Determinantes da liquidez de corporate bonds no mercado brasileiro
Autor(a) principal: | |
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Data de Publicação: | 2015 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/15070 |
Resumo: | The aim of this thesis is to investigate the Brazilian corporate bonds’ secondary market, to answer what features of the bonds affect its liquidity and the liquidity characteristics which can be observed in Brazilian corporate bonds. Five liquidity measures were used: number of days that occurred transactions, number of transactions, transactions volume compared to the amount issued, price spread traded daily and yield volatility. For each measure of liquidity, the influence of eight characteristics of the Brazilian corporate bonds was found: rating issued volume, maturity, issuer sector, listed on the stock exchange, issued age and issue type (encouraged and under instruction restricted efforts). There are collected 998 public debentures and their respective transactions up to 18 months after issue, from January 2007 to August 2015. The database, which totaled 53,085 observations, was based on market prices supplied daily by the Brazilian National Debentures System. As a result, it was found that issue volume, issue type (encouraged or restricted) and certain segments are liquidity variables. Additionally, it was found that, by controlling the segments of issuing, bonds with the highest volume are given more liquidity. Moreover, the relationship between age and liquidity is not clear and price spread traded daily is not an adequate liquidity measure. Finally, it was found that the high concentration of securities issued under restricted efforts reduced market liquidity compared to the study of Sheng and Saito (2008), despite the increase in the issued volume in the period. By contrast, the issuance of bonds encouraged raised the level of transactions in the secondary market. |
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Gesualdo Neto, OsmarEscolas::EAESPRochman, Ricardo RatnerSilva, Wesley Mendes daRidolfo Neto, Arthur2016-01-11T16:06:27Z2016-01-11T16:06:27Z2015-12-10GESUALDO NETO, Osmar. Determinantes da liquidez de corporate bonds no mercado brasileiro. Dissertação (Mestrado Profissional em Administração de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2015.http://hdl.handle.net/10438/15070The aim of this thesis is to investigate the Brazilian corporate bonds’ secondary market, to answer what features of the bonds affect its liquidity and the liquidity characteristics which can be observed in Brazilian corporate bonds. Five liquidity measures were used: number of days that occurred transactions, number of transactions, transactions volume compared to the amount issued, price spread traded daily and yield volatility. For each measure of liquidity, the influence of eight characteristics of the Brazilian corporate bonds was found: rating issued volume, maturity, issuer sector, listed on the stock exchange, issued age and issue type (encouraged and under instruction restricted efforts). There are collected 998 public debentures and their respective transactions up to 18 months after issue, from January 2007 to August 2015. The database, which totaled 53,085 observations, was based on market prices supplied daily by the Brazilian National Debentures System. As a result, it was found that issue volume, issue type (encouraged or restricted) and certain segments are liquidity variables. Additionally, it was found that, by controlling the segments of issuing, bonds with the highest volume are given more liquidity. Moreover, the relationship between age and liquidity is not clear and price spread traded daily is not an adequate liquidity measure. Finally, it was found that the high concentration of securities issued under restricted efforts reduced market liquidity compared to the study of Sheng and Saito (2008), despite the increase in the issued volume in the period. By contrast, the issuance of bonds encouraged raised the level of transactions in the secondary market.O objetivo desta dissertação é investigar o mercado secundário de debêntures do Brasil, para responder quais as características dos títulos afetam sua liquidez e quais as características de liquidez podem ser observadas nas debêntures brasileiras. Cinco medidas de liquidez foram utilizadas: número de dias que ocorreram transações, número de transações, volume relativo de transações em relação ao montante emitido, diferença entre os preços máximos e mínimos transacionados e a volatilidade do rendimento. Para cada medida de liquidez, verificou-se a influência de oito características das debêntures: rating, volume emitido, prazo de vencimento, segmento do emissor, listagem em bolsa, idade da emissão e tipo de emissão (incentivada e sob instrução de esforços restritos). Foram coletadas 998 emissões públicas de debêntures e suas respectivas transações até 18 meses após a emissão, no período de janeiro de 2007 a agosto de 2015. A base de dados, que somou 53.085 observações, fundamentou-se nas cotações de mercado fornecidas diariamente pelo Sistema Nacional de Debêntures. Como resultado, verificou-se que o volume da emissão, tipo de emissão (incentivada ou restrita) e determinados segmentos são variáveis de liquidez. Adicionalmente constatou-se que, controlando os segmentos dos emissores, debêntures com maior volume emitido são mais líquidas. E mais, a relação entre idade e liquidez não é clara e a diferença entre preços máximos e mínimos das transações não é uma medida de liquidez apropriada. Por fim, verificou-se