ISCAP - DM- Finanças Empresariais
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- Adequabilidade das técnicas internas de validação de modelos de probabilidade de incumprimentoPublication . Muiambo, Hélder Silva; Lopes, Isabel Cristina da Silva; Silva, Armando Mendes Jorge Nogueira daA presente dissertação apresenta os resultados de uma pesquisa sobre métodos estatísticos mais adequados que os bancos portugueses podem usar para validar os modelos internos de cálculo de probabilidade de incumprimento de clientes de crédito. Com a implementação do Acordo de Basileia II por volta dos anos 2007 a 2009, os bancos portugueses passaram a ter autonomia para estimar, usando metodologias internas, a probabilidade de incumprimento dos seus clientes. Com essa permissão, veio a obrigação de validar tais metodologias usando algumas técnicas estatísticas como: Curva ROC, índice AUC, Pietra Index, Curva CAP Accuracy Ratio, Matriz de confusão ou BRIER score, sendo que a validação deve ser feita por um departamento interno e independente dentro do banco. Neste sentido, o principal objetivo do presente trabalho é analisar a adequabilidade das técnicas estatísticas usadas pelos bancos para validar os modelos internos de classificação de risco de crédito (cálculo da probabilidade de incumprimento) de modo a aferir, numa base comparativa, sobre a capacidade de validação e qual das técnicas estatísticas acima apresentadas valida de forma mais adequada os modelos desenvolvidos. Para atingir este objetivo, no presente trabalho, foram desenvolvidos três (3) modelos de regressão logística distintos para calcular a probabilidade de incumprimento na amostra selecionada, composta por empresas portuguesas não financeiras (base de dados disponibilizada pelo Banco de Portugal Microdata Research Laboratory - BPLIM). Os resultados mostraram que a regressão logística é um modelo adequado para a classificação dos clientes no que diz respeito ao risco de crédito. Quanto às técnicas estatísticas da Curva ROC, índice AUC, Pietra Index, Curva CAP Accuracy Ratio, Matriz de confusão e BRIER score, usadas para a validação dos três (3) modelos, nenhuma delas se mostrou mais importante em detrimento da outra, pois avaliam aspetos diferentes nos modelos, tendo-se verificado uma complementaridade entre os mesmos.
- Análise da estrutura de endividamento de PME Portuguesas: o caso específico do setor da construçãoPublication . Gonçalves, Adriana Maria Pereira; Silva, Armando Mendes Jorge Nogueira daThe construction sector has a strong impact on the Portuguese economy and has been growing steadily in recent years. The capital structure of companies is a very relevant topic in the area of finance, since the form of financing influences the cost of capital and the value of the company. Despite the various studies conducted so far, the results obtained are not conclusive, so the literature has tried to understand which determinants explain the best capital structure. This paper studies the relationship between the capital structure of Portuguese SME in the construction sector and its determinants based on panel data models. To perform this study a database extracted from SABI is used, the same is composed of 5.389 firms, in a time horizon of 11 years. The theoretical and empirical framework was carried out through the financial theories of capital structure, then the determinants of the level of debt of companies were investigated, and the following were considered: size, profitability, tangibility, benefits beyond debt, growth, liquidity and risk. These determinants will have total debt, short term debt, and medium and long term debt as explained variables. The research uses the static panel data models, the estimation was done through the Ordinary Least Squares (OLS) model, the fixed effects model and the random effects model. The results obtained in the study indicate that the total and short-term debt ratio are positively influenced by the growth determinant, on the other hand they are negatively influenced by the profitability and tangibility determinants. However, the medium and long-term debt ratio is positively influenced by the determinants tangibility and growth, but is negatively influenced by the determinant profitability.
- Análise de projetos de investimento: elaboração de uma ferramenta otimizada de avaliação económico-financeiraPublication . Carneiro, Beatriz Pereira; Machado, Ricardo André Cabral de Carvalho BahiaNo presente Relatório de Estágio pretende-se desenvolver a temática da “Análise de projetos de investimento: elaboração de uma ferramenta otimizada de avaliação de avaliação económico-financeira”, no seguimento do contacto com a área de Consultoria e Gestão Financeira durante o período de estágio na empresa iConsulting Group. Inicialmente, será apresentada toda a informação relevante de base para a elaboração do estudo económico e financeiro de uma empresa/negócio e da respetiva avaliação financeira, com explicação e enquadramento teórico dos respetivos conceitos. Para efeitos de aplicação técnica e prática da matéria objeto de estudo, foram realizados dois estudos económico-financeiros de duas empresas/negócios completamente distintos. Estes estudos envolvem a elaboração dos mapas financeiros e respetivas análises, finalizando com a avaliação financeira dos projetos e a devida conclusão sobre a viabilidade económica e financeira dos mesmos.
