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Mostrando postagens com marcador finanças. Mostrar todas as postagens
Mostrando postagens com marcador finanças. Mostrar todas as postagens

30 maio 2013

Entrevista com Barry Eichengreen

Excelente entrevista retirada do site do Fed de Cleveland com o professor Barry Eichengreen.

To some, the term “economic historian” conjures up images of an academic whose only interests lie deep in the past; an armchair scholar who holds forth on days long ago but has no insights about the present. Barry Eichengreen provides a useful corrective to that stereotype. For, as much as Eichengreen has studied episodes in economic history, he seems more attuned to connecting the past to the present. At the same time, he is mindful that “lessons” have a way of taking on lives of their own. What’s taken as given among economic historians today may be wholly rejected in the future.
Barry Eichengreen is the George C. Pardee and Helen N. Pardee Professor of Economics and Professor of Political Science at the University of California, Berkeley, his hometown. He is known as an expert on monetary systems and global finance. He has authored more than a dozen books and many more academic papers on topics from the Great Depression to the recent financial crisis.
Eichengreen was a keynote speaker at the Federal Reserve Bank of Cleveland’s research conference, Current Policy under the Lens of Economic History, in December 2012. Mark Sniderman, the Cleveland Fed’s executive vice president and chief policy officer, interviewed Eichengreen during his visit. An edited transcript follows.
Sniderman: It’s an honor to talk with you. You’re here at this conference to discuss the uses and misuses of economic history. Can you give us an example of how people inaccurately apply lessons from the past to the recent financial crisis?
Eichengreen: The honor is mine.
Whenever I say “lessons,” please understand the word to be surrounded by quotation marks. My point is that “lessons” when drawn mechanically have considerable capacity to mislead. For example, one “lesson” from the literature on the Great Depression was how disruptive serious banking crises can be. That, in a nutshell, is why the Fed and its fellow regulators paid such close attention to the banking system in the run-up to the recent crisis. But that “lesson” of history was, in part, what allowed them to overlook what was happening in the shadow banking system, as our system of lightly regulated near-banks is known.
What did they miss it? One answer is that there was effectively no shadow banking system to speak of in the 1930s. We learned to pay close attention to what was going on in the banking system, narrowly defined. That bias may have been part of what led policymakers to miss what was going on in other parts of the financial system.
Another example, this one from Europe, is the “lesson” that there is necessarily such a thing as expansionary fiscal consolidation. Europeans, when arguing that such a thing exists, look to the experience of the Netherlands and Ireland in the 1980s, when those countries cut their budget deficits without experiencing extended recessions. Both countries were able to consolidate but continue to grow, leading contemporary observers to argue that the same should be true in Europe today. But reasoning from that historical case to today misleads because the circumstances at both the country and global level were very different. Ireland and the Netherlands were small. They were consolidating in a period when the world economy was growing. These facts allowed them to substitute external demand for domestic demand. In addition, unlike European countries today they had their own monetary policies, allowing them step down the exchange rate, enhancing the competitiveness of their exports at one fell swoop, and avoid extended recessions. But it does not follow from their experience that the same is necessarily possible today. Everyone in Europe is consolidating simultaneously. Most nations lack their own independent exchange rate and monetary policies. And the world economy is not growing robustly.


