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Tomada de decis？o em futuros agropecuários com modelos de previs？o de séries temporais
Bressan, Aureliano Angel;
RAE eletr？nica , 2004, DOI: 10.1590/S1676-56482004000100005
Abstract: this research deals with the usefulness of times series models as a tool for buy and sell decisions of the brazilian bm&f future contracts, in dates nearby the expiration. the models considered were arima, artificial neural networks and dynamic linear models. the data corresponds to the weekly quotations of coffee, soybeans and live cattle prices in the spot and futures markets, between 1996 and 1999. the main objective is to calculate the medium returns of each model in buy and sell operations, in way to provide an indication of the potentials or limitations of each one, using the sharpe index as a comparison tool. the results indicate the financial returns are positive in most of the analyzed contracts, indicating the potential use of those models in negotiations of contracts for dates close to expiration, with prominence for operations based in the forecasts of the arima and dynamic linear models.
Previs？o n？o-linear de retornos na BOVESPA: volume negociado em um modelo auto-regressivo de transi？？o suave
Iquiapaza, Robert Aldo;Bressan, Aureliano Angel;Amaral, Hudson Fernandes;
Revista de Administra？？o Contemporanea , 2010, DOI: 10.1590/S1415-65552010000100009
Abstract: in this study, the predictive power of a logistic smooth transition auto regression model (lstar) in generating statistically significant returns is evaluated when the transition variable is trading volume and the lagged return itself, for the s？o paulo stock exchange's ibovespa index, with the analysis based on daily data between 1996 and 2006. the reason for the inclusion of trading volume is found in some market characteristics and behavioral finance results, which indicate the existence of a negative relationship between trading volume and future returns. the model shows a good adjustment to the data, although it does not have the ability to generate additional profits if the transaction costs are of 0.5% per trade. for lower costs there is some predictive power, though lower than an ar(1) model and a buy and hold strategy. considering the risk, for transaction costs of 0.035% per trade, the autoregressive model permitted a sharpe index 20% larger than the buy and hold strategy.
Análise do "efeito tamanho" nos retornos das a？？es de empresas listadas na Bovespa
Antunes, Gustavo Amorim;Lamounier, Wagner Moura;Bressan, Aureliano Angel;
Revista Contabilidade & Finan？as , 2006, DOI: 10.1590/S1519-70772006000100007
Abstract: this study analyzes the performance of stocks listed on bovespa - the s？o paulo stock exchange - between 03/17/1998 and 08/03/2004. first, stationarity was tested in order to check whether these stocks followed the random walk model. the results showed that all returns were stationary. in relation to prices, 90% of all stock prices revealed a unit root, that is, they followed the random walk model at level. the other 10% were rarely traded. these findings suggest that the brazilian stock market is efficient in its weak form. then, the efficiency of the brazilian market in its semi-strong form was also tested in terms of the firm's size, by estimating a conditional capm. the traditional proxy used to measure a firm's size is the market value. however, other size proxies like book value and profit were also used. the results revealed that, independently of the proxy used, no size portfolio was capable of obtaining systematically abnormal returns. finally, a significant correlation was found between beta and size only when book value is used as a size proxy. nevertheless, its coefficients were low and their signals were inconsistent. in general terms, these results suggest that the brazilian market is also efficient in its semi-strong form.
Previs o N o-linear de Retornos na BOVESPA: Volume Negociado em um Modelo Auto-Regressivo de Transi o Suave
Robert Aldo Iquiapaza,Aureliano Angel Bressan,Hudson Fernandes Amaral
Revista de Administra？？o Contemporanea , 2010,
Abstract: In this study, the predictive power of a logistic smooth transition auto regression model (LSTAR) in generating statistically significant returns is evaluated when the transition variable is trading volume and the lagged return itself, for the S o Paulo Stock Exchange’s Ibovespa Index, with the analysis based on daily data between 1996 and 2006. The reason for the inclusion of trading volume is found in some market characteristics and behavioral finance results, which indicate the existence of a negative relationship between trading volume and future returns. The model shows a good adjustment to the data, although it does not have the ability to generate additional profits if the transaction costs are of 0.5% per trade. For lower costs there is some predictive power, though lower than an AR(1) model and a buy and hold strategy. Considering the risk, for transaction costs of 0.035% per trade, the autoregressive model permitted a Sharpe index 20% larger than the buy and hold strategy.
Modelos de previs o de pre os aplicados aos contratos futuros de boi gordo na BM&F Models of price forecasting applied to futures contracts of live cattle at the Brazilian Futures Market - BM&F
Aureliano Angel Bressan,Jo？o Eustáquio de Lima
Nova Economia , 2002,
Abstract: This paper studies the applicability of time series models as a decision tool of buy and sell orders of live cattle futures contracts in the Brazilian Futures Market (BM&F), on dates close to expiration. The models considered are: ARIMA, Neural Networks and Dynamic Linear Models - DLM (this in the classic and bayesian approach). Weekly data, of the spot and futures markets, from 1996 to 1999, are used to calculate the forecasts. The main purpose is to calculate the returns, in buy/sell orders of live cattle futures between 1998 and 1999, in order to show the potentials or limitations of each model. The results show positive returns in almost all contracts analyzed, indicating the potential of the models as a decision tool in operating with futures contracts close to expiration date, with distinction on the performance of the Classic DLM and ARIMA models, although some differences in forecasting accuracy.