- Aplicação do regime geral das moratórias nos financiamentos – o caso da BERD, S.APublication . Machado, Joana de Sousa; Silva, Armando Mendes Jorge Nogueira daDue to the global pandemic of COVID-19, economic activity suffered a sharp drop in the most diverse sectors of activity, also affecting the work activity of BERD, S.A. the entity where the curricular internship took place. This internship report presents a description of the various tasks carried out during the internship, with special emphasis on the preparation and review of employee expense reports and the change to the per diem payments method to be used in the company, applicable to workers who travel abroad, thus improving the efficiency of the tasks to be carried out both by employees and by the administrative and financial department. This internship report also includes an interview with the financial director of the BERD and where it can be concluded that the application of moratoriums on company financing had a great positive impact as they could be able to work in a context of market stagnation and that later the company could be prepare for the resumption of amortization of financing (after the end of the moratoriums).
- Avaliação do modelo de planeamento – para previsão financeira, alinhamento de prioridades e estabelecimento de metas – usado na Amorim Cork Flooring, S.APublication . Pinto, Cátia Sousa; Fernandes, Rui Miguel CostaCurrently the business context is increasingly uncertain due to the globalization of the markets and the industry competitiveness, beinhg the access to the information a central resource for the organizations. The scope of this report is to study the importance of the planning in the companies, having as a case study Amorim Cork Flooring, S.A.. The planning model used by ACF is highlighted by the differences compared with the traditional budget. ACF adopts a subdivided panning model, using several tools to the required outputs. It starts with the analysis of the historical figures, identifying and eliminating the one-offs, thus obtaining a clean set – baseline - to start the financial review. Global goals and targets are defined for the following year, which are later individually allocated. The results drivers are also considered in the priorities deployment. Finally, the performance evaluation is carried out comparing the results with the targets, issuing the required corrective measures.
- As bolhas imobiliárias e o efeito de spillover no aumento dos preços da habitaçãoPublication . Ribeiro, Luís Miguel de Sousa; Cunha, António Manuel Pereira RodriguesEste estudo investiga a formação de bolhas imobiliárias nas Áreas Metropolitanas do Porto e de Lisboa e, ainda a ocorrência de efeito spillover, ou seja a influência imobiliária das cidades centrais (Porto e Lisboa) sobre os municípios contíguos. Utilizando uma metodologia quantiativa, baseada no modelo do valor presente, na aplicação de testes de hipóteses e no teste de causalidade de Granger, a abranger o período de 2011 a 2022, com dados recolhidos no Instituto Nacional de Estatística. As hipóteses de investigação testadas centram-se na existência de bolhas imobiliárias, no impacto do crescimento dos preços sobre o poder de compra das famílias e na verificação de efeito spillover entre as cidades do Porto e Lisboa e os respetivos municípios contíguos escolhidos. Os resultados demonstram que, tanto na AMP como na AML, há uma tendência de subida significativa dos preços do imobiliário, refletindo dificuldades de acessibilidade habitacional. A análise indica também que os salários têm uma correlação negativa com as yield´s imobiliárias, sugerindo que, à medida que os rendimentos das famílias aumentam, a acessibilidade à habitação diminui, dado que os preços das casas aumentam numa proporção ainda maior. A pesquisa conclui que, embora não tenha sido possível confirmar a existência de uma bolha imobiliária generalizada durante o período estudado, há sinais de sobrevalorização de preços, especialmente em 2022. O efeito spillover foi comprovado em ambas as áreas metropolitanas, com os preços dos imóveis nas cidades centrais a influenciar os valores praticados nas periferias. Este fenómeno pode aumentar a pressão sobre os municípios contíguos, agravando as disparidades regionais e a inacessibilidade habitacional. Este estudo recomenda a monitorização contínua do mercado e a implementação de políticas públicas que promovam uma oferta de habitação equilibrada, de modo a evitar a intensificação das bolhas imobiliárias e garantir maior acessibilidade de habitacional.