A third “lesson” of history capable equally of informing and misinforming policy would be the belief in Germany that hyperinflation is always and everywhere just around the corner. Whenever the European Central Bank does something unconventional, like its program of Outright Monetary Transactions, there are warnings in German press that this is about to unleash the hounds of inflation. This presumption reflects from the “lesson” of history, taught in German schools, that there is no such thing as a little inflation. It reflects the searing impact of the hyperinflation of the 1920s, in other words. From a distance, it’s interesting and more than a little peculiar that those textbooks fail to mention the high unemployment rate in the 1930s and how that also had highly damaging political and social consequences.
The larger question is whether it is productive to think in terms of “history lessons.” Economic theory has no lessons; instead, it simply offers a way of systematically structuring how we think about the world. The same is true of history.
Sniderman: Let’s pick up on a couple of your comments about the Great Depression and hyperinflation in Germany. Today, some people in the United States have the same concerns. They look at the expansion of the monetary base and worry about inflation. Do you find it surprising that people are still fighting about whether big inflation is just around the corner because of US monetary policy, and is it appropriate to think about that in the context of the unemployment situation as well?
Eichengreen: I don’t find it surprising that the conduct of monetary policy is contested. Debate and disagreement are healthy. Fiat money is a complicated concept; not everyone trusts it. But while it’s important to think about inflation risks, it’s also important to worry about the permanent damage to potential output that might result from an extended period subpar growth. To be sure, reasonable people can question whether the Fed possesses tools suitable for addressing this problem. But it’s important to have that conversation.
Sniderman: Maybe just one more question in this direction because so much of your research has centered on the Great Depression. Surely you’ve been thinking about some of the similarities and differences between that period and this one. Have you come to any conclusions about that? Where are the congruencies and incongruences?
Eichengreen: My work on the Depression highlighted its international dimension. It emphasized the role of the gold standard and other international linkages in the onset of the Depression, and it emphasized the role that abandoning the gold standard and changing the international monetary regime played in bringing it to an end.
As a student, I was struck by the tendency in much of the literature on the Depression to treat the US essentially as a closed economy. Not surprisingly, perhaps, I was then struck by the tendency in 2007 to think about what was happening then as a US subprime crisis. Eventually, we came to realize that we were facing not just a US crisis but a global crisis. But there was an extended period during when many observers, in Europe in particular, thought that their economies were immune. They viewed what was happening as an exclusively American problem. They didn’t realize that what happened in the United States doesn’t stay in the United States. They didn’t realize that European banks, which rely heavily on dollar funding, were tightly linked to US economic and financial conditions. One of the first bits of research I did when comparing the Great Depression with the global credit crisis, together with Kevin O’Rourke, was to construct indicators of GDP, industrial production, trade, and stock market valuations worldwide and to show that, when viewed globally, the current crisis was every bit as severe as that of the 1930s.
Eventually, we came to realize that we were facing not just a US crisis but a global crisis. But there was an extended period during when many observers, in Europe in particular, thought that their economies were immune.
Sniderman: Given that many European countries are sharing our financial distress, what changes in the international monetary regime, if any, would be helpful? Could that avenue for thinking of solutions be as important this time around as it was the last time?
Eichengreen: One of the few constants in the historical record is dissatisfaction with the status quo. When exchange rates were fixed, Milton Friedman wrote that flexible rates would be better. When rates became flexible, others like Ron McKinnon argued that it would be better if we returned to pegs. The truth is that there are tradeoffs between fixed and flexible rates and, more generally, in the design of any international monetary system. Exchange rate commitments limit the autonomy of national monetary policymakers, which can be a good thing if that autonomy is being misused. But it can be a bad thing if that autonomy is needed to address pressing economic problems. The reality is that there is no such thing as the perfect exchange rate regime. Or, as Jeffrey Frankel put it, no one exchange rate regime is suitable for all times and places.
That said, there has tended to be movement over time in the direction of greater flexibility and greater discretion for policymakers. This reflects the fact that the mandate for central banks has grown more complex – necessarily, I would argue, given the growing complexity of the economy. An implication of that more complex mandate is the need for more discretion and judgment in the conduct of monetary policy—and a more flexible exchange rate to allow that discretion to be exercised.
Sniderman: I’d be interested in knowing whether you thought this crisis would have played out differently in the European Union if the individual countries still had their own currencies. Has the euro, per se, been an element in the problems that Europe is having, much as a regime fixed to gold was a problem during the Great Depression?
Eichengreen: Europe is a special case, as your question acknowledges. Europeans have their own distinctive history and they have drawn their own distinctive “lessons” from it. They looked at the experience of the 1930s and concluded that what we would now call currency warfare, that is, beggar-thy-neighbor exchange-rate policies, were part of what created tensions leading to World War II. The desire to make Europe a more peaceful place led to the creation of the European Union. And integral to that initiative was the effort was to stabilize exchange rates, first on an ad hoc basis and then by moving to the euro.
Whether things will play out as anticipated is, as always, an open question. We now know that the move to monetary union was premature. Monetary union requires at least limited banking union. Banking union requires at least limited fiscal union. And fiscal union requires at least limited political union. The members of the euro zone are now moving as fast as they can, which admittedly is not all that fast, to retrofit their monetary union to include a banking union, a fiscal union, and some form of political union. Time will tell whether or not they succeed.
But even if hindsight tells us that moving to a monetary union in 1999 was premature, it is important to understand that history doesn’t always run in reverse. The Europeans now will have to make their monetary union work. If they don’t, they’ll pay a high price.
I didn’t anticipate the severity and intractability of the euro crisis. All I can say in my defense is that no one did.
Sniderman: Let me pose a very speculative question. Would you say that if the Europeans had understood from the beginning what might be required to make all this work, they might not have embarked on the experiment; but because they did it as they did, there’s a greater likelihood that they’ll do what’s necessary to make the euro system endure? Is that how you’re conjecturing things will play out?
Eichengreen: If I may, allow me to refer back to the early literature on the euro. In 1992, in adopting theMaastricht Treaty, the members of the European Union committed to forming a monetary union. That elicited a flurry of scholarship. An article I wrote about that time with Tamim Bayoumi looked at whether a large euro area or a small euro area was better. We concluded that a small euro area centered on France, Germany, and the Benelux countries made more sense. So one mistake the Europeans made, which was predictable perhaps on political grounds, though no more excusable, was to opt for a large euro area.
I had another article in the Journal of Economic Literature in which I devoted several pages to the need for a banking union; on the importance, if you’re going to have a single currency, single financial market and integrated banking system, of also having common bank supervision, regulation, and resolution. European leaders, in their wisdom, thought that they could force the pace. They thought that by moving to monetary union they could force their members to agree to banking union more quickly. More quickly didn’t necessarily mean overnight; they thought that they would have a couple of decades to complete the process. Unfortunately, they were side-swiped by the 2007-08 crisis. What they thought would be a few decades turned out to be one, and they’ve now grappling with the consequences.
Sniderman: You’ve written about the dollar’s role as a global currency and a reserve currency, and you have some thoughts on where that’s all headed. Maybe you could elaborate on that.
Eichengreen: A first point, frequently overlooked, is that there has regularly been more than one consequential international currency. In the late nineteenth century, there was not only the pound sterling but also the French franc and the German mark. In the 1920s there was both the dollar and the pound sterling. The second half of the twentieth century is the historical anomaly, the one period when was only one global currency because there was only one large country with liquid financial markets open to the rest of the world—the United States. The dollar dominated in this period simply because there were no alternatives.
But this cannot remain the case forever. The US will not be able to provide safe and liquid assets in the quantity required by the rest of the world for an indefinite period. Emerging markets will continue to emerge. Other countries will continue to catch up to the technological leader, which is still, happily, the United States. The US currently accounts for about 25 percent of the global economy. Ten years from now, that fraction might be 20 percent, and 20 years from now it is apt to be less. The US Treasury’s ability to stand behind a stock of Treasury bonds, which currently constitute the single largest share of foreign central banks’ reserves and international liquidity generally, will grow more limited relative to the scale of the world economy. There will have to be alternatives.
In the book I wrote on this subject a couple of years ago, Exorbitant Privilege: The Rise and Fall of the Dollar and the Future of the International Monetary System, I pointed to the euro and the Chinese renminbi as the plausible alternatives. I argued that both could conceivably be significant rivals to the dollar by 2020. The dollar might well remain number one as invoicing currency and currency for trade settlements, and as a vehicle for private investment in central bank reserves, but the euro and renminbi could be nipping at its heels.
In the fullness of time I’ve grown more pessimistic about the prospects of those rivals. Back in 2010, when my book went off to the publisher, I didn’t anticipate the severity and intractability of the euro crisis. All I can say in my defense is that no one did. And I underestimated how much work the Chinese will have to do in order to successfully internationalize their currency. They are still moving in that direction; they’ve taken steps to encourage firms to use the renminbi for trade invoicing and settlements, and now they are liberalizing access to their financial markets, if gradually. But they have a deeper problem. Every reserve currency in history has been the currency of a political democracy or a republic of one sort or another. Admittedly the US and Britain are only two observations, which doesn’t exactly leave many degrees of freedom for testing this hypothesis. But if you go back before the dollar and sterling, the leading international currencies were those of Dutch Republic, the Republic of Venice, and the Republic of Genoa. These cases are similarly consistent with the hypothesis.
