. On Monday (and Wednesday) returns are negative, while on the other weekdays, returns in this interval, are positive.

Deregularization, insider trading and tender offers

Camino Blasco, David; López Gómez, Miguel Ángel
Fonte: SSRN Publicador: SSRN
Tipo: info:eu-repo/semantics/submittedVersion; info:eu-repo/semantics/workingPaper Formato: application/pdf
Publicado em /06/2002 ENG
Relevância na Pesquisa
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This paper examines insider trading operations and the transmission of information to markets, during the merger and firm acquisition process, that followed the deregulation and restructuring of the Spanish electrical sector, who began in 1993 and is still under way in many countries of the European Union (Green Paper, 2001). In particular, we will study the events surrounding the 1996 acquisition of FECSA and Sevillana de Electricidad, two of the Spanish biggest electricity suppliers and distributors, by ENDESA, a formerly state owned company and the nation’s largest power supplier We use public trading records around the announcement date of the event to track abnormal returns, market volumes and spreads and to isolate individual transaction records by broker, from the flow of background trading, permitting the analysis of the market ’s reaction to the onset of informed trading. Because the insider information was not revealed to other market participants until the event, and even rumors of the acquisition were publicly and officially denied, this case presents a unique laboratory for studying the dissemination and incorporation of private inside information into market prices. Unlike earlier studies that make use of daily transactions and concentrates on how informed trading affects stock prices...

Emissions trading: designing a market for hot air

Rolls, Sophie
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Relatório
Relevância na Pesquisa
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Climate change is the buzz-word of the decade. It is being discussed in the media, in universities, in environment groups and in business councils. So what is it and why the concern? Climate change is a relatively new phenomenon, referring to the changes in the Earth's climate as a result of humans releasing greenhouse gases into the atmosphere, largely through fossil fuel combustion. It is a concern because it challenges the way we live, our food resources and our environment. Climate change results in increased temperatures, more frequent and lengthy droughts and severe weather events such as flooding and cyclones. It affects agricultural productivity, increases the risk of infectious diseases such as malaria, and has the potential to destroy sensitive natural areas such as the Great Barrier Reef and alpine regions such as Kosciusko National Park. Increased temperatures can also lead to sea level rise as glaciers and ice caps melt, threatening low-lying populated areas. Thanks to publications such as the Stern Review on the Economics of Climate Change, the public is increasingly aware of the costs involved for present and future generations if action to reduce the impact of climate change is not taken. The call to action is not only coming from left-wing environmentalists...

The tyranny of distance - can Chile use the Free Trade Agreement with Australia to establish itself as a viable trading partner in the Asia Pacific?

Scanlan, Emma
Fonte: Universidade Nacional da Austrália Publicador: Universidade Nacional da Austrália
Tipo: Relatório
Relevância na Pesquisa
36.97%
Australia and Chile are both located at the very edge of the Pacific Rim. As a result, they have experienced difficulties in economically engaging with other states. Both countries' geographical distances from the central markets of Europe and the United States mean that proactive efforts are necessary to engage with other economies. On 28th July 2008, Chile and Australia negotiated and signed a comprehensive free trade agreement, furthering efforts towards global integration. The "tyranny of distance" is at the root of Chile's problems when attempting to engage overseas. Economically, Chile's geographical isolation in the Pacific results in high costs on goods, as the logistics of transport across an ocean are very expensive. To a lesser extent Chile also suffers from a cultural" tyranny of distance". Chile's Spanish colonial history has clashed with its indigenous roots, resulting in a disconnected culture. When coupled with the lack of a Latin American identity amongst many Chileans, the result is that there is no cohesive regional identity to hold the region together. Globalisation and the industrialisation of East Asia have partly eroded Chile's "tyranny of distance". The relative distance between Chile and Pacific Asia is less than the United States or Europe...

Three Essays on Trading Behavior

Clark-Joseph, Adam Daniel
Fonte: Harvard University Publicador: Harvard University
Tipo: Thesis or Dissertation
EN_US
Relevância na Pesquisa
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This dissertation analyzes trading behavior in financial markets from multiple perspectives. In chapter 1, "Exploratory Trading," I investigate the mechanisms underlying high-frequency traders' capacity to profitably anticipate price movements. I develop a model of how a trader could gather valuable private information by using her own orders in an exploratory manner to learn about market conditions. The model's predictions are borne out empirically, and I find that this "exploratory trading" model helps to resolve several central open questions about high-frequency trading. Chapters 2 and 3 focus on the trading behavior of individuals. Chapter 2, "Foundations of the Disposition Effect: Experimental Evidence," (co-authored with Johanna Mollerstrom), presents and analyzes results from a laboratory experiment intended to examine if and how "regret aversion"--aversion to admitting mistakes--affects people's trading decisions. Although the experimental results resolve little about regret aversion specifically, they reveal some novel and unexpected effects, most importantly that subjects radically changed their trading decisions when they were compelled to devote a minimal amount of extra attention. In chapter 3, "Price Targets," I analyze how rational investors who privately observe information of indeterminate quality use prices to learn about whether or not their private information is valuable. I derive implications about trading behavior that not only help to explain a variety of empirical puzzles...