- Capitalização e investimento empresarial: Que tipo de relação? Evidência sobre as empresas do setor primárioPublication . Santos, João Daniel Neves de Almeida; Silva, Armando Mendes Jorge Nogueira da; Lopes, Isabel Cristina da SilvaThe scientific community has debated factors that have influence on investment dynamics, regarding different investment determinants that contribute to the explanation of his behaviour. So far, despite the diversity of literature produced on the subject, no consensus has been reached yet on the dynamics in the relationship betwen corporate leverage and investment. Given the interest of the question raised, this research seeks to explain how corporate leverage is related to the business investment by Portuguese companies in the primary sector. To pursue this goal, a panel data sample of information from 1470 companies in the Portuguese primary sector and 16170 observations was collected from Bureau van Dijk’s SABI (Iberian Bank Analysis System) database. The period selected for the sample covers the years from 2010 to 2020, in order to allow the analysis of the considered relationship in the context of the sovereign debt crisis seen in Portugal in the years 2011 to 2014. After carrying out the econometric study, it was found that corporate leverage has a promoting effect on investment and, specifically, that for the Portuguese companies in the primary sector the relevance of corporate leverage for financing investment projects to be made does not change due to the presence of crisis. In addition, it was also concluded that large firms are more willing to invest, suggesting that these companies rely less on indebtedness. Lastly, the robustness analysis made it possible to perceive that companies that are engaged with internationalization processes had a greater propensity for investment and, in parallel, that membership of economic groups is an investment driven factor, given the possibility of making intra-group loans and less dependence on external indebtedness for the implementation of investiment projects.
- As características e os determinantes das empresas Zombie entre 2010 e 2018: caso do setor secundário portuguêsPublication . Vieira, Anabela Pereira Alves; Silva, Armando Mendes Jorge Nogueira daThe term “zombie companies” begins in Japan and is based on the study of the various companies that remained in the market, although apparently they did not present conditions for such. Several authors have addressed the topic, so there are some different definitions for this type of company; in turn, in general, these are companies that, despite having been in the market for at least 10 years, are financed through bank debt or with the help of government subsidies, but which maintain salaries above the average of their sector, even with weak productivity. Concretely, in this analysis, zombie were defined as companies with at least ten years, with an interest coverage ratio of less than 1 for three consecutive years and presenting negative profits, based on the definition of McGowan, Andrews and Millot, 2017. In the present study, it was possible to verify that there are common characteristics such as the size, age of the company, the sector of economic activity to which it belongs and the Gross Domestic Product of the administrative region where it is located, which lead to a company having a higher probability to become a zombie. In a second phase of the study, note that the number of years a company remains in the zombie state can be influenced by the exploration subsidies received, its size and its age.
- Corporate governance e a tomada de risco nas instituições bancárias: o caso portuguêsPublication . Caetano, André Luís Fernandes; Mota, Carlos Filipe Magalhães Bastos daThe relation between Corporate Governance and bank risk-taking is a widely discussed topic in literature, but the conclusions continue to show ambiguity. Therefore, the main purpose of this research is to empirically study the impact of several governance mechanisms on Portuguese banks risk-taking. We collected data on the 11 major Portuguese banks, based on the mean of individual balance sheets, for each semester between the periods of 2008 and 2020. The methodology used consists in performing multiple linear regressions using OLS, Fixed Effects and GMM estimators. The empirical results show the effect which a strong Corporate Governance presents in bank risk-taking is significant. However, the individual characteristics of Corporate Governance have mixed results. Empirical evidence highlights the positive relation of board size with risktaking, in addition to the negative relation between the number of foreign directors and risk. Conflicting results in the two risk measures are revealed regarding the relation with the Board of Directors independence ratio, CEO power and gender diversity. There was no evidence of a significant relation between meetings’ frequency and risk. The results also showed us the negative influence of the Portuguese crisis in bank risk-taking, as well as the imbalanced impact of Corporate Governance at different points in the economic cycle.
- Corporate governance e desempenho das empresas de seguros em PortugalPublication . Oliveira, Mafalda Alexandra Borges; Mota, Carlos Filipe Magalhães Bastos daThe theme of Corporate Governance and business performance has been widely discussed and analyzed, but the results on this relationship are mixed. Therefore, the main issue addressed in this dissertation is whether there is a relationship between the internal mechanisms of corporate governance and the performance of companies. For this, a sample composed of the 10 largest life and non-life insurance companies, selected by the criterion of total production, in the period from 2010 to 2019. The methodology used consisted of estimating and analyzing multiple regression models of panel data with fixed effects, to verify the influence of Corporate Governance characteristics on business performance, measured by three indicators: return on assets (ROA), return on equity (ROE) and a combined ratio that measures operating profitability (RC). According to PLS (Panel Least Squares) regressions, the results provide some evidence of a relationship between the characteristics of the board of directors and governance mechanisms and the performance of insurers. The models indicate that board size and the separation of the roles of CEO and Chairman is positively related to performance. The findings show that a longer term of office of executive directors worsens the performance measured by ROE and RC. The longer term of office for non-executives seems to have a positive impact on asset profitability (ROA). A higher variable remuneration of executive directors relates positively to firm performance, while the weight of the shareholder in the board of directors was not related to performance. The independence of the board of directors and the auditing revealed a negative association with performance. Furthermore, the effects of the Portuguese economic and financial crisis (2010-2009) only impacted operating profitability.