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CAPM condicional: impacto da idade da empresa e da inovação na volatilidade do mercado na precificação de ativos financeiros no Brasil; Conditional capm: the impact of firm age and of innovation in market volatility on the capital asset pricing in Brazil

Carrera Junior, José Marcos
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 22/10/2014 PT
Relevância na Pesquisa
46.32%
O modelo CAPM pressupõe, dentre outros fatores, a existência de informação completa. Entretanto esta é uma premissa extrema, e por isso a análise da interação da disponibilidade e qualidade da informação e dos retornos dos ativos se faz necessária. Uma das medidas de disponibilidade de informação é a idade, e neste sentido quanto maior o tempo de listagem de um ativo, maior seria o volume de informações disponíveis, reduzindo as incertezas e, portanto reduzindo o retorno esperado em função do menor risco. Não obstante mudanças nas condições de mercado, como em sua volatilidade, podem impactar o retorno dos ativos, sendo a magnitude do impacto dependente não somente das características da firma como também do nível de informação a respeito da empresa. Neste contexto este trabalho se propõe a analisar o impacto da idade e da inovação na volatilidade do mercado nos retornos e riscos de ativos financeiros, procurando averiguar a existência de um prêmio pela idade em situações de aumento na volatilidade do mercado. Analisando dados mensais de uma amostra composta por todas as ações listadas na Bolsa de Valores, Mercadorias e futuros de São Paulo entre os anos de 1995 e 2012, verificamos que empresas com menor tempo de listagem apresentaram um maior risco...

Avaliação de fatores determinantes e da taxa de incidência da condição DFD (Dark, Firm, Dry) na carne de bovinos abatidos no matadouro da ilha Terceira

Rodrigues, Ana Rita Ramos
Fonte: Universidade dos Açores Publicador: Universidade dos Açores
Tipo: Dissertação de Mestrado
Publicado em 13/06/2014 POR
Relevância na Pesquisa
36.16%
Dissertação de Mestrado, Engenharia Zootécnica, 13 de Junho de 2014, Universidade dos Açores.; Este trabalho tem como objetivo avaliar a incidência da condição DFD (Dark,Firm, Dry) na carne de bovinos abatidos no Matadouro da Ilha Terceira. Foram utilizados 131 animais tendo em conta: o sexo, a categoria comercial (A, B, C, D, D, E, Z e V, a idade (entre os 8 e os 190 meses), o peso (<200 Kg e 200-400 Kg), a raça (Holstein-Frísia e Cruzado de Carne), o sistema de produção (Intensivo ou Extensivo), o estado de jejum, a distância de transporte ao matadouro (0-20 Km e >20 Km), e o tempo de repouso pré- abate na abegoaria. Os valores de pH foram medidos na parte esquerda da carcaça, em 3 músculos: o Longissimus Dorsi (na zona da 5ª vertebra lombar), o Suprapinatus e o Semitendinossus. A medição foi efetuada em dois tempos (i.e. 45m e 24h) distintos no post-mortem (45m e 24h). O critério utilizado para determinação da condição DFD foi o valor de pH >6.0. Os dados foram tratados com recurso a teste t de Student, ANOVA, χ2,correlação e regressão linear simples e múltipla. Não foram observadas diferenças significativas entre músculos no que se refere à incidência de DFD. Apenas se verificou um efeito do sexo...

An investigation of the internal influences on firm growth in female owner-managed established firms

Costin, Yvonne
Fonte: University of Limerick Publicador: University of Limerick
Tipo: info:eu-repo/semantics/doctoralThesis; all_ul_research; ul_published_reviewed; ul_theses_dissertations
ENG
Relevância na Pesquisa
36.31%
peer-reviewed; This research is an investigation of the internal influences on firm growth in female owner-managed firms operating in Ireland. The research contributes by providing an understanding of how a range of internal characteristics and strategic-related activities influence small firm growth specifically in female-owned firms, having previously been identified as an under-researched area. Specifically, an in-depth investigation of how female owner-manager characteristics, firm characteristics and strategic-related activities influence firm growth is conducted, with a view to identifying if common characteristics are evident amongst high-growth female-owned firms. Three measures are used to assess firm growth - turnover, employment and turnover per employee. The research methodology adopted is quantitative in nature, employing a structured questionnaire. In total, 176 usable responses were obtained. This research confirms that firm growth is a complex issue, influenced by a range, rather than a single set of characteristics. The empirical findings demonstrate that specific distinguishable characteristics including age, education, and prior employment experience are prevalent amongst high growth female owner-managers. Coupled with this are firm characteristics such as firm age...