Automated Trading Systems: Developed and Emerging Capital Markets

Hudak, O.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 04/05/2005
Relevância na Pesquisa
37.02%
Automated trading systems on developed and emerging capital markets are studied in this paper. The standard for developed market is automated trading system with 40-days simple moving average. We tested it for the index SIX Industrial for 1000 and 730 trading days of the slovak emerging capital market. The Buy and Hold trading system was 7.80 times more profitable than this etalon trading system for active trading. Taking of profitable standard trading system from a developed capital market does not lead to optimal results on the emerging capital markets. We then studied optimized standard trading system based on the simple moving average. The parameter of optimization was the number of weeks. An optimal system was that with 5 weeks. This trading system has some of its characteristics comparable with the etalon trading system on the NYSE Composite Index. The emerging market is more risky than the developed market. The profit on the emerging market is also higher. The range of optimized system parameter is quite robust. Observed was increase of number of trades in the range from the 21 weeks to the 25 weeks. This indicates creation of a new optimal middle range trading system. Results of testing for liquid shares are quantitatively similar.; Comment: LaTeX...

Testing the performance of technical trading rules in the Chinese market

Wang, Shan; Jiang, Zhi-Qiang; Li, Sai-Ping; Zhou, Wei-Xing
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 24/04/2015
Relevância na Pesquisa
37.01%
Technical trading rules have a long history of being used by practitioners in financial markets. Their profitable ability and efficiency of technical trading rules are yet controversial. In this paper, we test the performance of more than seven thousands traditional technical trading rules on the Shanghai Securities Composite Index (SSCI) from May 21, 1992 through June 30, 2013 and Shanghai Shenzhen 300 Index (SHSZ 300) from April 8, 2005 through June 30, 2013 to check whether an effective trading strategy could be found by using the performance measurements based on the return and Sharpe ratio. To correct for the influence of the data-snooping effect, we adopt the Superior Predictive Ability test to evaluate if there exists a trading rule that can significantly outperform the benchmark. The result shows that for SSCI, technical trading rules offer significant profitability, while for SHSZ 300, this ability is lost. We further partition the SSCI into two sub-series and find that the efficiency of technical trading in sub-series, which have exactly the same spanning period as that of SHSZ 300, is severely weakened. By testing the trading rules on both indexes with a five-year moving window, we find that the financial bubble from 2005 to 2007 greatly improve the effectiveness of technical trading rules. This is consistent with the predictive ability of technical trading rules which appears when the market is less efficient.; Comment: 11 Latex pages including 2 figures and two tables

Ensemble properties of high frequency data and intraday trading rules

Baldovin, Fulvio; Camana, Francesco; Caporin, Massimiliano; Caraglio, Michele; Stella, Attilio L.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
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Regarding the intraday sequence of high frequency returns of the S&P index as daily realizations of a given stochastic process, we first demonstrate that the scaling properties of the aggregated return distribution can be employed to define a martingale stochastic model which consistently replicates conditioned expectations of the S&P 500 high frequency data in the morning of each trading day. Then, a more general formulation of the above scaling properties allows to extend the model to the afternoon trading session. We finally outline an application in which conditioned forecasting is used to implement a trend-following trading strategy capable of exploiting linear correlations present in the S&P dataset and absent in the model. Trading signals are model-based and not derived from chartist criteria. In-sample and out-of-sample tests indicate that the model-based trading strategy performs better than a benchmark one established on an asymmetric GARCH process, and show the existence of small arbitrage opportunities. We remark that in the absence of linear correlations the trading profit would vanish and discuss why the trading strategy is potentially interesting to hedge volatility risk for S&P index-based products.; Comment: 21 pages...

Prospect Theory for Online Financial Trading

Liu, Yang-Yu; Nacher, Jose C.; Ochiai, Tomoshiro; Martino, Mauro; Altshuler, Yaniv
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Relevância na Pesquisa
36.97%
Prospect theory is widely viewed as the best available descriptive model of how people evaluate risk in experimental settings. According to prospect theory, people are risk-averse with respect to gains and risk-seeking with respect to losses, a phenomenon called "loss aversion". Despite of the fact that prospect theory has been well developed in behavioral economics at the theoretical level, there exist very few large-scale empirical studies and most of them have been undertaken with micro-panel data. Here we analyze over 28.5 million trades made by 81.3 thousand traders of an online financial trading community over 28 months, aiming to explore the large-scale empirical aspect of prospect theory. By analyzing and comparing the behavior of winning and losing trades and traders, we find clear evidence of the loss aversion phenomenon, an essence in prospect theory. This work hence demonstrates an unprecedented large-scale empirical evidence of prospect theory, which has immediate implication in financial trading, e.g., developing new trading strategies by minimizing the effect of loss aversion. Moreover, we introduce three risk-adjusted metrics inspired by prospect theory to differentiate winning and losing traders based on their historical trading behavior. This offers us potential opportunities to augment online social trading...

