Management, directly or indirectly, learns from its firm's stock price, so a more informative stock price should make the firm more productive. We show that stock price informativeness increases firm productivity. We provide direct evidence of one channel through which stock price informativeness affects productivity; specifically, we find that CEO turnover is less sensitive to Tobin's q when informativeness is lower. We predict and confirm that the productivity of smaller and younger firms, better governed firms, more specialized firms, and firms with more competition is more strongly related to the informativeness of their stock price. We further address endogeneity concerns with the use of brokerage closures, S&P 500 additions, and mutual fund redemptions as plausibly exogenous events.
21 abril 2020
Mercado acionário torna as empresas mais produtivas
Resumo:
Management, directly or indirectly, learns from its firm's stock price, so a more informative stock price should make the firm more productive. We show that stock price informativeness increases firm productivity. We provide direct evidence of one channel through which stock price informativeness affects productivity; specifically, we find that CEO turnover is less sensitive to Tobin's q when informativeness is lower. We predict and confirm that the productivity of smaller and younger firms, better governed firms, more specialized firms, and firms with more competition is more strongly related to the informativeness of their stock price. We further address endogeneity concerns with the use of brokerage closures, S&P 500 additions, and mutual fund redemptions as plausibly exogenous events.
Management, directly or indirectly, learns from its firm's stock price, so a more informative stock price should make the firm more productive. We show that stock price informativeness increases firm productivity. We provide direct evidence of one channel through which stock price informativeness affects productivity; specifically, we find that CEO turnover is less sensitive to Tobin's q when informativeness is lower. We predict and confirm that the productivity of smaller and younger firms, better governed firms, more specialized firms, and firms with more competition is more strongly related to the informativeness of their stock price. We further address endogeneity concerns with the use of brokerage closures, S&P 500 additions, and mutual fund redemptions as plausibly exogenous events.
20 abril 2020
Impacto do Covid sobre a Economia
Assumindo um cenário de 1,5 mês o resultado seria:
Para o Brasil, uma queda de 3,9% na economia, com intervalo entre 5,3 e 2,7. Mas se o shutdown for de três meses a queda será de -5,2%. De 4,5 meses, a queda chegaria a 8,8% (intervalo entre -13 e -5,5%). Calculo de Nuno Fernandes.
20 de Abril
Preço negativo
Em uma ação estratégica para maximizar a dor dos perfuradores de óleo de xisto dos EUA, a Arábia Saudita enviou uma flotilha de 20 navios transportando 40 milhões de barris de petróleo saudita para a Costa do Golfo dos EUA para inundar a região. E o mercado americano que já está inundado de petróleo. (...) Esses navios com petróleo saudita, que foram carregados em março e início de abril, estão se aproximando dos EUA e devem chegar ao Texas e à Louisiana em maio.
Fonte: aqui
O volume de estoque aumentou de 19,2 milhões de barris para 504 milhões, em uma semana, nos Estados Unidos. A guerra de preços da Arábia Saudita e Rússia está provocando um efeito sobre os produtores de xisto. São estes produtores que evitaram um aumento no preço do petróleo no passado e agora podem ser excluídos do mercado.
Hoje ficou evidente uma ruptura entre o contrato futuro de maio, o preço à vista (11 dólares, muito baixo) e o contrato de junho. Parece que ocorreu apostas altas que serão perdidas.
Outro fato é a recessão, que derrubou a demanda e aumentou os estoques.Como lidar com preço negativo?, pergunta Claudio Santana (a partir daqui)
Fonte: aqui
O volume de estoque aumentou de 19,2 milhões de barris para 504 milhões, em uma semana, nos Estados Unidos. A guerra de preços da Arábia Saudita e Rússia está provocando um efeito sobre os produtores de xisto. São estes produtores que evitaram um aumento no preço do petróleo no passado e agora podem ser excluídos do mercado.
Hoje ficou evidente uma ruptura entre o contrato futuro de maio, o preço à vista (11 dólares, muito baixo) e o contrato de junho. Parece que ocorreu apostas altas que serão perdidas.