Conditional CAPM in the Brazilian Market: a study of the Moment, Size and Book to Market effects between 1995 and 2008
Frederico Valle e Flister,Aureliano Angel Bressan,Hudson Fernandes Amaral
Revista Brasileira de Finan？as , 2011,
Abstract: This work investigates the ability of the conditional CAPM to explain anomalous returns related to momentum, size and book-to-market effects using Lewellen and Nagel’s (2006) methodology in the Brazilian stock market. To this end we studied a sample of Bovespa’s stocks in a monthly basis from July 1995 to June 2008. The results indicate that only the book-to-market effect presents statistical significance. The conditional model, tested from time series of 12 months, also showed no significant gains in relation to the unconditional form. However, there are evidences that betas do vary over time, suggesting that the sample size on beta calculations may influence portfolio choices, i.e., the evidence of variation in betas over time means that analysis based on the CAPM should be cautious when using unconditional models.
Abnormal Returns in the Ibovespa Using Models for High-Frequency Data
Nelson Ferreira Fonseca,Wagner Moura Lamounier,Aureliano Angel Bressan
Revista Brasileira de Finan？as , 2012,
Abstract: This article aims to identify profitable trading strategies based on the effects of leads and lags between the spot and futures equity markets in Brazil, using high frequency data. To achieve this objective and based on historical data of the Bovespa and the Bovespa Future indexes, four forecasting models have been built: ARIMA, ARFIMA, VAR, and VECM. The trading strategies tested were: net trading strategy, buy and hold strategy, and filter strategy – better than average predicted return. The period of analysis of this paper extends from August 1, 2006 to October 16, 2009. In this work, it was possible to obtain abnormal returns using trading strategies with the VAR model on the effects of leads and lags between the Bovespa index and Bovespa Future index.
Latent Fundamentals Arbitrage with a Mixed Effects Factor Model
Andrei Salem Gon？alves,Robert Aldo Iquiapaz,Aureliano Angel Bressan
Revista Brasileira de Finan？as , 2012,
Abstract: We propose a single-factor mixed effects panel data model to create an arbitrage portfolio that identifies differences in firm-level latent fundamentals. Furthermore, we show that even though the characteristics that affect returns are unknown variables, it is possible to identify the strength of the combination of these latent fundamentals for each stock by following a simple approach using historical data. As a result, a trading strategy that bought the stocks with the best fundamentals (strong fundamentals portfolio) and sold the stocks with the worst ones (weak fundamentals portfolio) realized significant risk-adjusted returns in the U.S. market for the period between July 1986 and June 2008. To ensure robustness, we performed sub period and seasonal analyses and adjusted for trading costs and we found further empirical evidence that using a simple investment rule, that identified these latent fundamentals from the structure of past returns, can lead to profit.
Análise da domina？？o de membros tomadores ou poupadores de recursos nas cooperativas de crédito mineiras
Bressan, Valéria Gama Fully;Braga, Marcelo José;Bressan, Aureliano Angel;
Economia Aplicada , 2012, DOI: 10.1590/S1413-80502012000200006
Abstract: the aim of this study was to identify the dominance behavior in credit unions affiliated to the sicoob-crediminas system in minas gerais state, brazil. borrower-dominated unions are those that offer low borrowing rates and also low saving rates, while saver-dominated unions practice higher rates for savings as well as for loans. the results indicate that sicoob-crediminas unions are dominated by borrowing members, with better savings and loan rates, in comparison to the rates committed by the banking system.
Avalia？？o de insolvência em cooperativas de crédito: uma aplica？？o do sistema Pearls
Bressan, Valéria Gama Fully;Braga, Marcelo José;Bressan, Aureliano Angel;Resende Filho, Moisés de Andrade;
RAM. Revista de Administra？？o Mackenzie , 2011, DOI: 10.1590/S1678-69712011000200006
Abstract: this study aimed at estimating the insolvency probability for credit unions from the state of minas gerais, conditioned on the pearls system financial ratios which is recommended by the world council of credit unions, a system whose main objective is to enable performance monitoring of individual credit cooperatives, helping their managers to find solutions to deficiencies of these institutions. in this study, insolvency was classified as the cooperative wich: failed to send statements to the central bank of brazil, had negative equity or negative adjusted net worth, or even if it were classified in the following situations by the central bank of brazil: paralyzed, in liquidation, canceled/closed and in ordinary liquidation. from a database of 9,456 observations collected from a sample of 112 cooperatives affiliated to sicoob-crediminas between january 1995 and may 2008, a set of logit class models were estimated. the results obtained with the best fit allow us to infer that the financial ratios "allowance for loan losses/ allowances required for overdue loans", "non-financial investments/total assets", "non-earning assets/total assets", and "services income/ managerial expenses" were the most relevant in determining the likelihood of insolvency of cooperatives in our sample. these results support the hypothesis that the monitoring of financial accounting ratios of the pearls system, which has not been the focus of the traditional analysis of balance sheets, is important for determining the probability of insolvency of credit unions, assisting their managers in identifying risk factors, as well as in creating a benchmark for comparing the performance of cooperatives, facilitating the supervision process by regulators. however, expansion of the estimated results for subsequent periods and other credit unions in brazil must be done carefully, with alternative specifications to be evaluated in order to capture changes in the economic and administrative structure of the
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