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A relação do retorno das ações com o EVA, com o lucro residual e com as medidas contábeis tradicionais: um estudo empírico aplicado às empresas brasileiras de capital aberto; The relation between stock returns and EVA, residual income, mandated performance measures: a empirical study applied to Brazilian companies with open capital

Salvi, Andrea
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Dissertação de Mestrado Formato: application/pdf
Publicado em 26/04/2007 Português
Relevância na Pesquisa
66.77%
A ampla divulgação do conceito de valor econômico adicionado (EVA®) fez com que as empresas utilizassem essa medida de desempenho para evidenciar o quanto de valor foi adicionado aos seus proprietários. Essas empresas esperam que EVA®s positivos aumentem o valor da empresa no mercado. Nesse sentido, alguns estudos comprovaram uma relação forte entre o EVA® e o retorno das ações no mercado, confirmando que o EVA® positivo valoriza a empresa no mercado (FELTHAM et al, 2004; SILVEIRA et al, 2004). Entretanto, ao se analisarem as medidas contábeis tradicionais, como lucro líquido e fluxo de caixa operacional, encontra-se uma forte relação dessas medidas com o retorno das ações e uma fraca relação do EVA® com o retorno das ações (BIDDLE et al, 1997). Neste trabalho, foi aplicado o estudo de Biddle et al, para todas as empresas não-financeiras de capital aberto listadas na Bovespa, no período de 1997 a 2006. Foi apurado o lucro líquido, o fluxo de caixa operacional, o EVA® e o lucro residual (EVA® sem ajustes contábeis) e foi analisada a relação dessas medidas com o retorno das ações das empresas brasileiras. Foi analisada também a influência dos ajustes contábeis na explicação do retorno das ações...

Indicadores contábeis, ambiente informacional de mercados emergentes e retorno das ações; Accounting rates, informational environments in emerging markets and stock returns

Takamatsu, Renata Turola
Fonte: Biblioteca Digitais de Teses e Dissertações da USP Publicador: Biblioteca Digitais de Teses e Dissertações da USP
Tipo: Tese de Doutorado Formato: application/pdf
Publicado em 02/07/2015 Português
Relevância na Pesquisa
66.72%
Este trabalho tem por objetivo principal avaliar a capacidade de explicação das variações dos retornos das ações de empresas que negociam seus títulos em bolsas de valores de mercados emergentes. Esta tarefa foi conduzida a partir de indicadores com o seu cálculo baseado em valores advindos das demonstrações contábeis, tais: como price-to-book, accruals, investimento, tamanho, lucro bruto e crescimento de vendas. Em adição, busca-se avaliar se o ambiente econômico e institucional afeta essa relação em países emergentes. Para isso investigaram-se empresas de capital aberto de 20 países classificados como emergentes, com base no índice elaborado pela agência Standard&Poors. Por essa via, as demonstrações contábeis das firmas nativas dessas economias foram utilizadas como insumo, restringindo-se aquelas de capital aberto que estavam disponíveis na base de dados da Capital IQ. Em paralelo, foram selecionadas informações macroeconômicas organizadas pelo International Country Risk Guide. A amostra abrangeu dados de 2004 a 2013, com a exclusão de dados faltantes (missings), variáveis consideradas outliers e daquelas empresas que apresentaram patrimônio líquido a descoberto. Os resultados demonstraram que a variável lucro bruto e price-to-book foi positivamente correlacionadas com os retornos. De outro lado...

Monetary policy and the cross-section of stock returns: a FAVAR approach

Pires, Victor Duarte Garcia
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
66.56%
We use a factor-augmented vector autoregression (FAVAR) to estimate the impact of monetary policy shocks on the cross-section of stock returns. Our FAVAR combines unobserved factors extracted from a large set of nancial and macroeconomic indicators with the Federal Funds rate. We nd that monetary policy shocks have heterogeneous e ects on the crosssection of stock returns. These e ects are very well explained by the degree of external nance dependence, as well as by other sectoral characteristics.

Automatic model selection for forecasting brazilian stock returns

Cunha, Ronan
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
66.6%
This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We nd that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.

Consumption-wealth ratio and expected stock returns: evidence from panel data

Castro, Andressa Souza Campos Monteiro
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Dissertação
Português
Relevância na Pesquisa
66.67%
This paper investigates the role of consumption-wealth ratio on predicting future stock returns through a panel approach. We follow the theoretical framework proposed by Lettau and Ludvigson (2001), in which a model derived from a nonlinear consumer’s budget constraint is used to settle the link between consumption-wealth ratio and stock returns. Using G7’s quarterly aggregate and financial data ranging from the first quarter of 1981 to the first quarter of 2014, we set an unbalanced panel that we use for both estimating the parameters of the cointegrating residual from the shared trend among consumption, asset wealth and labor income, cay, and performing in and out-of-sample forecasting regressions. Due to the panel structure, we propose different methodologies of estimating cay and making forecasts from the one applied by Lettau and Ludvigson (2001). The results indicate that cay is in fact a strong and robust predictor of future stock return at intermediate and long horizons, but presents a poor performance on predicting one or two-quarter-ahead stock returns.

Automatic model selection for forecasting Brazilian stock returns

CUNHA, Ronan; VALLS PEREIRA, Pedro L.
Fonte: Fundação Getúlio Vargas Publicador: Fundação Getúlio Vargas
Tipo: Relatório
Português
Relevância na Pesquisa
66.6%
This study aims to contribute on the forecasting literature in stock return for emerging markets. We use Autometrics to select relevant predictors among macroeconomic, microeconomic and technical variables. We develop predictive models for the Brazilian market premium, measured as the excess return over Selic interest rate, Itaú SA, Itaú-Unibanco and Bradesco stock returns. We find that for the market premium, an ADL with error correction is able to outperform the benchmarks in terms of economic performance. For individual stock returns, there is a trade o between statistical properties and out-of-sample performance of the model.

