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Economic Gains of Realized Volatility in the Brazilian Stock Market
TEXTO PARA DISCUSSÃO No. 624 Economic gains of realized volatility in the Brazilian stock market Francisco Santos Márcio Garcia Marcelo Medeiros DEPARTAMENTO DE ECONOMIA www.econ.puc-rio.br Economic gains of realized volatility in the Brazilian stock market Abstract This paper evaluates the economic gains associated with following a volatility timing strategy based on a multivariate model of realized volatility. To study this issue we build a high frequency database with the most actively traded Brazilian stocks. Comparing with traditional volatility methods, we find that economic gains associated with realized measures perform well when estimation risk is controlled and increase proportionally to the target return. When expected returns are bootstrapped, however, performance fees are not significant, which is an indication that economic gains of realized volatility are offset by estimation risk. Keywords: Realized volatility, utility, forecasting. JEL Code: G11, G17. 1. Introduction Given the growth of financial markets and the increasing complexity of its securities, volatility models play an essential role to help the task of risk management and investment decisions. Since realization of volatility returns based on daily data is not observable, the traditional approach is to invoke parametric assumptions regarding the evolution of the first and second moments of the returns, which is the idea behind ARCH and stochastic volatility models. Nevertheless, these models fail to capture some stylized facts such as autocorrelation persistence and fat tail of returns. The availability of intraday data opens up the possibility of approximating volatility directly from asset returns. The use of an observable variable, in turn, facilitates the task of dealing with problems that involves a significant number of assets. -
United States Securities and Exchange Commission Form
UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, D.C. 20549 FORM 20-F (Mark One) ☐ REGISTRATION STATEMENT PURSUANT TO SECTION 12(b) OR (g) OF THE SECURITIES EXCHANGE ACT OF 1934 OR ☒ ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the fiscal year ended December 31, 2015 OR ☐ TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 For the transition period from to . OR ☐ SHELL COMPANY REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934 Date of event requiring this shell company report Commission file number: 001-33356 GAFISA S.A. (Exact name of Registrant as specified in its charter) GAFISA S.A. (Translation of Registrant’s name into English) The Federative Republic of Brazil (Jurisdiction of incorporation or organization) Av. Nações Unidas No. 8,501, 19th Floor 05425-070 – São Paulo, SP – Brazil| phone: + 55 (11) 3025-9000 fax: + 55 (11) 3025-9348 e mail: [email protected] Attn: Andre Bergstein – Chief Financial Officer and Investor Relations Officer (Address of principal executive offices) Securities registered or to be registered pursuant to Section 12(b) of the Act: Title of each class Name of each exchange on which registered Common Shares, without par value* New York Stock Exchange * Traded only in the form of American Depositary Shares (as evidenced by American Depositary Receipts), each representing two common shares which are registered under the Securities Act of 1933. Securities registered or to be registered pursuant to Section 12(g) of the Act: None Securities for which there is a reporting obligation pursuant to Section 15(d) of the Act: None Indicate the number of outstanding shares of each of the issuer’s classes of capital or common stock as of the close of the period covered by the annual report. -
Fidelity® Emerging Markets Discovery Fund