Outro fato é a recessão, que derrubou a demanda e aumentou os estoques.Como lidar com preço negativo?, pergunta Claudio Santana (a partir daqui)
Dividendos transmitem informação sobre lucros futuros
Resumo:
Yes. We show that dividend changes contain information about highly persistent changes in future economic income. Three methodological differences lead us to different conclusions from the extant literature: (i) we use an “event window approach” to cleanly delineate earnings after dividend changes from those before, (ii) we use alternative earnings measures to control for endogenous investment and asset write-downs surrounding dividend changes, and (iii) we control for the nonlinear relation between dividend changes and market reactions. Our results suggest dividend announcement returns reflect information about the level of permanent earnings, though the timing of the information content is difficult to reconcile with traditional signaling models.
![PDF] Do Dividends Convey Information About Future Earnings ...](https://d3i71xaburhd42.cloudfront.net/b18cefd25439a2951a6c4ac8b464f02b3b8c14db/51-Figure2-1.png)
Yes. We show that dividend changes contain information about highly persistent changes in future economic income. Three methodological differences lead us to different conclusions from the extant literature: (i) we use an “event window approach” to cleanly delineate earnings after dividend changes from those before, (ii) we use alternative earnings measures to control for endogenous investment and asset write-downs surrounding dividend changes, and (iii) we control for the nonlinear relation between dividend changes and market reactions. Our results suggest dividend announcement returns reflect information about the level of permanent earnings, though the timing of the information content is difficult to reconcile with traditional signaling models.
19 abril 2020
Previsão de recessões com dados do mercado
Do financial market participants, collectively, possess special wisdom about when economies are at risk of falling into a recession? When is Growth at Risk, a paper to be discussed at the Brookings Papers on Economic Activity conference March 19, suggests the answer is, “Probably not.”
Financial markets and the real economy (the production of goods and services) interact. Their movements are highly correlated, and financial indicators can, of course, provide useful information about current economic conditions. They also reflect market participants’ expectations of where the real economy is headed. The question the authors examine is whether financial indicators provide extra predictive power, more so than indicators of the real economy such as surveys of corporate purchasing managers.
“People in financial markets can obtain high returns if they can predict recessions but they are not able to do it—at least not better than anyone else. They cannot anticipate the timing of recessions and they price the risk of one only once they see it,” Professor Reichlin said in an interview with Brookings. “This blindness suggests that information bearing on the economy’s near-term path is rapidly available to all, but rare events such as recessions are fundamentally unforecastable.”
Policymakers should still pay attention to financial variables, even if they offer disappointingly little power to forecast recession risk—and they should seek to limit the accumulation of financial fragilities since those fragilities likely amplify the damage to the real economy once recessions occur, she said.
The authors use econometric techniques to analyze financial data back to 1973 and its ability to predict risks to gross domestic product (the economy’s output of goods and services) in both the very short term (within a quarter) and the medium term (four quarters). They examined both the predictive power of a compilation of financial variables in the United States (the Federal Reserve Bank of Chicago’s National Financial Conditions Index) and individual variables. They also looked at data for 12 other advanced-economy countries and found very similar patterns.
Financial markets and the real economy (the production of goods and services) interact. Their movements are highly correlated, and financial indicators can, of course, provide useful information about current economic conditions. They also reflect market participants’ expectations of where the real economy is headed. The question the authors examine is whether financial indicators provide extra predictive power, more so than indicators of the real economy such as surveys of corporate purchasing managers.
“People in financial markets can obtain high returns if they can predict recessions but they are not able to do it—at least not better than anyone else. They cannot anticipate the timing of recessions and they price the risk of one only once they see it,” Professor Reichlin said in an interview with Brookings. “This blindness suggests that information bearing on the economy’s near-term path is rapidly available to all, but rare events such as recessions are fundamentally unforecastable.”
Policymakers should still pay attention to financial variables, even if they offer disappointingly little power to forecast recession risk—and they should seek to limit the accumulation of financial fragilities since those fragilities likely amplify the damage to the real economy once recessions occur, she said.
The authors use econometric techniques to analyze financial data back to 1973 and its ability to predict risks to gross domestic product (the economy’s output of goods and services) in both the very short term (within a quarter) and the medium term (four quarters). They examined both the predictive power of a compilation of financial variables in the United States (the Federal Reserve Bank of Chicago’s National Financial Conditions Index) and individual variables. They also looked at data for 12 other advanced-economy countries and found very similar patterns.
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