Rafael Schiozer | Getulio Vargas Foundation (Fundação Getulio Vargas) (original) (raw)

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Papers by Rafael Schiozer

Social Science Research Network, 2011

Rae-revista De Administracao De Empresas, Oct 1, 2014

Abstract: Natural experiments or quasi-experiments have become quite popular in management resear... more Abstract: Natural experiments or quasi-experiments have become quite popular in management research. The Differences-in-Differences (DiD) estimator is possibly the workhorse of these techniques. The goal of this paper is to provide a practical guide for researchers considering using natural experiments to make causal inferences. We discuss the DiD advantages, concerns, and tests of validity. We also provide an application of the technique, in which we discuss the effect of government guarantees on banks´ degree of risk, using the 2008 financial crisis as a natural experiment. The database used, as well as the Stata and the R scripts containing the analyses are available as online appendices.

Abstract. We exploit the exogenous shock to the Brazilian banking system caused by the internatio... more Abstract. We exploit the exogenous shock to the Brazilian banking system caused by the international turmoil of 2008 and find evidence that the run to systemically important banks is better explained by the perception of a too-big-to-fail policy than by bank funda-mentals. We infer that the extra inflow of deposits received by systemically important banks during crises gives them an important competitive advantage. Our analysis also indicates that a bank’s share of funding from institutional investors affects the nonfinancial firms’ and institutional investors ’ decision to run. JEL Classification: G21, G28, F650 1.

Journal of Financial Intermediation, Sep 30, 2023

Social Science Research Network, 2022

Canadian International Petroleum Conference, 2007

Abstract The traditional analytical tool for selection of portfolios is the Markowitz's mean... more Abstract The traditional analytical tool for selection of portfolios is the Markowitz's mean-variance model where the focus is purely on financial return. The final product of this model is the efficient frontier. The choice of the optimal portfolio among infinite possibilities is the final problem, but the mean-variance model does not recommend which one is the best portfolio. A set of heavy-oil projects located in deep-waters regions is used as a case-study to test the several alternatives for portfolio selection. This paper proposes an extension of ...

Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting], 2016

Abstract This paper investigates the economic relationship that exists between oil price and oper... more Abstract This paper investigates the economic relationship that exists between oil price and operating costs in the E&P industry and its implications for the capital budgeting and decision-making processes. We present empirical evidence that there is a positive correlation between price and operating costs, and that overlooking this relationship has severe implications for the valuation of investment projects, both using a traditional Net Present Value (NPV) methodology or a Real Option approach. In the traditional NPV ...

Social Science Research Network, 2020

We study whether financial and accounting disclosure affect firm value by focusing on the full ad... more We study whether financial and accounting disclosure affect firm value by focusing on the full adoption of International Financial Reporting Standards (IFRS) in Brazil in 2010. We compare firms with ex-ante lower accounting quality (firms in the Regular and Level 1 tiers of corporate governance) with otherwise similar firms that had already complied with higher-quality accounting standards (firms in the Level 2 and Novo Mercado tiers). IFRS adoption has a positive impact of approximately 30 percentage points on Tobin´s Q and 26 percentage points on market-to-book ratios for firms in the lower governance tiers, and substantially reduces the valuation gap between firms in the higher and lower tiers of corporate governance. This reduction in the valuation gap after IFRS adoption is explained by the relative increase in foreign ownership and stock liquidity of firms in the lower governance tiers.

Brazilian Review of Finance, Jan 18, 2011

Esse artigo investiga os determinantes da oferta de trade credit por companhias brasileiras de ca... more Esse artigo investiga os determinantes da oferta de trade credit por companhias brasileiras de capital aberto, no período de 2005 a 2008. A teoria financeira encontra sustentação em estudos empíricos internacionais, que documentam que os principais determinantes são o tamanho e o nível de endividamento das firmas, ambos indicando a disponibilidade de recursos nas firmas como fatores significantes na oferta de trade credit. Adicionalmente, esta literatura confirma usos estratégicos para o trade credit, como discriminação de preços entre clientes. Os resultados obtidos no presente estudo, utilizando-se uma amostra de 157 empresas brasileiras, não dão sustentaçãoàs primeiras hipóteses, mas endossam a oferta de trade credit como elemento estratégico para estas firmas. Foi ainda observada uma significativa queda na oferta de trade credit em 2008, ano marcado por uma aguda crise financeira internacional. Palavras-chave: trade credit; crédito comercial; endividamento de curto prazo.

European Finance Review, Jan 15, 2014

We exploit the exogenous shock to the Brazilian banking system caused by the international turmoi... more We exploit the exogenous shock to the Brazilian banking system caused by the international turmoil of 2008 and find evidence that the run to systemically important banks is better explained by the perception of a too-big-to-fail policy than by bank fundamentals. We infer that the extra inflow of deposits received by systemically important banks during crises gives them an important competitive advantage. Our analysis also indicates that a bank's share of funding from institutional investors affects the nonfinancial firms' and institutional investors' decision to run.

Social Science Research Network, 2012

This study investigates whether banks use dividends to signal asset quality and liquidity to thei... more This study investigates whether banks use dividends to signal asset quality and liquidity to their debtholders. We exploit an exogenous shock to the asset opaqueness and perception of risks of Brazilian banks caused by the global financial turmoil of 2008. Our empirical identification takes advantage of the cross-sectional heterogeneity of types of depositors in Brazilian banks and the existence of several owner-managed banks (for which shareholder-targeted signaling is implausible) to identify that information-sensitive depositors (institutional investors) are targets of dividend signaling by banks. These costly signaling efforts are particularly strong during financial crises when asset opaqueness, informational asymmetry and depositors' concerns regarding bank liquidity are exacerbated. From a policy perspective, our results favor the imposition of limits on bank dividends during financial crises, because the banks' need to signal their financial health through dividends during crises intensifies the pro-cyclical effects of bank capital on lending. Ó 2015 Elsevier B.V. All rights reserved. banks (e.g., Bessler and Nohel, 2000) and show that stock prices react to dividend information. This study investigates whether dividends are used by managers to convey information to debtholders. More specifically, we use the exogenous shock to the opaqueness of assets and perception of risk of Brazilian banks arising from the financial turmoil that followed Lehman Brother's demise to investigate whether banks use dividends as a signal to information-sensitive depositors. Kauko's (2012) model relates bank dividends to funding stability. In this model, dividends are an important source of information for depositors because they signal both profitability and liquidity (i.e., liquid and profitable banks can pay larger dividends than illiquid and unprofitable banks). Depositors are particularly sensitive to bank liquidity during financial crises because of the potential negative effects of bank runs and fire sales. Therefore, banks may decide to increase their dividends to keep depositors calm and to prevent bank runs during periods of financial turmoil. Although Kauko's (2012) model assumes uniform depositors (i.e., all depositors are equally sensitive to information), recent theoretical models and empirical evidence (Huang and Ratnovski, 2011; Oliveira et al., 2015) suggest that wholesale financiers, such as institutional depositors, are both more prone to engaging in runs during periods with high informational asymmetry (asset opaqueness) and more sensitive to information (such as dividend payments) than retail depositors. Ben-David et al. (2012) argue that institutional investors are more reactive to information than other investors because they have internal risk management systems and funding