Quarterly Holdings Report for Fidelity® Emerging Markets Discovery Fund January 31, 2021 EMD-QTLY-0321 1.931229.109 Schedule of Investments January 31, 2021 (Unaudited) Showing Percentage of Net Assets Common Stocks – 92.7% Shares Value Belgium – 1.1% Titan Cement International Trading SA 197,000 $ 3,433,036 Bermuda – 1.4% AGTech Holdings Ltd. (a) 10,044,000 330,341 Alibaba Pictures Group Ltd. (a) 1,875,844 237,104 Credicorp Ltd. (United States) 8,363 1,257,210 Shangri‑La Asia Ltd. (a) 2,942,000 2,504,395 TOTAL BERMUDA 4,329,050 Brazil – 7.2% Alupar Investimento SA unit 374,589 1,756,078 Atacadao SA 515,200 1,792,852 Azul SA sponsored ADR (a) (b) 13,040 286,228 Equatorial Energia SA 572,241 2,355,314 LOG Commercial Properties e Participacoes SA 206,000 1,261,286 Lojas Renner SA 303,000 2,296,562 Natura & Co. Holding SA 248,153 2,225,095 Notre Dame Intermedica Participacoes SA 140,851 2,432,726 QGEP Participacoes SA 445,600 932,507 Rumo SA (a) 799,400 2,965,936 Suzano Papel e Celulose SA (a) 190,800 2,163,823 Terna Participacoes SA unit 303,214 1,778,363 TOTAL BRAZIL 22,246,770 British Virgin Islands – 0.1% Mail.Ru Group Ltd. GDR (Reg. S) (a) 17,397 453,192 Cayman Islands – 17.9% Agora, Inc. ADR (a) (b) 700 39,543 Akeso, Inc. (c) 408,429 2,849,903 Archosaur Games, Inc. (a) (c) 234,000 609,654 Bilibili, Inc. ADR (a) (b) 38,631 4,399,685 Chailease Holding Co. -
Novo Mercado and Its Followers: Case Studies in Corporate Governance Reform
5 Focus Novo Mercado and Its Followers: Case Studies in Corporate Governance Reform Maria Helena Santana Melsa Ararat Petra Alexandru B. Burcin Yurtoglu Mauro Rodrigues da Cunha Copyright 2008. For permission to photocopy or reprint, International Finance Corporation please send a request with complete 2121 Pennsylvania Avenue, NW information to: Washington, DC 20433 The International Finance Corporation All rights reserved. c/o the World Bank Permissions Desk Offi ce of the Publisher The fi ndings, interpretations, and 1818 H Street NW conclusions expressed in this publication Washington, DC 20433 should not be attributed in any manner to the International Finance Corporation, to All queries on rights and licenses its affi liated organizations, or to members including subsidiary rights should be of its board of Executive Directors addressed to: or the countries they represent. The International Finance Corporation does The International Finance Corporation not guarantee the data included in this c/o the Offi ce of the Publisher publication and accepts no responsibility World Bank for any consequence of their use. 1818 H Street, NW Washington, DC 20433 The material in this work is protected by Fax: +1 202-522-2422 copyright. Copying and/or transmitting portions or all of this work may be a violation of applicable law. The International Finance Corporation encourages dissemination of its work and hereby grants permission to the user of this work to copy portions for their personal, noncommercial use, without any right to resell, redistribute, or create derivative works there from. Any other copying or use of this work requires the express written permission of the International Finance Corporation. -
Leblon Letter 21
Leblon Letter 21 1st Quarter 2015 www.leblonequities.com.br It is our pleasure to share our 21st Leblon Letter. Once again we hope this channel of communication will be of interest, and succeed in conveying our opinion on important themes affecting our investment decisions. Thank you and regards, Leblon Equities The Quarter The table below shows Leblon Equities Funds’ performance in 1Q15 and since inception (November 28, 2008). Low Visibility... Seldom in the last 20 years has there been so little visibility of Brazil for the medium-term future (two to three years). There have been several crises of confidence, but the present one is very specific and unusual. It is unusual because the political actors involved in the responses to the problems are almost impossible to read: it is one of these moments in which people are much more important than processes or institutions (a parallel with our analyses of companies). The appointment of Joaquim Levy as Finance Minister was in the direction of the predictability that investors so much need to make investment decisions, but Levy now seems to be rapidly becoming an island in the new government team, and the measures being taken to bring Brazil back to a sustainable primary surplus – capable of stabilizing or reducing the public debt (gross and net) over the long term – have been taken with a focus on increases in revenue (taxes), rather than a cut in public spending and privatizations. Compared to other countries Brazil does not have a serious fiscal problem, involving rollover of debt. Although the nominal deficit – and the gross debt – are circumstantially high, we still have a low net debt, and a cost of debt that could fall rapidly in response to simple measures for credibility. -