The question is why. The answer is that international investors, including central banks, are willing to hold the assets only of governments that are subject to checks and balances that limit the likelihood of their acting opportunistically. Political democracy and republican forms of governance are two obvious sources of such checks and balances. In other words, China will have to demonstrate that its central government is subject to limits on arbitrary action – that political decentralization, the greater power of nongovernmental organizations, or some other mechanism – that place limits on arbitrary action before foreign investors, both official and private, are fully comfortable about holding its currency.
I therefore worry not so much about these rivals dethroning the dollar as I do about the US losing the capacity to provide safe, liquid assets on the requisite scale before adequate alternatives emerge. Switzerland is not big enough to provide safe and liquid assets on the requisite scale; neither is Norway, nor Canada, nor Australia. Currently we may be swimming in a world awash with liquidity, but we shouldn’t lose sight of the danger that, say, 10 years from now there won’t be enough international liquidity to grease the wheels of twenty-first-century globalization.
Sniderman: It sounds to me as though you’re also trying to say that the United States should actually become comfortable with, perhaps even welcome, this development, because its absence creates some risks for us.
Eichengreen: I am. The United States benefits from the existence of a robust, integrated global economy. But globalization, in turn, requires liquidity. And the US, by itself, can’t all by itself satisfy the global economy’s international liquidity needs. So the shift toward a multipolar global monetary and financial system is something that we should welcome. It will be good for us, and it will be good for the global economy. To the extent that we have to pay a couple more basis points when we sell Treasury debt because we don’t have a captive market in the form of foreign central banks, that’s not a prohibitive cost.
Sniderman: And how has the financial crisis itself affected the timetable and the movement? It sounds like in some sense it’s retarding it.
Eichengreen: The crisis is clearly slowing the shift away from dollar dominance. When the subprime crisis broke, a lot of people thought the dollar would fall dramatically and that the People’s Bank of China might liquidate its dollar security holdings. What we discovered is that, in a crisis, there’s nothing that individuals, governments and central banks value more than liquidity. And the single most liquid market in the world is the market for US Treasury bonds. When Lehman Bros. failed, as a result of U.S. policy, everybody rushed toward the dollar rather than away. When Congress had its peculiar debate in August 2011 over raising the debt ceiling, everybody rushed toward the dollar rather than away. That fact may be ironic, but it’s true.
And a second effect of the crisis was to retard the emergence of the euro on the global stage. That too supports the continuing dominance of the dollar.
Sniderman: Economists and policymakers have always “missed” things. Are there ways in which economic historians can help current policymakers not to be satisfied with the “lessons” of history and get them to think more generally about these issues?
Eichengreen: It’s important to make the distinction between two questions – between “Could we have done better at anticipating the crisis?” and the question “Could we have done better at responding to it?” On the first question, I would insist that it’s too much to expect economists or economic historians to accurately forecast complex contingent events like financial crises. In the 1990s, I did some work on currency crises, instances when exchange rates collapse, with Charles Wyplosz and Andrew Rose. We found that what works on historical data, in other words what works in sample doesn’t also work out of sample. We were out-of-consensus skeptics about the usefulness of leading indicators of currency crises, and I think subsequent experience has borne out our view. Paul Samuelson made the comment that economists have predicted 13 out of the last seven crises. In other words, there’s type 1 error as well as type 2 error [the problem of false positives as well as false negatives].
Coming to the recent crisis, it’s apparent with hindsight that many economists – and here I by no means exonerate economic historians – were too quick to buy into the idea that there was such a thing as the Great Moderation. That was the idea that through better regulation, improved monetary policy and the development of automatic fiscal stabilizers we had learned to limit the volatility of the business cycle. If we’d paid more attention to history, we would have recalled an earlier period when people made the same argument: They attributed the financial crises of the 19th century to the volatility of credit markets; they believed that the founding of the Fed had eliminated that problem and that the business cycle had been tamed. They concluded that the higher level of asset prices observed in the late 1920s was fully justified by the advent of a more stable economy. They may have called it the New Age rather than the Great Moderation, but the underlying idea, not to say the underlying fallacy, was the same.
A further observation relevant to understanding the role of the discipline in the recent crisis is that we haven’t done a great job as a profession of integrating macroeconomics and finance. There have been heroic efforts to do so over the years, starting with the pioneering work of Franco Modigliani and James Tobin. But neither scholarly work nor the models used by the Federal Reserve System adequately capture, even today, how financial developments and the real economy interact. When things started to go wrong financially in 2007-08, the consequences were not fully anticipated by policymakers and those who advised them – to put an understated gloss on the point. I can think of at least two prominent policy makers, who I will resist the temptation to name, who famously asserted in 2007 that the impact of declining home prices would be “contained.” It turned out that we didn’t understand how declining housing prices were linked to the financial system through collateralized debt obligations and other financial derivatives, or how those instruments were, in turn, linked to important financial institutions. So much for containment.
Sniderman: I suppose one of the challenges that the use of economic history presents is the selectivity of adoption. And here I have in mind things like going back to the Great Depression to learn “lessons.” It’s often been said, based on some of the scholarship of the Great Depression and the role of the Fed, that the “lesson” the Fed should learn is to act aggressively, to act early, and not to withdraw accommodation prematurely. And that is the framework the Fed has chosen to adopt. At the same time, others draw “lessons” from other parts of US economic history and say, “You can’t imagine that this amount of liquidity creation, balance sheet expansion, etc. would not lead to a great inflation.” If people of different viewpoints choose places in history where they say, “History teaches us X,” and use them to buttress their view of the appropriate response, I suppose there’s no way around that other than to trying, as you said earlier, to point out whether these comparisons are truly apt or not.
Eichengreen: A considerable literature in political science and foreign policy addresses this question. Famous examples would be President Truman and Korea on the one hand, and President Kennedy and the Cuban Missile Crisis on the other. Earnest May, the Harvard political scientist, argued that Truman thought only in terms of Munich, Munich having been the searing political event of his generation. Given the perspective this created, Truman was predisposed to see the North Koreans and Chinese as crossing a red line and to react aggressively. Kennedy, on the other hand, was less preoccupied by Munich. He had historians like Arthur Schlesinger advising him. Those advisors encouraged him to develop and consider a portfolio of analogies and test their aptness – in other words, their “fitness” to the circumstances. One should look not only at Munich, Schlesinger and others suggested, but also to Sarajevo. It is important to look at a variety of other precedents for current circumstances, to think which conforms best to the current situation, and to take that fit into account when you’re using history to frame a response.
I think there was a tendency, when things were falling down around our ears in 2008, to refer instinctively to the Great Depression. What Munich was for Truman, the Great Depression is for monetary economists. It’s at least possible that the tendency to compare the two events and to frame the response to the current crisis in terms of the need “to avoid another Great Depression” was conducive to overreaction. In fairness, economic historians did point to other analogies. There was the 1907 financial crisis. There was the 1873 crisis. It would have been better, in any case, to have developed a fuller and more rounded portfolio of precedents and analogies and to have used it to inform the policy response. Of course, that would have required policy makers to have some training in economic history.
Sniderman: This probably brings us back full circle. We started with the uses and misuses of economic history and we’ve been talking about economic history throughout the conversation. I think it might be helpful to hear your perspective on what economic history and economic historians are. Why not just an economist who works in history or a historian who works on topics of economics? What does the term “economic history” mean, and what does the professional discipline of economic historian connote to you?
Eichengreen: As the name suggests, one is neither fish nor fowl; neither economist nor historian. This makes the economic historian a trespasser in other people’s disciplines, to invoke the phrase coined by the late Albert Hirschman. Historians reason by induction while economists are deductive. Economists reason from theory while historians reason from a mass of facts. Economic historians do both. Economists are in the business of simplifying; their strategic instrument is the simplifying assumption. The role of the economic historian is to say “Not so fast, there’s context here. Your model leaves out important aspects of the problem, not only economic but social, political, and institutional aspects – creating the danger of providing a misleading guide to policy.”
Economists reason from theory while historians reason from a mass of facts. Economic historians do both.
Sniderman: Do you think that, in training PhD economists, there’s a missed opportunity to stress the value and usefulness of economic history? Over the years, economics has become increasingly quantitative and math-focused. From the nature of the discussion we’ve had, it is clear that you don’t approach economic history as sort of a side interest of “Let’s study the history of things,” but rather a disciplined way of integrating economic theory into the context of historical episodes. Is that way of thinking about economic history appreciated as much as it could be?
Eichengreen: I should emphasize that the opportunity is not entirely missed. Some top PhD programs require an economic history course of their PhD students, the University of California, Berkeley, being one.
The best way of demonstrating the value of economic history to an economist, I would argue, is by doing economic history. So when we teach economic history to PhD students in economics in Berkeley, we don’t spend much time talking about the value of history. Instead, we teach articles and address problems, and leave it to the students, as it were, to figure how this style of work might be applied to this own research. For every self-identifying economic historian we produce, we have several PhD students with have a historical chapter, or a historical essay, or an historical aspect to their dissertations. That’s a measure of success.
Sniderman: Well, thank you very much. I’ve enjoyed it.
Eichengreen: Thank you. So have I.

