JEFAS Vol. 18 Suppl. (2013)
URI permanente para esta colecciónhttps://hdl.handle.net/20.500.12640/4123
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Ítem Solo Metadatos The relevance of using accounting fundamentals in the Mexican stock market(Universidad ESAN. ESAN Ediciones, 2013-10-30) Dorantes Dosamantes, Carlos AlbertoThis paper examines the value relevance of accounting fundamentals in the Mexican Stock Market ([BMV] – Bolsa Mexicana de Valores). The research question that motivated the paper was: Can accounting fundamentals provide relevant information to better understand firm value? More specifically, the paper examines whether the application of an accounting fundamental strategy to select stocks of a portfolio can systematically yield significant and positive excess market buy-and-hold returns after one and two years of portfolio formation. Based on valuation theory, accounting research and the maturity level of the BMV, a set of accounting fundamental signals is proposed that reflects information that influences security prices, but not necessarily in a timely manner. Using quarterly financial and market data from 196 BMV stocks from 1991 to 2011, it is shown that after controlling for earnings, book-to-market ratio and firm size, the fundamental strategy proposed here provides value information relevant to investors. The relationship between the accounting fundamental signals proposed and the buy-and-hold market future return (one-year and two-year returns) is significant and positive considering the 1991-2011 period. Portfolios formed with high scores of these signals show an average of 1.62% market excess annual return between 1991 and 2011, and about 9% between 1997 and 2011. Besides the practical implication of the findings –e.g. the possibility mispriced securities– this paper contributes to the scarce accounting research in Latin American capital markets by furthering understanding of the “post-earnings” drift phenomenon in the BMV.Ítem Solo Metadatos Factors influencing Brazilian value investing portfolios(Universidad ESAN. ESAN Ediciones, 2013-10-30) Holloway, Pedro; Rochman, Ricardo; Laes, MarcoThis study contributes to research on value investing in Brazil analyzing the Brazilian funds that adopt this philosophy. The goal is to identify some of the factors that influence the decisions of value investing managers to maintain an asset in their portfolios. The results point out that the variables that influence portfolio managers to maintain a stock in their assets under management are greater stability in earnings per share high ROA (Return on Assets) high gross margin company size and liquidity of the shares.Ítem Solo Metadatos The determinants of the long term private investment in Brazil: an empyrical analysis using Cross-section and a Monte Carlo Simulation(Universidad ESAN. ESAN Ediciones, 2013-10-30) Braga Tadeu, Hugo Ferreira; Moreira Silva, Jersone TassoEmpirical studies regarding the determinants of private investment in developing countries including Brazil have demonstrated the high inflation’s rates negative impact on investment. However the recent Brazilian’s experience clearly shows that stabilization is not capable of recovering investment’s rates. Therefore the objectives of this study are: a) to analyze the long term private investment’s determinants in Bra zil; b) analyze if the Brazilian economy has been impacted by the crowding-in or crowding-out effetcs; and c) analyze the macronomic variables’ behavior during the 2012 to 2017 period. In order to do this we used a cross section econometric analysis and a Monte Carlo Simulation for the data analysis. The paper presents the main investment theories and recent developments of these theories as well as how they can be applied to the Brazilian data. The results show evidences of a public investment crowding-in effect in infrastructure over the private investment. All the analyzed variables’ signs are consistent with the theory with the exception of the real interest’s rates where the coefficient is positive and insignificant in the estimated equation. The reduction in the credit’s vol. and the existence of political and economic instabilities showed that they are harmful to private investment in the analyzed period. The implementation of public policies in order to guarantee economic stability and improve the government’s credibility along with the increase of credit offer could boost private investment in Brazil.