Template Word 2020
Itaúsa Head Office | Av. Paulista - SP Management’s Proposal and Ordinary and Extraordinary General Stockholders’ Meeting Manual April 30, 2021, 11:00 am Virtual-only format 1 Contents 1. Message from the Chairman of the Board and the CEO ............................................................................................. 3 2. Information about the Ordinary and Extraordinary General Stockholders’ Meeting ............................................. 4 a) Date, time and format .................................................................................................................................................................................... 4 b) Opening and approval quorums................................................................................................................................................................ 4 c) Documents made available to stockholders ......................................................................................................................................... 4 d) Attendance at the General Stockholders’ Meeting ............................................................................................................................ 4 Stockholders’ identification and representation documents (“Documents”).......................................................................... 5 Guidance on representation by proxies ................................................................................................................................................. -
20160627184808Up52b75e51d
Blackrock Institucional IBrX-100 Fundo de Investimento em Ações (Administrado pela Citibank Distribuidora de Títulos e Valores Mobiliários S.A.) Demonstrativo da composição e diversificação da carteira em 31 de março de 2016 (Em milhares de Reais) Valor de % sobre mercado/ patrimônio Aplicações/especificações Quantidade realização líquido Disponibilidades 5 0,01 Operações compromissadas 50 0,14 Títulos do Tesouro Nacional 50 0,14 Tesouro Prefixado com Juros Semestrais (NTN-F) 51 50 0,14 Títulos e valores mobiliários 31.936 88,27 Cotas de fundos de investimento 4.913 13,58 iShares IBrX-Índice Brasil (IBrX-100) Fundo de Índice 120.000 4.913 13,58 Ações 27.023 74,69 Ambev S.A. 140.700 2.648 7,31 Banco Bradesco S.A. 91.200 2.518 6,95 Itaú Unibanco Holding S.A. 71.600 2.235 6,17 Petróleo Brasileiro S.A. - Petrobrás 188.500 1.769 4,88 Ultrapar Participações S.A. 16.200 1.131 3,12 Vale S.A. 85.500 1.118 3,08 BRF - Brasil Foods S.A. 18.200 934 2,58 Cielo S.A. 25.200 881 2,44 Itausa - Investimentos Itaú S.A. 99.200 810 2,24 Telefônica Brasil S.A. 16.000 724 2,00 BM&FBOVESPA S.A. - Bolsa de Valores, Mercadorias e Futuros 46.900 721 1,99 JBS S.A. 56.000 613 1,69 Krotom Educacional S.A. 52.600 604 1,67 Embraer - Empresa Brasileira de Aeronáutica S.A. 24.600 587 1,62 BB Seguridade Participações S.A. 19.000 564 1,56 Banco do Brasil S.A. -
Relatório Anual 2020 TRANSFORMAÇÃO PELAS PESSOAS INTRODUÇÃO INOVAÇÃO PARA APROXIMAR Índice Sobre O Relatório
relatório anual 2020 TRANSFORMAÇÃO PELAS PESSOAS INTRODUÇÃO INOVAÇÃO PARA APROXIMAR índice Sobre o relatório .....................................................04 Presença omnicanal ...............................................88 Mensagem da presidência ....................................05 Logística preparada ...............................................95 Segurança dos dados ...........................................96 A LOJAS RENNER S.A. Nossos negócios ....................................................08 MODA RESPONSÁVEL Sustentabilidade .....................................................14 Combate às mudanças climáticas ......................99 Governança ..............................................................19 Produtos e serviços sustentáveis .....................107 