5 princípios de finanças


I own one finance textbook, and I occasionally open it to remind myself how little I know about finance. It's packed with formulas on complex option pricing, the Gaussian copula function, and a chapter titled, "Assessment of Confidence Limits of Selected Values of Complex-Valued Models." I have literally no idea what that means.
Should it bother me that there's so much about finance I don't know? I don't think so. As John Reed writes in his book Succeeding:
When you first start to study a field, it seems like you have to memorize a zillion things. You don't. What you need is to identify the core principles -- generally three to twelve of them -- that govern the field. The million things you thought you had to memorize are simply various combinations of the core principles.
Evolution tells you a lot about biology. A handful of cognitive biases explain most of psychology. Likewise, there are a few core principles that explain most of what we need to know about investing.
Here are five that come to mind.
1. Compound interest is what will make you rich. And it takes time.Warren Buffett is a great investor, but what makes him rich is that he's been a great investor for two thirds of a century. Of his current $60 billion net worth, $59.7 billion was added after his 50th birthday, and $57 billion came after his 60th. If Buffett started saving in his 30s and retired in his 60s, you would have never heard of him. His secret is time.
Most people don't start saving in meaningful amounts until a decade or two before retirement, which severely limits the power of compounding. That's unfortunate, and there's no way to fix it retroactively. It's a good reminder of how important it is to teach young people to start saving as soon as possible.
2. The single largest variable that affects returns is valuations -- and you have no idea what they'll doFuture market returns will equal the dividend yield + earnings growth +/- change in the earnings multiple (valuations). That's really all there is to it.
The dividend yield we know: It's currently 2%. A reasonable guess of future earnings growth is 5% per year.
What about the change in earnings multiples? That's totally unknowable.
Earnings multiples reflect people's feelings about the future. And there's just no way to know what people are going to think about the future in the future. How could you?
If someone said, "I think most people will be in a 10% better mood in the year 2023," we'd call them delusional. When someone does the same thing by projecting 10-year market returns, we call them analysts.
3. Simple is usually better than smartSomeone who bought a low-cost S&P 500 index fund in 2003 earned a 97% return by the end of 2012. That's great! And they didn't need to know a thing about portfolio management, technical analysis, or suffer through a single segment of "The Lighting Round."
Meanwhile, the average equity market neutral fancy-pants hedge fund lost 4.7% of its value over the same period, according to data from Dow Jones Credit Suisse Hedge Fund Indices. The average long-short equity hedge fund produced a 96% total return -- still short of an index fund.
Investing is not like a computer: Simple and basic can be more powerful than complex and cutting-edge. And it's not like golf: The spectators have a pretty good chance of humbling the pros.
4. The odds of the stock market experiencing high volatility are 100%Most investors understand that stocks produce superior long-term returns, but at the cost of higher volatility.
Yet every time -- every single time -- there's even a hint of volatility, the same cry is heard from the investing public: "What is going on?!"
Nine times out of ten, the correct answer is the same: Nothing is going on. This is just what stocks do.
Since 1900 the S&P 500 (SNPINDEX: ^GSPC  ) has returned about 6% per year, but the average difference between any year's highest close and lowest close is 23%. Remember this the next time someone tries to explain why the market is up or down by a few percentage points. They are basically trying to explain why summer came after spring.
Someone once asked J.P. Morgan what the market will do. "It will fluctuate," he allegedly said. Truer words have never been spoken.
5. The industry is dominated by cranks, charlatans, and salesman.
  • The vast majority of financial products are sold by people whose only interest in your wealth is the amount of fees they can sucker you out of.
  • You need no experience, credentials, or even common sense to be a financial pundit. Sadly, the louder and more bombastic a pundit is, the more attention he'll receive, even though it makes him more likely to be wrong.
This is perhaps the most important theory in finance. Until it is understood you stand a high chance of being bamboozled and misled at every corner.
"Everything else is cream cheese."
Fonte: aqui

01 novembro 2012

Dificuldade de contratação na área de finanças

Do G1, em São Paulo. Indicado por Glauber Barbosa, a quem agradecemos.

A escassez de profissionais qualificados na área financeira tem se agravado no Brasil, de acordo com pesquisa global da Robert Half, empresa de recrutamento especializado - 90% dos CFOs brasileiros estão preocupados com a perda de colaboradores de alto desempenho nos próximos 12 meses. Os executivos brasileiros lideram o “ranking de preocupação à frente de outros 14 países e grandes centros participantes. No início deste ano o mesmo levantamento mostrou apenas 71% dos executivos do país preocupados.

Além da preocupação com a retenção de profissionais ter se agravado, os CFOs do país também estão com mais dificuldades de contratar. De acordo com 95% dos entrevistados, encontrar mão de obra qualificada na área financeira está ao menos um pouco desafiador. No levantamento realizado no início deste ano o índice era de 77%.

Entre os cargos com maior demanda estão gerente contábil, contador, gerente fiscal e diretor financeiro.
Segundo Marcela Esteves, gerente da divisão de finanças e contabilidade da Robert Half, a preocupação é fruto da constante expansão das equipes financeiras nos últimos anos. “O crescimento da economia, aliado ao número de empresas investindo no Brasil, tem resultado na busca contínua por profissionais qualificados”, diz a executiva. “Os melhores talentos acabam sendo disputados pelas empresas, gerando inflação salarial e atenção com a retenção, já que é cada vez mais difícil contratar e repor as ‘peças’”.

05 março 2012

Entrevista com Eugene Fama


Eugene Fama é um economista norte-americano considerado o "pai das finanças modernas" e reconhecido por suas contribuições teóricas e empíricas para a Hipótese dos Mercados Eficientes (HME). Separadamente , Paul Samuelson e Fama propuseram os fundamentos da teoria que, posteriormente, ficou conhecida como HME. Em 1965, Samuelson afirmou que não existem estratégias capazes de gerar ganhos anormais no mercado, enquanto Fama propôs que os preços incorporam toda a informação relevante. Ou seja, as ideias se complementam, pois se os preços refletem toda a informação disponível, os agentes econõmicos não conseguirão obter ganhos anormais.

Destarte surgiu o paradoxo dos Mercados Eficientes , expressão cunhada por Peter Bernstein, que afirma que se todos os agentes considerassem que o mercado é eficiente, não existiria sentido buscar ganhos anormais, ou seja, não seria possível "bater o mercado". Ora, se isso fosse verossímel, eles iriam se posicionar de forma passiva diante do mercado.E, por consequência, o mesmo deixaria de ser eficiente e, por exemplo, não existiria sentindo em estudar análise de balanço. Em suma, a HME necessita de indíviduos céticos e desconfiados quanto à suas proposições ,e talvez por isso, torne-a interessante e instigante, ao menos para os acadêmicos, que se "divertem" realizando uma série de testes. É uma proposição assaz venerável que, em breve, talvez, proporcione o Nobel de Economia para E. Fama.