Trade Liberalization, Firm Heterogneity, and Wages : New Evidence from Matched Employer-Employee Data

Krishna, Pravin; Poole, Jennifer P.; Senses, Mine Zeynep
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
36.3%
In this paper, the authors use a linked employer-employee database from Brazil to examine the impact of trade reform on the wages of workers employed at heterogeneous firms. The analysis of the data at the firm-level confirms earlier findings of a differential positive effect of trade liberalization on the average wages at exporting firms relative to non-exporting firms. However, this analysis of average firm-level wages is incomplete along several dimensions. First, it cannot fully account for the impact of a change in trade barriers on workforce composition especially in terms of unobservable (time-invariant) characteristics of workers (innate ability) and any additional productivity that obtains in the context of employment in the specific firm (match specific ability). Furthermore, the firm-level analysis is undertaken under the assumption that the assignment of workers to firms is random. This ignores the sorting of worker into firms and leads to a bias in estimates of the differential impact of trade on workers at exporting firms relative to non-exporting firms. Using detailed information on worker and firm characteristics to control for compositional effects and using firm-worker match specific effects to account for the endogenous mobility of workers...

Employment Growth Patterns in South Asia : Some Evidence from Interim Enterprise Survey Data

Friesenbichler, Klaus
Fonte: Banco Mundial Publicador: Banco Mundial
Relevância na Pesquisa
36.16%
This paper analyzes firm growth patterns in South Asia, using establishment level data from an Interim Enterprise Survey. The survey was conducted by the World Bank in 2009 and 2010 and covers seven countries in the region. The first finding suggests that size in the base year gains importance for employment growth and firm age is statistically insignificant for growth. This contradicts the thought that young and small firms are the bearers of growth. Second, establishments in larger localities expanded faster, confirming the observation of urban centers as growth poles. Third, establishments in areas of severe conflict performed worse than establishments in other areas. Interestingly, the distribution of growth rates shows that both firm growth and fast-growing firms exist in conflict regions.

A Firm-Level Analysis of Small and Medium Size Enterprise Financing in Poland

Klapper, Leora; Sarria-Allende, Virginia; Zaidi, Rida
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Relevância na Pesquisa
36.16%
The authors test competing theories of capital structure choices using firm-level data on firm borrowings. The majority of firms in the dataset are privately owned, young, micro or small and medium enterprise (SME) firms concentrated in the service sector. In general, the financing pattern of firms is low leverage ratios and, in particular, low levels of intermediated financing and long-term financing. Average firm growth rates decreased during the five years of the sample period. Average profitability growth ratios are also negative across age and sectors and large firms have the highest negative profit growth rates. Statistical tests find a positive firm size effect on financial intermediation. Larger firms have higher leverage ratios (both short term and long term), including higher use of trade credit. There is also a negative influence of profitability on leverage ratios (more profitable firms use less external financing), which supports the "pecking order" theory that in environments with greater asymmetric information (such as weaker credit information) firms prefer to use internal or inter-firm financing. Finally, firms operating in a competitive environment have higher leverage ratios. For instance, young, small firms are the most active employment generators in the Polish economy. In particular...

What Have We Learned from the Enterprise Surveys Regarding Access to Credit by SMEs?

Kuntchev, Veselin; Ramalho, Rita; Rodriguez-Meza, Jorge; Yang, Judy S.
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
36.18%
Using a unique firm level data set -- the Enterprise Surveys -- this paper develops a new measure of credit-constrained status for firms using hard data instead of perceptions data. The paper classifies firms into four ordinal categories: Not Credit Constrained, Maybe Credit Constrained, Partially Credit Constrained, and Fully Credit Constrained to understand the characteristics of the firms that fall into each group. Comparable data from the Enterprise Surveys for 116 countries are used to look at the relationship between firm size and credit-constrained status. First, the analysis finds that small and medium enterprises are more likely to be credit constrained (either partially or fully) than large firms. Furthermore, small and medium enterprises finance their working capital and investments mainly through trade credit and informal sources of finance. These two results hold to a large extent in all the regions of the developing world. Second, although size is a significant predictor of the probability of being credit constrained...

