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Publications

Publications by Carlos Alves

2018

Mecanismos de controle na governança corporativa das empresas estatais: uma comparação entre Brasil e Portugal

Authors
Fontes Filho, JR; Alves, CF;

Publication
Cadernos EBAPE.BR

Abstract
Resumo Este estudo visa a identificar como mecanismos de controle externo e interno da governança corporativa, tipicamente considerados no setor empresarial privado, são aplicados ou transformados para o setor público nas empresas estatais. A partir de uma revisão do problema de agência e dos mecanismos propostos para sua mitigação no contexto empresarial, este estudo analisa a situação da governança das empresas estatais no Brasil e em Portugal, com vistas a comparar as soluções adotadas nos dois países e as necessidades de desenvolvimento. Além de compartilhar histórias e fundamentos culturais comuns, esses países são caracterizados como ambientes de pouca segurança aos investidores e fragilidade de instrumentos de solução de litígios, por estruturas de propriedade concentradas e por mercados de capitais ainda insuficientes para pressionar o comportamento das empresas, condições que fragilizam os mecanismos de mercado de controle externo e amplificam a influência das peculiaridades das questões internas de governança das estatais. As análises apontam significativas evoluções recentes nas práticas de governança das estatais, mas identificam desafios que ainda precisam ser direcionados.

2020

Exposition of evidence for idiosyncratic versus induced seasonality in ETF performance

Authors
Alves, CF; Reis, DA;

Publication
Applied Economics Letters

Abstract
An exchange-traded fund (ETF) is a marketable security that tracks a stock index, a commodity, bonds, or a basket of assets. Therefore, returns of ETFs that track a benchmark index portfolio should mimic the returns of their benchmark indexes. If a benchmark index’s performance exhibits a seasonal pattern, then the performance of its associated ETF should replicate that pattern. This type of ETF performance seasonality is induced by trends in the market of securities in the benchmark index portfolio. Any other seasonality can be considered to be idiosyncratic. Based on a sample of 148 ETFs listed in NYSE Arca, this article provides evidence of a half-year effect (higher performance in the first half-year), a quarter effect (outperformance of the second quarter and underperformance of the fourth quarter), and month within the quarter effect (higher and lower performance in the first and third months of each quarter, respectively). Additionally, superior and inferior performance were observed in April and December, respectively. These seasonal patterns are not visible on benchmark indexes, with the exception of the unusually positive performance in April, which can be considered induced seasonality. The other effects, which cannot be attributed to underlying markets, are evidence of idiosyncratic seasonality. © 2019, © 2019 Informa UK Limited, trading as Taylor & Francis Group.