Em 1991, Fama afirmou que a HME considera que os preços do mercado refletem toda a informação disponível, até o ponto em que, os custos marginais de aquisição da informação não superem os benefícios marginais.
Toda teoria é uma supersimplificação da realidade ,e como tal, não é perfeita, mas não deve ser descartada. Aliás,a hipótese por si só não é testável,pois deve ser empiricamente testada em conjunto com algum modelo de precificação de ativo ou modelo de equilíbrio. Entretanto, o inverso também é verdadeiro. Ou seja, grande parte dos modelos de risco-retorno não pode ser testado sem considerar a eficiência do mercado. Tudo o que foi dito neste parágrafo é conhecido como joint hypothesis problem.

Apesar de ser falha, controversa e com inúmeras limitações, a HME ainda é útil para o entendimento do mercado de capitas, o retorno dos ativos financeiros e a dinâmica dos preços. Vários estudos em economia e finanças tratam dessa hipótese, então para maiores detalhes técnicos e material bibliográfico consulte o seguinte site: Efficient Markets Hypothesis.

Na entrevista, Fama comenta sobre a Hipótese dos Mercados Eficientes, a evolução das finanças, as possíveis causas da crise financeira de 2008 , o artigo My Life in Finance e alguns temas sobre macroeconomia. Destaquei alguns pontos, mas recomendo a leitura e/ou audição da entrevista na íntegra.

Inicialmente, Fama explica o que é um mercado de capitais eficiente e de forma clara e objetiva trata das três formas de testes que utilizou para testar a HME: fraca, semi-forte e forte.É interessante observar que ele se "arrependeu" de ter utilizado essa nomenclatura (taxonomia), pois estava apenas tentando categorizar os testes que realizava nos anos 70. Não obstante, essa taxonomia tornou-se clássica e ainda é citada em muitas pesquisas.

Russ: And so when we say markets are efficient, what do you mean by that?

Guest: What you mean is that prices at any point in time reflect all available information.

Russ: Now that idea--what's the distinction between the weak form and the strong form that people talk about?

Guest: Two words that I used in 1970 that I came to regret. Because I was trying to categorize various tests that were done. So, I called weak form tests, tests that only used past prices and returns to predict future prices and returns. And I called semi-strong form tests, tests that used other kinds of public information to predict returns, like an earnings announcement or something like that. And then I called strong form tests, tests that look at all available information;

Russ: And empirically, where do we stand today, do you believe and what has been established about those various hypotheses?

Guest: Well, believe it or not, the weak form one has been the one that has been subject to the most, what people call anomalies, in finance. Things that are inconsistent with either market efficiency or some model of risk and return. The big one at the moment is what people call momentum--prices seem to move in the same direction for short periods of time. So, the winners of last year tend to be winners for a few more months, and the losers tend to be losers for a few more months.

In the strong form tests, Ken French and I just published a paper called "Luck Versus Skill in Mutual Fund Performance," and basically looked at performance of the whole mutual fund industry--in the aggregate, together, and fund by fund, and try to distinguish to what extent returns are due to luck versus skill.

And the evidence basically says the tests it's skill in the extreme. But you've got skill in both extremes. That's something people have trouble accepting. But it comes down to a simple proposition, which is that active management in trying to pick stocks has to be a zero sum game, because the winners have to win at the expense of losers. And that's kind of a difficult concept. But it shows up when you look at the cross section of mutual fund returns, in other words the returns for all funds over very long periods of time. What you find is, if you give them back all their costs, there are people in the left tail that look too extreme and there are people in the right tail that look too extreme, and the right tail and left tail basically offset each other. If you look at the industry as a whole; the industry basically holds a market portfolio. That's all before costs. If you look at returns to investors then there is no evidence that anybody surely has information sufficient to cover their costs.

Em seguida, comenta sobre a posição dos investidores acerca da eficiência do mercado. É de fato o trecho mais interessante.

Russ: A friend of mine who is a hedge fund manager--before I made this call I asked him what he would ask you, and he said, well, his assessment is that efficient markets explain some tiny proportion of volatility of stock prices but there's still plenty of opportunity for a person to make money before markets adjust. And of course in doing so, make that adjustment actually happen and bring markets to equilibrium. Somebody has to provide the information or act on the information that is at least public and maybe only semi-public. What's your reaction to that comment?

Guest: That's the standard comment from an active manager. It's not true. Merton Miller always liked to emphasize that you could have full adjustment to information without trading. If all the information were available at very low cost, prices could adjust without any trading taking place. Just bid-ask prices. So, it's not true that somebody has to do it. But the issue is--this goes back to a famous paper by Grossman and Stiglitz--the issue really is what is the cost of the information? And I have a very simple model in mind. In my mind, information is available, available at very low cost, then the cost function gets very steep. Basically goes off to infinity very quickly.

Russ: And therefore?

Guest: And therefore prices are very efficient because the information that's available is costless.

Russ: But what's the implication of that steep incline? That information is not very--

Guest: It doesn't pay to try to take advantage of additional information.

Russ: It's not very valuable.

Guest: No, it's very valuable. If you were able to perfectly predict the future, of course that would be very valuable. But you can't. It becomes infinitely costly to do that.

Russ: So, your assessment, that you just gave me of the state of our knowledge of this area, I would say remains what it's been for some time--that at the individual certainly there is no return to--prices reflect all publicly available information for practical purposes for an individual investor.

Guest: For an individual investor? Even for an institutional investor.

Russ: Correct. So, what proportion of the economics and finance areas do you think agree with that?

Guest: Finance has developed quite a lot in the last 50 years that I've been in it. I would say the people who do asset pricing--portfolio theory, risk and return--those people think markets are pretty efficient. If you go to people in other areas who are not so familiar with the evidence in asset pricing, well, then there is more skepticism. I attribute that to the fact that finance, like other areas of economics, have become more specialized. And people just can't know all the stuff that's available.

Russ: Sure.

Guest: There's an incredible demand for market inefficiency. The whole investment management business is based on the idea that the market is not efficient. I say to my students when they take my course: If you really believe what I say and go out and recruit and tell people you think markets are efficient, you'll never get a job.

Russ: Yes, it's true. And so there's a certain bias, you are saying, to how people assess the evidence.

Guest: There's a bias. The bias is based, among professional money managers, the bias comes from the fact that they make more money from portraying themselves as active managers.

Posteriormente, faz uma excelente crítica sobre as causas da crise financeira de 2008 e o fetiche contemporâneo por bolhas de ativos:

I was going to ask you about the current crisis.

Guest: I have some unusual views on that, too.

Russ: I'd say that the mainstream view--and I recently saw a survey that said--it was an esteemed panel of economists; you weren't on it but it was still esteemed, both in finance and out of finance. And they asked them whether prices reflected information and there was near unanimity. Some strongly agreed; some just agreed. But there was also near unanimity that the housing market had been a bubble.