Size and Age of Establishments : Evidence from Developing Countries

Ayyagari, Meghana; Demirguc-Kunt, Asli; Maksimovic, Vojislav
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
EN_US
Relevância na Pesquisa
36.36%
Survey data from 120 developing countries are used to examine the relation between establishment size and age in the formal sector. Existing research suggests that manufacturing establishments in developing countries do not grow over time, most likely because of market imperfections and regulations. To the contrary, this paper finds that the average plant in developing countries that is more than 40 years old employs almost five times as many workers as the average plant that is five years old or younger. The analysis finds consistent evidence when it looks within a large country, India, based on detailed manufacturing census data over 23 years. It also finds that differences in financial development across Indian states, while substantial, have a minor effect on firm growth, consistent with inefficiency of state-owned financial systems. These results hold controlling for differences in labor regulations across states, capital intensity, labor regulations, and firms born before and after the major reforms.

Does Local Financial Development Matter for Firm Lifecycle in India?

Ayyagari, Meghana; Demirguc-Kunt, Asli; Maksimovic, Vojislav
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
EN_US
Relevância na Pesquisa
36.31%
The differences in financial development across Indian states, while seeming substantial, have a minor effect on firm lifecycle and growth. These results hold controlling for differences in labor regulations across states, capital intensity, and for firms born before and after the major reforms. There is no evidence that firms in financially dependent industries have different lifecycle profiles or grow faster in financially developed states than underdeveloped states. Overall, firms in the formal manufacturing sector grow as they age whereas in the informal sector, firms have a declining lifecycle, but in both cases little evidence is found that financial institutions matter for firm lifecycle. The findings of this paper suggest that size and depth differences in financial development across Indian states are likely dwarfed by overall inefficiencies that characterize state-dominated financial systems, with important implications for the reforms of the Indian financial system going forward.

Firms' age, process innovation and productivity growth

Huergo, Elena; Jaumandreu, Jordi
Fonte: Elsevier Publicador: Elsevier
Tipo: info:eu-repo/semantics/acceptedVersion; info:eu-repo/semantics/article
Publicado em /04/2004 ENG
Relevância na Pesquisa
45.88%
This paper looks directly at the impact of firms' age and (process) innovations on productivity growth. A model that specifies productivity growth as an unknown function of these variables is devised and estimated using semiparametric methods. Results show that firms enter the market experiencing high productivity growth and that above-average growth rates tend to last for many years, but also that productivity growth of surviving firms converges. Process innovations at some point then lead to extra productivity growth, which also tends to persist somewhat attenuated for a number of years.

Corporate Growth, Age and Ownership Structure: Empirical Evidence in Spanish Firms; Journal of Business Economics and Management

de Jorge Moreno, Justo; Laborda Castillo, Leopoldo
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Journal Article; Journal Article
EN
Relevância na Pesquisa
36.16%
The objective of this work is to analyse firm mobility among the different sectors of the Spanish economy according to a statistical classification of economic activities at the 1-digit level. Some of the stylised facts that we find are: an inverse relation between firm growth and age; an increase in new entrants' average relative size in terms of sales compared to established firms among the different industries and cohorts; the importance of the firm's initial size in entrepreneurial activity; the favourable impact of the economy on firm growth; and a positive relation between non-concentration in the ownership structure and greater mobility. In this context, an efficient corporate governance system may prove as a significant policy tool for the investment and growth prospective of the Spanish economy. The regulatory framework of the Spaniard capital market has been coordinate with the EU standards. The challenge is now mostly for the firms to adopt the appropriate corporate governance structures, in order to achieve real convergence, in terms of productivity and competitiveness, with other developed economies.

South Africa - Constraints to Growth and Employment : Evidence of the Small, Medium and Micro Enterprise Firm Survey

World Bank
Fonte: Washington, DC Publicador: Washington, DC
Tipo: Economic & Sector Work :: Pre-2003 Economic or Sector Report; Economic & Sector Work
ENGLISH; EN_US
Relevância na Pesquisa
36.2%
This report identifies several themes that cover both macroeconomic constraints as well as structural factors affecting small, medium, and micro enterprises (SMME) in South Africa. After the introduction, Chapter 2 continues to discuss firm demographics for the 800 SMME firms surveyed. Characteristics such as age, race, size, and legal status of the firm are presented along with a brief description of the entrepreneurs' motivations for starting their SMME. Chapter 3 provides information on the degree to which firms in this survey have been expanding or contracting employment and investment levels, followed by a discussion of factors limiting further expansion. This section of the report also contains ratings indicating the policies SMME firms would like local and national governments to implement or improve. The remaining chapters contain more detailed analyses of each of the main constraints identified. Chapter 4 discusses the skills shortage as well as the degree to which SMME firms are hindered by inflexible labor arrangements. Chapter 5 analyzes the capital constraints...