que a grande concentração de títulos emitidos sob esforços restritos reduziu a liquidez do mercado em comparação com o estudo de Sheng e Saito (2008), apesar do aumento do volume emitido no período. Em contrapartida, a emissão de títulos incentivados elevou o nível de transações no mercado secundário.porVariáveisCorporate bondsAdministração de empresasDebêntures - BrasilLiquidez (Economia)Mercado de capitaisDeterminantes da liquidez de corporate bonds no mercado brasileiroinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL20160111 financas-gesualdo-dissertação FGV.pdf20160111 financas-gesualdo-dissertação FGV.pdfPDFapplication/pdf1222688https://repositorio.fgv.br/bitstreams/bf461d72-4379-4af8-85ab-6f51d36bd852/downloada638bdc7ca273e1e871671d1fb7004ccMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/35141b89-11a0-43a8-abda-6006aea007eb/downloaddfb340242cced38a6cca06c627998fa1MD52TEXT20160111 financas-gesualdo-dissertação FGV.pdf.txt20160111 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 |
dc.title.por.fl_str_mv |
Determinantes da liquidez de corporate bonds no mercado brasileiro |
title |
Determinantes da liquidez de corporate bonds no mercado brasileiro |
spellingShingle |
Determinantes da liquidez de corporate bonds no mercado brasileiro Gesualdo Neto, Osmar Variáveis Corporate bonds Administração de empresas Debêntures - Brasil Liquidez (Economia) Mercado de capitais |
title_short |
Determinantes da liquidez de corporate bonds no mercado brasileiro |
title_full |
Determinantes da liquidez de corporate bonds no mercado brasileiro |
title_fullStr |
Determinantes da liquidez de corporate bonds no mercado brasileiro |
title_full_unstemmed |
Determinantes da liquidez de corporate bonds no mercado brasileiro |
title_sort |
Determinantes da liquidez de corporate bonds no mercado brasileiro |
author |
Gesualdo Neto, Osmar |
author_facet |
Gesualdo Neto, Osmar |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EAESP |
dc.contributor.member.none.fl_str_mv |
Rochman, Ricardo Ratner Silva, Wesley Mendes da |
dc.contributor.author.fl_str_mv |
Gesualdo Neto, Osmar |
dc.contributor.advisor1.fl_str_mv |
Ridolfo Neto, Arthur |
contributor_str_mv |
Ridolfo Neto, Arthur |
dc.subject.por.fl_str_mv |
Variáveis Corporate bonds |
topic |
Variáveis Corporate bonds Administração de empresas Debêntures - Brasil Liquidez (Economia) Mercado de capitais |
dc.subject.area.por.fl_str_mv |
Administração de empresas |
dc.subject.bibliodata.por.fl_str_mv |
Debêntures - Brasil Liquidez (Economia) Mercado de capitais |
description |
The aim of this thesis is to investigate the Brazilian corporate bonds’ secondary market, to answer what features of the bonds affect its liquidity and the liquidity characteristics which can be observed in Brazilian corporate bonds. Five liquidity measures were used: number of days that occurred transactions, number of transactions, transactions volume compared to the amount issued, price spread traded daily and yield volatility. For each measure of liquidity, the influence of eight characteristics of the Brazilian corporate bonds was found: rating issued volume, maturity, issuer sector, listed on the stock exchange, issued age and issue type (encouraged and under instruction restricted efforts). There are collected 998 public debentures and their respective transactions up to 18 months after issue, from January 2007 to August 2015. The database, which totaled 53,085 observations, was based on market prices supplied daily by the Brazilian National Debentures System. As a result, it was found that issue volume, issue type (encouraged or restricted) and certain segments are liquidity variables. Additionally, it was found that, by controlling the segments of issuing, bonds with the highest volume are given more liquidity. Moreover, the relationship between age and liquidity is not clear and price spread traded daily is not an adequate liquidity measure. Finally, it was found that the high concentration of securities issued under restricted efforts reduced market liquidity compared to the study of Sheng and Saito (2008), despite the increase in the issued volume in the period. By contrast, the issuance of bonds encouraged raised the level of transactions in the secondary market. |
publishDate |
2015 |
dc.date.issued.fl_str_mv |
2015-12-10 |
dc.date.accessioned.fl_str_mv |
2016-01-11T16:06:27Z |
dc.date.available.fl_str_mv |
2016-01-11T16:06:27Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
GESUALDO NETO, Osmar. Determinantes da liquidez de corporate bonds no mercado brasileiro. Dissertação (Mestrado Profissional em Administração de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2015. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/15070 |
identifier_str_mv |
GESUALDO NETO, Osmar. Determinantes da liquidez de corporate bonds no mercado brasileiro. Dissertação (Mestrado Profissional em Administração de Empresas) - FGV - Fundação Getúlio Vargas, São Paulo, 2015. |
url |
http://hdl.handle.net/10438/15070 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/bf461d72-4379-4af8-85ab-6f51d36bd852/download https://repositorio.fgv.br/bitstreams/35141b89-11a0-43a8-abda-6006aea007eb/download https://repositorio.fgv.br/bitstreams/06f75142-86c8-467a-a02c-29e51448efbd/download https://repositorio.fgv.br/bitstreams/e3609782-afb3-4cd3-973b-d34e3ea08378/download |
bitstream.checksum.fl_str_mv |
a638bdc7ca273e1e871671d1fb7004cc dfb340242cced38a6cca06c627998fa1 4e2fd95c09ef0518b0ff5a12144bbe15 06bc8e350c9029d2dd5cbbe69156842e |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023910281838592 |