Ensaios em finanças

• Ano de defesa: 2013
• Autor(a) principal: Araújo, Gustavo Silva
• Orientador(a): Bonomo, Marco Antônio Cesar
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Microestrutura; Seleção adversa; Diferença entre preço de compra e venda; Governança corporativa; Índice de governança corporativa; Retornos; Concentração acionária
• Palavras-chave em Inglês: Microstructure; Adverse selection; Bid-ask spread; Corporate governance; Corporate governance index; Returns; Ownership concentration
• Link de acesso: https://hdl.handle.net/10438/11366

This thesis is dedicated to studies in finance. The topics are distributed in two subareas, microstructure and asset pricing. There is also an insertion of the study in corporate finance, since we deal with the corporate governance of firms. In the first chapter I estimate the adverse selection cost component embedded in the spreads of Brazilian stocks. I also study the patterns of spreads and adverse selection costs as a function of the size and time of the trade. In chapter two, I implement an extensive research through a series of regressions in order to determine characteristics of the companies that are correlated with the adverse selection component and the spread. In particular, we analyze the relationship between the adverse selection and corporate governance levels. In the third chapter I detect which corporate governance mechanisms cause an opposite relationship between the returns of Brazilian stocks and corporate governance levels, as shown by Carvalhal and Nobili (2011). In this analysis, I emphasize the ownership concentration of Brazilian companies, which is extremely high when compared with more developed countries.