23 maio 2019
22 maio 2019
Retorno dos títulos da dívida soberana: 1815 a 2016
Resumo:
This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high to compensate for risk. Real ex-post returns averaged 7% annually across two centuries, including default episodes, major wars, and global crises. This represents an excess return of around 4% above US or UK government bonds, which is comparable to stocks and outperforms corporate bonds. The observed returns are hard to reconcile with canonical theoretical models and with the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our archive of more than 300 sovereign debt restructurings since 1815, we show that full repudiation is rare; the median haircut is below 50%.
Sovereign Bonds since Waterloo Josefin Meyer, Carmen M. Reinhart, and Christoph Trebesch NBER Working Paper No. 25543 February 2019 JEL No. F30,F34,G12,G15,N10,N20
This paper studies external sovereign bonds as an asset class. We compile a new database of 220,000 monthly prices of foreign-currency government bonds traded in London and New York between 1815 (the Battle of Waterloo) and 2016, covering 91 countries. Our main insight is that, as in equity markets, the returns on external sovereign bonds have been sufficiently high to compensate for risk. Real ex-post returns averaged 7% annually across two centuries, including default episodes, major wars, and global crises. This represents an excess return of around 4% above US or UK government bonds, which is comparable to stocks and outperforms corporate bonds. The observed returns are hard to reconcile with canonical theoretical models and with the degree of credit risk in this market, as measured by historical default and recovery rates. Based on our archive of more than 300 sovereign debt restructurings since 1815, we show that full repudiation is rare; the median haircut is below 50%.
Sovereign Bonds since Waterloo Josefin Meyer, Carmen M. Reinhart, and Christoph Trebesch NBER Working Paper No. 25543 February 2019 JEL No. F30,F34,G12,G15,N10,N20
Minha experiência em Big4
Achei recentemente o canal da Stephie Mills, sobre o estilo de vida de uma CPA (certified public accountant). Há alguns vídeos interessantes sobre a experiência dela em auditoria nos Estados Unidos. Ela é formada em contabilidade pela Universidade do Texas, trabalhou na Deloitte e na BDO, mas atualmente está na Solera, uma empresa que usa tecnologias digitais para gerir riscos e ativos.
21 maio 2019
20 maio 2019
18 maio 2019
Análise da evolução das empresas estrelas
Resumo:
We study the evolution of super star firms in the U.S. economy over the past 60 years. Contrary to common wisdom, super stars firms have not become larger, have not become more productive, and the contribution of star firms to aggregate U.S. productivity growth has fallen by more than one third since 2000.
Fading StarsGermán Gutiérrez and Thomas PhilipponNBER Working Paper No. 25529February 2019JEL No. D2,E22,E24,F6,G3,L1,O3,O4
We study the evolution of super star firms in the U.S. economy over the past 60 years. Contrary to common wisdom, super stars firms have not become larger, have not become more productive, and the contribution of star firms to aggregate U.S. productivity growth has fallen by more than one third since 2000.
Fading StarsGermán Gutiérrez and Thomas PhilipponNBER Working Paper No. 25529February 2019JEL No. D2,E22,E24,F6,G3,L1,O3,O4
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