Guest: The nasty b-word.

Russ: Yes; and was showing some form of what we might call irrationality.

Guest: Okay, so they had strong feelings about that, getting mad about the word bubble.

Russ: Why?

Guest: Because I think people see bubbles with 20-20 hindsight. The term has lost its meaning. It used to mean something that had a more or less predictable ending. Now people use it to mean a big swing in prices, that after the fact is wrong. But all prices changes after the fact are wrong. Because new information comes out that makes what people thought two minutes ago wrong two minutes later. Housing bubble--if you think there was a housing bubble, there might have been; if you had predicted it, that would be fine; but the reality is, all markets did the same thing at the same time. So you have to really face that fact that if you think it was a housing bubble, it was a stock price bubble, it was a corporate bond bubble, it was a commodities bubble. Are economists really willing to live with a world where there are bubbles in everything at the same time?

Russ: And your explanation then of that phenomenon?

Guest: My explanation is you had a big recession. I think you can explain almost everything just by saying you had a big recession. A really big recession.

...Guest: Okay, but it wasn't just housing. That was my point when we started. The same thing was going on in all asset markets.

Russ: Well, the timing isn't quite identical for all asset markets, right? The stock market--the housing market starts to collapse I think around early-mid-2006. Guest: It stops rising, right.

Russ: And then begins a steady decline.

Guest: That decline was nothing compared to the stock market decline.

Russ: But when did that happen? Guest: I don't know the exact timing. Russ: It's not around then. It's later.

Guest: The onset of the recession started with the collapse of the stock market. The recession and the collapse of the stock market, the corporate bond market, all of that basically coincides. But that also coincides with the collapse of the securitized bond market.

Russ: Mortgage-backed securities.

Guest: The subprime mortgages and all of that. Russ: Well, yes; that happens through 2007, 2008. I guess there is some parallel. So, you are going to reverse the causation.

Guest: I'm not saying I know. What I'm saying is I can tell the whole story just based on the recession. And I don't think you can come up with evidence that contradicts that. But I'm not saying I know I'm right. I don't know. I'm just saying people read the evidence through a narrow lens.

Russ: Yes, they do. Confirmation bias.

Guest: And the rhetoric acquires a life of its own; so there are books written that basically all say the same thing about the crisis.

Russ: And you are arguing that they have essentially cherry-picked the data.

Guest: Well, they just look at pieces of the data and the fact that the housing market collapsed is taken to be the cause; but the housing market could collapse for other reasons. People don't just decide that prices aren't high any more. They have to look at supply and demand somewhere in the background.

Russ: We did have people holding second and third homes who didn't have the income and capability of repaying the first one.

Guest: Sure. Standards were relaxed. But then you have to look on the supply side, the lending side. The people who were lending to these people had the information.

Em determinado momento , o economista é questionado sobre as finanças comportamentais. É oportuno lembrar que esta faz parte das finanças "tradicionais" , pois fornece subsídios para sua melhor compreensão. Em outras palavras, é uma teoria complementar e não substituta do que já existia antes. Veja a crítica de Fama:

Russ: But let's go back to finance. There's been a big trend in recent years towards what's called behavioral finance. What's your assessment of that?

Guest: I think the behavioral people are very good at describing microeconomic behavior--the behavior of individuals--that doesn't seem quite rational. I think they are very good at that. The jump from there to markets is much more shaky.

Russ: Explain.

Guest: There are two types of behavioral economists. There are guys like my friend and colleague Richard Thaler, who are solidly based in psychology, reasoned economics but he's become a psychologist, basically, and he is coming from the research in psychology. Now there are other finance people who are basically what I call anomaly chasers. What they are doing is scouring the data for things that look like market inefficiency, and they classify that as behavioral finance.

Russ: They don't tell you about the times they can't find the anomaly.

Guest: Exactly. In all economics research, there is a multiple comparisons problem that never gets stated.

Russ: A multiple what?

Guest: The fact that the data have been used by so many other people and the people using it now use it in so many different ways that they don't report, that you have no real statistical basis to evaluate and come to a conclusion.

Guest: Right. I've had people say to me that the people who do this anomaly stuff, when they come and give a paper and I'll say, when you do this, that, or the other thing, and they'll say Yes. And I'll say, why don't you report it? And they'll say it wasn't interesting.

Em seguida, Fama diz o que pessoas inteligentes deveriam conhecer sobre finanças e comenta sobre a importância do paper e da equação de Black- Scholes para as ciências econômicas. Num recente artigo publicado no jornal The Guardian, Ian Stewart discute a equação e suas possíveis consequências nefastas para a economia mundial. É uma análise interessante e muito questionável, que está presente em seu novo livro:17 Equations That Changed the World .

Guest: I'm obviously going to be biased. I think all of our stuff on efficient markets would qualify. I think there is a lot of stuff in the corporate area, corporate governance and all of that, a huge field--that has penetrated to the practical level. The Black-Scholes option pricing paper in view is the most important economics paper of the century.

Russ: Why?

Guest: Because every academic, every economist whether he went into finance or not, read that paper. And it created an industry. In the applied financial domain. What else can claim that? So, I think we've learned a lot about risk and return. Some of it is intuitive. But there is a lot of stuff on which stocks are more or less risky. A lot of stuff on international markets.

Por fim, fala sobre suas perspectivas futuras para as pesquisas em finanças , dá um recado aos cientistas, fala um pouso sobre sua tese de doutorado e comenta sobre o artigo, autobiografia e bibliografia: My Life in Finance.

Guest: Oh, absolutely. What I say to my students is: I'm showing you the stuff that people have done in the last 30 years, but in 20 years, it may all be irrelevant; so the best I can do is to train you about how to think about these things, so you can absorb stuff that comes along in the future that may overturn what's there now. That's what makes this profession fun, I think--the fact that stuff can get overturned.

Russ: Of course, if we only have the illusion of understanding, or what Hayek called the pretense of knowledge, we could be doing some dangerous and stupid things under the guise of thinking we are making progress. So, you do have to be careful. Where do you think in the near future finance is going?

Guest: Oh, gee, I don't know. That's part of the fun of it. You just don't know. I wouldn't have been able to predict 30 years ago the stuff that evolved during those intervening 30 years. No way.

Russ: It's kind of a random walk.

Guest: I don't think it pays to think about it very much. There's so much serendipity in what happens in research. My best stuff has always been--I didn't start thinking about writing a great paper. I started thinking about a little problem; it just kept working in circles into a bigger problem. Or had offshoots that were related. I've beaten many topics to death, with the consequence I've got a lot of recognition; what started as a little thing developed into something much bigger. That's not a predictable process. Lots of little things end up as nothing.

Russ: And?

Guest: A student comes to me, a Ph.D. student, and says: I want to write a great paper. You can't start out to do that. You have to pick a problem and hope it works out into something that will get you a job, and hopefully a good one. But if you start saying: I want to come up with a great topic, you won't come up with anything.