Gestão de riscos .....................................................30 Conscientização para transformar ....................120 Resultados financeiros..........................................34 ANEXOS COLABORAÇÃO PARA SUPERAR DESAFIOS Ferramentas de leitura ........................................126 Colaboradores .........................................................40 Parecer da auditoria ............................................137 Fornecedores ..........................................................57 Créditos ..................................................................139 Comunidades ..........................................................74 Clientes ....................................................................82 Proteção -
Annual Report 2020 TRANSFORMATION by PEOPLE INTRODUCTION INNOVATION to GET CLOSER Contents About the Report
annual report 2020 TRANSFORMATION BY PEOPLE INTRODUCTION INNOVATION TO GET CLOSER contents About the report .....................................................04 Omnichannel presence .........................................88 Message from the presidency .............................05 Prepared logistics .................................................95 Data security ..........................................................96 ABOUT LOJAS RENNER S.A. Our businesses .......................................................08 RESPONSIBLE FASHION Sustainability .........................................................14 Fighting climate change ........................................99 Governance .............................................................19 Sustainable products and services ..................107 Risk management ..................................................30 Awareness to transform .....................................120 Financial results .....................................................34 ATTACHMENTS COLLABORATION TO OVERCOME CHALLENGES Reading tools .......................................................126 Employees ..............................................................40 Independent auditors’ report ............................137 Suppliers .................................................................57 Credits ...................................................................139 Communities ..........................................................74 Customers ..............................................................82 -
Corporate Initiatives to Mitigate Climate Change in Brazil: an Analysis of Companies That Joined ICO2 and Brazil GHG Protocol Program
International Journal of Innovation and Research in Educational Sciences Volume 3, Issue 6, ISSN (Online): 2349–5219 Corporate Initiatives to Mitigate Climate Change in Brazil: An Analysis of Companies That Joined ICO2 and Brazil GHG Protocol Program André L. R. de Souza , José C. S. Andrade, Sônia M. S. Gomes, Rita C. S. R. Torres, Juliano A. de Faria Abstract – In this research we aimed at mapping, first case, companies take previous actions in order to analyzing and discussing the corporate initiatives that are reduce and/or eliminate their impacts on climate. In the taken by Brazilian companies which participate in ICO2 and second one, companies tackle a problem insofar as it in Brazil GHG Protocol Program to mitigate climate change. advances, adapting themselves to the scenario. Besides, We carried out an exploratory, documental and companies can take proactive attitudes through actions of bibliographical research in annual sustainable reports, migration with innovation. However, these strategies are carbon emission inventories, CDP questionnaires and official websites; we applied the content analysis technique with a not set in current scenario. qualitative and descriptive approach. The use of Due to stakeholders’ pressure, organizations are international initiatives, Global Pact, Global Reporting constantly asked to show the results of their performance Initiative (GRI) and Carbon Disclosure Project (CDP), through a consistent instrument of communication that stands out as instrument for improvement, implementation meets some requirements: transparency, management of and development of actions to mitigate climate change. We risks, relevancy, reliability, and ethical and moral also noticed alignment of some national initiatives with some responsibility. This information must support sustainable from the international scenario, such as the Corporate and profitable decisions of investment, since it has Sustainability Index and ICO2, based on New York Stock required companies to change their attitudes faced with Exchange. -