Market-Based Farmland Conservation: Carbon Trading, Nutrient Trading, and Wetland Mitigation Banking A case study with Codorun Farms

Campbell, Catherine
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Masters' project Formato: 1032424 bytes; application/pdf
EN_US
Relevância na Pesquisa
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The burgeoning development of the market-based institutions of wetland mitigation, carbon trading, and nutrient trading provides farmers with economic incentives in the form of payments for credits to change land use practices. Payments are made to the farmer based on the number of credits generated by environmental benefits gained from changing to and continually using best management practices and a market-based determined price of those credits. Using a private client’s farm, this project explores the feasibility of participating in these institutions based on associated federal and state policies, eligibility requirements, enrollment processes, and economic costs and benefits. Codorun Farms (the Farm), a family owned 400-acre farm based in York, Pennsylvania, has asked for a guide to market-based payment programs that promote conservation practices. Codorun Farms is interested in understanding non-governmental economic incentives that can be earned in exchange for switching to and maintaining best management practices. The Farm would like to understand if it’s possible to make a profit while at the same time accruing environmental benefits. Questions to be answered include: what are the requirements for participation, is the Farm eligible...

Descriptors and Correlates of Sex Trading Amongst Active Methamphetamine Users in Cape Town, South Africa

Lion, Ryan Ridenour
Fonte: Universidade Duke Publicador: Universidade Duke
Tipo: Tese de Doutorado
Publicado em //2015
Relevância na Pesquisa
36.99%

Introduction: South Africa has witnessed a tremendous rise in methamphetamine consumption since the year 2000. Sex trading is a phenomenon that has been observed in active drug users, globally and within South Africa, and has been associated with risks for HIV infection and violence. This paper is a secondary analysis examining sex trading among active methamphetamine users in Cape Town, South Africa. Methods: Respondent driven sampling was used to recruit 360 active methamphetamine users in a peri-urban township in Cape Town. A structured clinical interview and computerized survey were used to assess history of sex trading, demographics, drug use, sexual risk behaviors, history of violence, and mental health. Logistic regression models were used to examine predictors of sex trading, separately for men and women. Results: In a total sample of 201 men and 159 women, 40% of men and 33% of women endorsed trading sex for tik or money in the past 3 months. Those who traded sex were more likely to meet the criteria for ICD-10 amphetamine dependence among both men (OR=4.59, 95% CI=1.31-16.13) and women (OR=8.00, 95% CI: 1.02-62.59). Men who were concurrent heroin users were also more likely to exchange sex (OR=2.58, 95% CI: 1.06-6.28). Sexual risk behaviors were significantly associated with sex trading. Notably...

Análise empírica da prática de insider trading em processos de fusões e aquisições recentes na economia brasileira; Empirical analysis of insider trading in recent brazilian mergers and acquisitions

Camargos, Marcos Antônio de; Romero, Julio Alfredo Racchumi; Barbosa, Francisco Vidal
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf
Publicado em 01/12/2008 POR
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As negociações com uso de informações privilegiadas (insider trading) criam oportunidades para que alguns agentes do mercado lucrem em detrimento de outros, levando a uma transferência de riqueza entre os acionistas. O anúncio de uma fusão ou aquisição é um momento oportuno para essa prática, visto que quase sempre causa impactos significativos nas expectativas dos agentes do mercado e nos preços dos títulos. Este artigo analisou se essa prática esteve presente em processos de fusões e aquisições recentes, realizados por grandes empresas brasileiras, utilizando-se de um estudo de evento para o qual, além da análise do retorno acionário anormal, fez-se a comparação de médias de variáveis sinalizadoras do comportamento dos títulos no mercado (liquidez). Para a análise foram utilizadas ações preferenciais, ordinárias e os American Depositary Receipts (ADRs) de dez empresas diferentes. Foi encontrada evidência empírica da prática de insider trading no retorno acionário anormal e na quantidade de negociações, além de se observarem indícios dessa prática nas demais variáveis analisadas, o que sinaliza que ocorreu um aumento da liquidez dos títulos analisados antes do anúncio.; Insider trading creates opportunities for some agents in the market to profit in detriment of others thereby transferring wealth between shareholders. Announcement of a merger or acquisition is an opportunity for this practice as it usually causes significant price changes and impacts stock market expectations of these agents. An analysis was made to detect insider trading in recent mergers and acquisitions by large Brazilian companies...