Russ: You recently wrote a very nice essay, "My Life in Finance," that gives an overview of some of your contributions and some of your thinking along the way and all those little problems. You started out by talking about your thesis topic, where you had five ideas and Merton Miller said four of them weren't very good. Did you ever go back to any of those four?

Guest: No, actually. Merton was incredible. He had a great eye for stuff that would work and wouldn't work. I went to Belgium for two years to teach, and I came back and showed him the stuff I'd been working on, and I think he discarded like 8 out of 10 things. He was right on all of them.

Russ: Such is life.

Guest: It taught me that nobody can work in a vacuum. You really need colleagues around you to enrich your work. You get credit for it in the end, but there are a lot of inputs from other people that go into it in the meantime.

12 janeiro 2012

Finanças das finanças, tudo são finanças

"Finanças das finanças, tudo são finanças", diz Machado de Assis (1839-1908), em uma crônica de 1892. A frase tem aquela qualidade esquiva típica do autor. Parece exaltar a importância dos temas financeiros, mas também carrega uma insinuação de censura moral. "Vaidade das vaidades, tudo são vaidades", diz o Eclesiastes – a paráfrase bíblica de Machado trocou o pecado capital pelos pecados do capital. Essa ironia no trato de bolhas financeiras e desvalorizações monetárias dá o tom de A Economia em Machado de Assis (Jorge Zahar; 272 páginas; 44 reais), coletânea organizada pelo economista Gustavo Franco, ex-presidente do Banco Central. O admirador de Machado terá o prazer de observar a história econômica da virada do Império para a República através do pincenê do autor de Dom Casmurro.

Franco selecionou 39 crônicas (duas delas em forma de versos), que vão de 1883 a 1900. Foi um período economicamente conturbado. Imperava o caos monetário, com vários bancos autorizados a emitir cédulas ou títulos da dívida pública. Entre o fim do Império e o início da República, houve uma explosão de euforia especulativa na Bolsa do Rio de Janeiro, o chamado Encilhamento. Não passou de uma ilusória "bolha", que estourou em 1891, quando Rui Barbosa era ministro da Fazenda(...)

O subtítulo da coletânea é muito apropriado: "O olhar oblíquo do acionista". Machado demonstra um curioso interesse pelas assembléias de acionistas – e critica o desinteresse destes em participar da administração de seus fundos. Várias crônicas repetem a máxima de que o acionista "se importa mais com os dividendos do que com os divisores" (administradores). Nas esclarecedoras introduções e notas às crônicas, Gustavo Franco lembra que o vilão machadiano não é exatamente o acionista que se conhece hoje. A partir de uma sugestão do jurista e historiador Raymundo Faoro, Franco lembra que o termo mais apropriado talvez fosse não "acionista", mas "rentista" – o proprietário ocioso que vive de rendas, como o protagonista de Memórias Póstumas de Brás Cubas. O investimento em ações ao tempo de Machado obedecia a uma lógica estranha: graças à oferta de crédito (e ao mais irresponsável dos fiadores: o governo), garantiam-se dividendos sobre lucros fictícios. Era um investimento sem risco. "Embora aparentado, este não é o capitalismo de nossos dias", observa o organizador da coletânea.

(...) A crítica de Machado ao "acionista" é mais difícil de definir. Seria ele um liberal "moderno" a atacar a irracionalidade de um sistema que era capitalista só pela metade? Ou um empedernido conservador, avesso às inovações do capital financeiro? Machado foge às posições claras. Prefere a postura olímpica de quem se aborrece com temas comezinhos como o déficit público. Essa atitude sobranceira talvez tenha cobrado seu preço: o testamento do escritor, reproduzido no capítulo final de A Economia em Machado de Assis, revela que ele aplicou grande parte de seu patrimônio em apólices de um empréstimo internacional tomado pelo Brasil em 1895. Escritor malicioso, investidor ingênuo: o governo nunca resgataria o valor real dessas apólices.


Fonte: aqui

18 outubro 2011

Google e Finanças



Uma pesquisa publicada no Journal of Finance mostrou que a busca no Google pode ser usada para medir a atenção dos investidores por uma ação. Mais ainda, este método é melhor e mais direto do que os tradicionais, como notícias ou despesa de publicidade.

Durante o período de 2004 a 2008 os autores mostraram que a quantidade de pesquisa no Google está relacionada com outras proxies de atenção dos investidores. Mais importante, um aumento na quantidade de pesquisa antecede em duas semanas um aumento no preço da ação. Aqui a relação causal funcionaria da seguinte forma: um investidor interessado numa determinada empresa usa o Google para saber notícias sobre a mesma.

Mais aqui

27 janeiro 2009

A importância de saber finanças

A SEC e a GM chegaram a um acordo sobre um processo onde a GM era acusada em violar regras de pensão e derivativos (ver, por exemplo, GM Settles SEC Pension Allegations, Stephen Taub, 22/1/2009, CFO). Um dos pontos do processo refere-se à taxa de desconto usada no fundo de pensão. A empresa usou 6,75% e um modelo mais adequado indica uma taxa menor.

Respondendo a questão, o uso da taxa de desconto tem um profundo efeito na determinação do passivo da empresa. Maiores taxas irão conduzir a menores passivo, com influencia sobre a equação básica. Ou seja, com influencia no patrimônio líquido da GM.

Mas como foi determinada a taxa de desconto? Qual o modelo usado? Ele está baseado em suposições adequadas? Questões como esta só com um bom conhecimento de finanças.

20 novembro 2008

Qual o objetivo de uma empresa?

Tradicionalmente ensinamos aos nossos alunos que o objetivo de uma empresa, sob a ótica financeira, é maximizar valor. A palavra Valor deve ser o foco de atenção de uma gestão. Na prática, no entanto, parece que isto nem sempre é verdade. Os gestores tendem o focar sua gestão em outro objetivo financeiro: maximizar receita.

Uma possível razão para que isto ocorra talvez esteja nas características comportamentais dos executivos, que consideram os negócios uma competição contra seus concorrentes onde ganha quem tiver a empresa com maior receita.

Na semana passada o mercado financeiro ficou sabendo da aquisição do Unibanco pelo Itaú. Com isto, a nova instituição financeira passou a ser a primeira em certos critérios, deixando o Banco do Brasil em segundo lugar. Qual a reação dos executivos do BB? Em lugar de observar a qualidade dos seus investimentos e preocupar-se com a agregação de valor, o foco passou a ser suplantar o novo líder.