Área Temática: Gestão De Pessoas Índices De
ÁREA TEMÁTICA: GESTÃO DE PESSOAS ÍNDICES DE RENTABILIDADE VERSUS REMUNERAÇÃO E BENEFÍCIOS: UMA ANÁLISE NAS EMPRESAS DE CAPITAL ABERTO LISTADAS NA REVISTA VOCÊ S/A – MELHORES EMPRESAS PARA VOCÊ TRABALHAR 2010 AUTORES RONY PETSON S. DE SOUZA Centro Universitário Adventista de São Paulo - Universidade Regional de Blumenau [email protected] ILSE MARIA BEUREN Universidade Regional de Blumenau [email protected] LUCILENE DA SILVA GOVEIA Faculdade Adventista de Administração da Bahia - FAAD [email protected] RESUMO Dentro de uma empresa, a motivação se faz cada vez mais necessária para fazer com que todos os envolvidos no processo passem a exercer suas potencialidades em favor da empresa de uma maneira mais eficiente e eficaz. Como método de motivação mais utilizado está o pagamento de remuneração variável aos colaboradores e administradores que podem ou não estar vinculado ao alcance de metas estabelecidas para um período. Com o objetivo de verificar a correlação entre o ranking das empresas que possuem melhor índice de felicidade no trabalho, o ranking das empresas que foram melhores avaliadas pelos funcionários em questões relacionadas a remuneração e benefícios e o ranking das empresas que mais pagam remuneração fixa e variável ao pessoal chave da administração, essa pesquisa com o auxilio do software estatístico SPSS 11.5 calculou a correlação de Kendall entre os rankings acima que foi composto por 13 empresas de capital aberto listadas na BM&FBOVESPA e que estavam entre as 150 melhores empresas para trabalhar de acordo com a pela Revista Você S/A/ Exame – edição especial 2010. Como principal resultado, identificamos que as correlações entre os rankings não permitem concluir que boas classificações no ranking das empresas que mais pagam remuneração extra ou que são melhores avaliadas, não garantem boas classificações no ranking de melhores indicadores de rentabilidade. -
Geographic Listing by Country of Incorporation
FOREIGN COMPANIES REGISTERED AND REPORTING WITH THE U.S. SECURITIES AND EXCHANGE COMMISSION December 31, 2010 Geographic Listing by Country of Incorporation COMPANY COUNTRY MARKET Antigua Sinovac Biotech Ltd. Antigua Global Mkt Argentina Alto Palermo S.A. Argentina Global Mkt Banco Macro S.A. Argentina NYSE BBVA Banco Frances S.A. Argentina NYSE Cresud Sacif Argentina Global Mkt Empresa Distribuidora y Comercializadora Norte S.A. - Edenor Argentina NYSE Grupo Financiero Galicia S.A. Argentina Global Mkt IRSA Inversiones y Representacions, S.A. Argentina NYSE MetroGas S.A. Argentina OTC Nortel Inversora S.A. Argentina NYSE Pampa Energia SA Argentina NYSE Petrobras Argentina S.A. Argentina NYSE Telecom Argentina S.A. Argentina NYSE Transportadora de Gas del Sur S.A. Argentina NYSE YPF S.A. Argentina NYSE Australia Allied Gold Ltd. Australia OTC Alumina Ltd. Australia NYSE BHP Billiton Ltd. Australia NYSE Genetic Technologies Ltd. Australia Global Mkt Metal Storm Ltd. Australia OTC Novogen Ltd. Australia Global Mkt Orbital Corp Ltd. Australia OTC Prana Biotechnology Ltd. Australia Cap. Mkt Progen Pharmaceuticals Ltd. Australia OTC Rio Tinto Ltd. Australia OTC Samson Oil & Gas Ltd. Australia NYSE-Amex Sims Metal Management Ltd. Australia NYSE Westpac Banking Corp. Australia NYSE Bahamas Calpetro Tankers (Bahamas I) Ltd. Bahamas OTC - Debt Calpetro Tankers (Bahamas II) Ltd. Bahamas OTC - Debt Calpetro Tankers (Bahamas III) Ltd. Bahamas OTC - Debt Ultrapetrol (Bahamas) Ltd. Bahamas Global Mkt Belgium Anheuser-Busch Inbev SA/NV Belgium NYSE Etablissements Delhaize Freres & Cie - Le Lion Belgium NYSE Page 1 COMPANY COUNTRY MARKET Bermuda AllShips Ltd. Bermuda OTC Alpha and Omega Semiconductor Ltd. Bermuda Global Mkt Asia Pacific Wire & Cable Corp.