Drivers of Firm-Level Productivity in Russia's Manufacturing Sector

Bogetić, Željko; Olusi, Olasupo
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
36.18%
This note presents the results of an empirical analysis of firm-level productivity growth in Russia's manufacturing sector during the period 2003-08 using a rich Amadeus database as well as the recent EBRD/World Bank Business Enterprise and Performance surveys (BEEPs). The results show that productivity grew steadily between 2003 and 2008, with an annual growth rate averaging 4 percent over the period, showing no signs of a slowdown from the previous period after the 1998 crisis. Firm characteristics such as size, location, age, and the structure of firm ownership are important determinants of productivity, as evidenced by positive effects of scale economies (large firm effect), agglomeration (Moscow-city effect), private ownership, and a firm's industry dominance. Supplemental analysis of the quality of infrastructure -- water, electricity, transport, and the internet -- using BEEPS data show that infrastructure quality gaps reduce firm productivity with water supply gaps having the largest impact.

Informality in Colombia : Implications for Worker Welfare and Firm Productivity

World Bank
Fonte: World Bank Publicador: World Bank
Tipo: Economic & Sector Work :: Pre-2003 Economic or Sector Report
ENGLISH
Relevância na Pesquisa
36.24%
The level of informality in Colombia's labor market is high and persistent. When measuring informality of workers in terms of their contributions to health insurance and pension systems, 74.2 percent of all Colombian labor force was considered informal in 2008. The informality debate has taken on a new sense of urgency, as Colombia's robust economic growth in recent years has not led to significant declines in informality. Even during the period of high economic growth experienced between 2001 and 2007, the share of workers in the informal sector remained very high. This report presents new insights to develop a better understanding of the nature, causes, and consequences of informality and its implications for social policies. The study analyzes informality using the conceptual framework presented in the World Bank flagship study on informality (Perry et al 2007), which shows that informality in the region is a function of both exclusion and exit, with some workers and firms opting out of the formal sector based on their assessment of the relative benefits and costs of formality versus informality. The focus of this report is on exploring options to enhance worker welfare and firm productivity through access to public goods and services...

As the Market Churns; Estimates of Firm Exit and Job Loss Using the World Bank’s Enterprise Surveys

Aga, Gemechu; Francis, David
Fonte: World Bank Group, Washington, DC Publicador: World Bank Group, Washington, DC
Tipo: Working Paper; Publications & Research; Publications & Research :: Policy Research Working Paper
EN_US
Relevância na Pesquisa
36.18%
This paper uses a unique data set of panel firms from the World Bank's Enterprise Surveys in 47 economies, to provide estimates of the patterns of firm exit, and analyzes various firm characteristics and conditions under which firms leave the market. Firms' labor productivity and age are robustly associated with a lower likelihood of exit, consistent with conceptions of creative destruction and findings elsewhere in the literature. These findings are robust across several specifications. However, the effects are mitigated by other factors, such as use of bank financing and the presence of limited liability. Although firm size does appear to matter, its effect is lessened after accounting for labor productivity. The paper also provides basic estimates of job loss attributable to firm exit, estimating that on average 3 to 4 percent of private sector employment is lost per annum due to firm exit. Because of the challenges of data collection, the analysis relies on a necessarily conservative definition of exit and provides a framework for future work on utilizing such periodic survey panels to estimate the relative patterns of firm attrition and the associated job loss.

Firm Productivity in Bangladesh Manufacturing Industries

Fernandes, Ana Margarida
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH
Relevância na Pesquisa
46.1%
The author studies the determinants of total factor productivity (TFP) for manufacturing firms in Bangladesh using data from a recent survey. She obtains TFP measures by making use of firm-specific deflators for output and inputs. Controlling for industry, location, and year fixed effects, she finds that: (1) firm size and TFP are negatively correlated; (2) firm age and TFP exhibit an inverse-U shaped relationship; (3) TFP improves with the quality of the firm's human capital; (4) global integration improves TFP; (5) firms with research and development activities and quality certifications have higher TFP, while more advanced technologies improve TFP only in the presence of significant absorptive capacity; (6) power supply problems cost firms heavily in terms of TFP losses; and (7) the presence of crime dampens TFP.