Isto está muito claro na afirmação do presidente da república (lembre-se que o governo brasileiro ainda é o principal acionista do BB), que afirmou:

"O Banco do Brasil era o principal banco do Brasil. Com a fusão do Itaú e do Unibanco, o Banco do Brasil passou a ser o segundo banco e nós queremos que o Banco do Brasil seja muito maior do que qualquer outro banco no Brasil" (Empenhado em fazer BB voltar ao topo, Lula recebe governador de SP, Valor Econômico, 19/11/2008) [Um comentário próximo também saiu na Gazeta Mercantil, em Para Lula, Banco do Brasil tem de ser a maior instituição do País: "Queremos que o Banco do Brasil seja muito maior que qualquer outro banco do Brasil", 19/11/2008, Finanças & Mercados - Pág. 1, Ayr Aliski]


Os acionistas minoritários do BB perceberam que a busca pelo primeiro lugar no ranking pode não ser interessante sob o ponto de vista de valor da empresa (e valorização do preço da ação, por conseqüência):

A União Nacional dos Acionistas Minoritários do Banco do Brasil (Unamibb) considera que o governo está agindo por vaidade ao decidir a favor da compra do Nossa Caixa pelo Banco do Brasil. "Com a fusão do Unibanco com o Itaú, Lula não quer que o BB caia do galho, mas crises não se resolvem assim. A crise financeira no mundo está associada à falha de regulamentação e não à falta de estatização", afirma a vice-presidente da Unamibb, Isa Musa.(Governo age por vaidade, diz associação de minoritários do BB , Estado de S. Paulo, 20/11/2008)

27 setembro 2008

Participação nos lucros


A figura, retirada de um estudo sobre remuneração de executivos, mostra um modelo para prever a participação nos lucros dos executivos do setor financeiro. O modelo erra nos últimos anos (o real, as barras, versus o previsto, a linha), indicando que esta remuneração está acima do histórico.

Fonte: Aqui

13 setembro 2008

Teoria e Prática

O texto Don't try to invest like the pros mostra como na prática a teoria é outra. Os professores de finanças não usam o fluxo de caixa descontado, o modelo CAPM ou acreditam que o mercado seja eficiente (muitos deles querem ganhar do mercado). Prevalece, nos doutores de finanças, a confiança que podem ter lucro com suas aplicações.

04 setembro 2008

Juros e Religião




(...) As vendas dos títulos compatíveis com o direito islâmico, ou Sharia, caíram 50% em 2008 e os preços tiveram queda, em média, de 1,51%, segundo dados do HSBC Holdings. Esses títulos, os sukuk, não pagam juros, o que é proibido pela lei islâmica, mas pagam um percentual do lucro do negócio subjacente.

Foram esses títulos sukuk que financiaram o ambicioso projeto Palm, a maior ilha artificial do mundo, construída em Dubai e onde milionários e estrelas como David Beckham e Donald Trump possuem casas.

O mercado de bônus sukuk, que crescia 100% ao ano desde 2004 e atingiu volume expressivo de US$ 90 bilhões, está atualmente em declínio depois que um grupo de juristas islâmicos com sede no Bahrein decretou, em fevereiro deste ano, que a maioria dos bônus existentes no mercado desrespeita as regras religiosas. Segundo os juristas islâmicos, apenas um deles cumpriria o édito e continua sendo emitido, o que está pressionando os custos dos empréstimos em projetos, entre eles os imobiliários, de US$ 200 bilhões na capital dos Emirados Árabes Unidos.

"Em tempos de aflição, a primeira coisa que os investidores vendem são os créditos que não compreendem direito", disse James Milligan, chefe de operações de ativos de renda fixa no Oriente Médio do HSBC em Dubai, o maior subscritor de bônus sukuk no Golfo Pérsico no ano passado. "Isso afetou duramente os spreads na região", disse ele, referindo-se ao nível relativo de retorno dos papéis.

Os bônus atendem à proibição islâmica aos juros, ao permitir que os investidores se beneficiem com a troca de ativos, e não de dinheiro. As vendas dos títulos caíram de US$ 21 bilhões entre janeiro e agosto do ano passado para US$ 11 bilhões no mesmo período de 2008, segundo dados compilados pela Bloomberg.

Novo decreto sobre papéis islâmicos desencadeia crise
Gazeta Mercantil - 4/9/2008 - Finanças & Mercados - Pág. 2 - Bloomberg News

21 maio 2008

Um Link importante

Aqui uma lista de trabalhos da Cowles Foundation Monographs em Economia, com clássicos como Markowitz Portfolio (Selection: Efficient Diversification of Investments), Debreu (Theory of Value: An Axiomatic Analysis of Economic Equilibrium), Tobin (Risk Aversion and Portfolio Choice e Studies of Portfolio Behavior)

29 outubro 2007

Faça o que eu digo, não faça o que eu faço

Onde os professores de finanças aplicam seus recursos? A resposta pode ser encontrada na pesquisa "What Really Matters When Buying and Selling Stocks?". Aqui um resumo

Os professores não usam o CAPM, o mercado eficiente e outras abordagens conhecidas, mas trabalham com PE, múltiplo de mercado e abordagens mais tradicionais.

08 outubro 2007

O modelo Black-Scholes-Merton

Nassim Taleb é um autor polêmico na área de finanças. Sua pesquisa mais recente é sobre o modelo de opções que foi formulado por Black-Scholes-Merton (BSM). Segundo Taleb, e Haug, em Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula (aqui), na realidade este não é um modelo "formulado" por BSM.

"Muitas derivações foram produzidas por pesquisadores matemáticos. A literatura econômica, entretanto, não reconhece estas contribuições, substituindo por redescobertas ou subsequentes reformulações feita por (alguns) economistas"

Haug e Taleb argumentam que BSM não representam uma nova fórmula de opção, mas unicamente um argumento econômico, "marketing", que se estabeleceu no tempo e distorceu a essência das opções.

Outra questão apontada é que opções já eram comercializadas ativamente no século XVII através de um método heurístico. No século XIX e início do século XX já existia mercado de opções em Londres e Nova Iorque. Em 1904 foi publicado um livro "The ABC of Options and Arbitrage". Em 1908, Vinzenz Bronzin publicou um livro que derivava muitas fórmulas de opções, inclusive uma similar ao modelo BSM. Bachelier, pioneiro no estudo de carteiras e risco, também estudou o assunto. Segundo Haug e Taleb, o modelo BSM não é original e pioneiro no estudo de opções, como afirmado por livros de finanças.

Um segundo "mito" é que os operadores não usam este modelo.

Para quem gosta de finanças e opções, este artigo é uma leitura recomendada.

06 setembro 2007

A idade de ouro em finanças

A sofisticação das decisões financeiras varia com a idade. Esta é uma conclusão de um estudo citado no Marginal Revolution, um blog de economia. Ao contrário da matemática, onde a idade de ouro é em torno dos 20 anos, em finanças o ponto máximo é de 53 anos! Um alento...

12 janeiro 2007

Pesquisador famoso x novato

Sabemos, por experiência própria, que o pesquisador novato tem maior possibilidade de publicar algo contra o status estabelecido. Uma pesquisa mostrou que, em finanças, os pesquisadores com menores publicações e menos reputação tem mais possibilidade de publicar pesquisas sobre anomalias.

05 janeiro 2007

Sem desastre, ONG trabalha mais

The Wall Street Journal como o ano não teve furacão ou terremoto

"as ONG estão trabalhando mais, tentando obter fundos. Isso por que os desastres, e a cobertura de imprensa que eles geram, são o carro chefe das doações. CARE diz que receitas dos fundos privados cairam 23% (...) Save the Children, um fundo privado caiu 31% (...)"

"Com desastres naturais menores torna difícil para obter fundos quando eles não chamam atenção da grande imprensa", diz o vice presidente da CARE, Deb Neuman