Idade da firma, valor, desempenho e governança corporativa no Brasil

Leite, Rodrigo Martins Gomes
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
PT_BR
Relevância na Pesquisa
46.25%
Diversos artigos analisam o ciclo de vida das empresas e identificam que, ao longo do tempo, o' desempenho tem um formato de U invertido, em que a empresa atinge um nível ótimo e, a partir daí, declina devido à rigidez e à dificuldade de acompanhar as mudanças de mercado. O objetivo desse trabalho é investigar a relação existente entre idade da firma, valor e desempenho das empresas brasileiras. Verificamos também se existe efeito da idade da firma em suas práticas de governança. Analisamos 250 empresas brasileiras listadas na BM&FBovespa durante o período de 2002 a 2009. Nossos resultados indicam que, no Brasil, a relação não tem forma de U invertido, e as firmas mais velhas possuem maior valor e melhor retorno. Mostramos também que empresas mais velhas possuem melhores práticas de governança.; Several articles analyze the life cycle of companies, having identified throughout time that performance is shaped as an inverted U. The firm achieves an optimum levei and, from that point on, it declines due to the rigidity and difficulties to cope with market changes. The objective of this study is to investigate whether there is a relationship between firm age, value and performance of Brazilian companies. We innovate in the sense that we also verify if firm age affects its governance practices. We analyze 250 Brazilian companies listed at BM&FBovespa from 2002 to 2009. Our results indicate that...

Like milk or wine: Does firm performance improve with age?

Coad, Alex; Segarra Blasco, Agustí; Teruel, Mercedes
Fonte: Xarxa de Referència en Economia Aplicada (XREAP) Publicador: Xarxa de Referència en Economia Aplicada (XREAP)
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em //2010 ENG
Relevância na Pesquisa
36.34%
Our empirical literature review shows that little is known about how firm performance changes with age, presumably because of the paucity of data on firm age. For Spanish manufacturing firms, we analyse the firm performance related to firm age between 1998 and 2006. We find evidence that firms improve with age, because ageing firms are observed to have steadily increasing levels of productivity, higher profits, larger size, lower debt ratios, and higher equity ratios. Furthermore, older firms are better able to convert sales growth into subsequent growth of profits and productivity. On the other hand, we also found evidence that firm performance deteriorates with age. Older firms have lower expected growth rates of sales, profits and productivity, they have lower profitability levels (when other variables such as size are controlled for), and also that they appear to be less capable to convert employment growth into growth of sales, profits and productivity.

SMEs, Age, and Jobs; A Review of the Literature, Metrics, and Evidence

Aga, Gemechu; Francis, David C.; Rodriguez Meza, Jorge
Fonte: World Bank, Washington, DC Publicador: World Bank, Washington, DC
Tipo: Working Paper; Publications & Research :: Policy Research Working Paper; Publications & Research
ENGLISH; EN_US
Relevância na Pesquisa
36.4%
The subject of which firms are the key employers—and which of these create or destroy jobs at a faster rate—is eminently important for academics and policy makers. The relative importance of small versus large firms and old versus young firms has in particular been extensively debated and studied. Nevertheless, the results often hinge on the questions that are asked. Moreover, the categorical definitions used to define firm size and age, and the nature and coverage of the data used have important effects. This paper lays out the relevant definitions and metrics that are central to the debate, reviewing the main findings to date on the subject (with particular emphasis on results in developing economies). The paper adds updated results for 117 developing economies using the World Bank’s Enterprise Survey Data, finding that (i) small and medium enterprises and older establishments are the dominant employers in the nonagricultural private sector labor force in developing economies, and (ii) net job creation is negatively correlated with establishment age and...

Firm age, collateral value, and access to debt financing in an emerging economy: evidence from South Africa

Ezeoha,Abel; Botha,Ferdi
Fonte: South African Journal of Economic and Management Sciences Publicador: South African Journal of Economic and Management Sciences
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/01/2012 AF
Relevância na Pesquisa
66.18%
This paper applies the Blundell and Bond system generalised method of moments (GMM) two-step estimator to examine the impact of age and collateral value on debt financing, using a panel of 177 non-financial companies listed on the Johannesburg Stock Exchange over the period 1999 to 2009. The results show that South African firms have target leverage ratios and adjust their capital structures from time to time to achieve their respective targets, that the relationship between firm age and debt financing is nonmonotonic, and that firms with higher collateral value are likely to face fewer constraints on borrowing and therefore have greater access to medium-term and long-term debts. Robustness tests also reveal that during start-up and maturity stages, a firm's access to debt markets is significantly influenced by investments in assets that are acceptable to external creditors as collateral. These findings suggest that debt financing policies could be more critical for firms in the start-up and maturity stages