Stock returns and volatility: the Brazilian case

Tabak,Benjamin M.; Guerra,Solange M.
Fonte: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo Publicador: Faculdade de Economia, Administração e Contabilidade de Ribeirão Preto da Universidade de São Paulo
Tipo: Artigo de Revista Científica Formato: text/html
Publicado em 01/09/2007 Português
Relevância na Pesquisa
66.67%
This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series of Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is a negative relationship between changes in volatility and stock returns. Finally, the asymmetric volatility effect seems to hold for Brazilian stocks as shown by the results from an AR(1)-EGARCH(1,1) estimation.

Expected Stock Returns and Volatility

Stambaugh, Robert F. ; Schwert, G. William (1950 - ); French, Kenneth R.
Fonte: William E. Simon Graduate School of Business Administration, University of Rochester Publicador: William E. Simon Graduate School of Business Administration, University of Rochester
Tipo: Trabalho em Andamento
Português
Relevância na Pesquisa
66.78%
This paper examines the relation between stock returns and stock market volatility. We find evidence that the expected market risk premium (the expected return on a stock portfolio minus the Treasury bill yield) is positively related to the predictable volatility of stock returns. There is also evidence that unexpected stock market returns are negatively related to the unexpected change in the volatility of stock returns. This negative relation provides indirect evidence of a positive relation between expected risk premiums and volatility.

Emerging Markets Instability : Do Sovereign Ratings Affect Country Risk and Stock Returns?

Kaminsky, Graciela; Schmukler, Sergio
Fonte: World Bank Publicador: World Bank
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
66.45%
Financial market instability has been the focus of attention of both academic and policy circles. Rating agencies have been under particular scrutiny lately as promoters of financial excesses, upgrading countries in good times and downgrading them in bad times. Using a panel of emerging economies, this paper examines whether sovereign ratings affect financial markets. We find that changes in sovereign ratings have an impact on country risk and stock returns. We also find that these changes are transmitted across countries, with neighbor-country effects being more significant. Rating upgrades (downgrades) tend to occur following market rallies (downturns). Countries with more vulnerable economies, as measured by low ratings, are more sensitive to changes in U.S. interest rates.

Business Cycle Effects on US Sectoral Stock Returns

Song, Keran
Fonte: FIU Digital Commons Publicador: FIU Digital Commons
Tipo: Artigo de Revista Científica Formato: application/pdf
Português
Relevância na Pesquisa
66.82%
My dissertation investigated business cycle effects on US sectoral stock returns. The first chapter examined the relationship between the business cycle and sectoral stock returns. First, I calculated constant correlation coefficients between the business cycle and sectoral stock returns. Then, I employed the DCC GARCH model to estimate time-varying correlation coefficients for each pair of the business cycle and sectoral stock returns. Finally, I ran regression of sectoral returns on dummy variables designed to capture the four stages of the business cycle. I found that though sectoral stock returns were closely related to the business cycle, they did not share some of its main characteristics. The second chapter developed two models in order to discuss possible asymmetric business cycle effects on US sectoral stock returns. One was a GARCH model with asymmetric explanatory variables and the other one was an ARCH-M model with asymmetric external regressors. In the second model, square root of conditional variance of the business cycle proxy was characterized as positive or negative risk, depending on the algebraic sign of past innovations driving the business cycle proxy. I found that some sectors changed their cyclicities from expansions to recessions. Negative shocks to business cycles had most power to influence sectoral volatilities. Positive and negative parts of business cycle risk had same effects on some sectors but had opposite effects on other sectors. A general conclusion of both models was that business cycle had stronger effects than own sectoral effects in driving sectoral returns. The third chapter discussed Chinese business cycle effects on US sectoral stock returns at two horizons. At a monthly horizon...

Financial Markets and the Macroeconomy: Cross-Sectional Returns, Time-Variation of Risk Premia, and Forecasting; Finanzmärkte und Makroökonomie: Querschnitts- und Zeitvariation von Risikoprämien und Prognose

Schrimpf, Andreas
Fonte: Universidade de Tubinga Publicador: Universidade de Tubinga
Tipo: Dissertação
Português
Relevância na Pesquisa
56.7%
Diese Dissertation setzt sich zusammen aus drei separaten Aufsätzen, welche sich aus empirischer Sicht mit verschiedenen Aspekten der Zusammenhänge zwischen Finanzmärkten und der Makroökonomie beschäftigen. Kapitel 1 ("Long Horizon Consumption Risk and the Cross-Section of Returns: New Tests and International Evidence") untersucht den Erklärungsgehalt des langfristigen konsum-basierten Asset Pricing Modells (LH-CCAPM) für die Querschnittsvariation von Renditen in internationalen Aktienmärkten. Wie die Resultate dieses Kapitels zeigen, ist das LH-CCAPM nicht in der Lage den Querschnitt von Aktienrenditen auf zufriedenstellende Art und Weise zu erklären, wenn die starke Faktorstruktur der (nach Marktkapitalisierung und Buchwert Marktwertverhältnis geordneten) Test-Portfolios berücksichtigt wird. Allerdings ergeben sich jedoch typischerweise niedrigere geschätzte Werte für den Risikoaversionsparameter, sofern Konsumrisiken über längerfristige Horizonte gemessen werden. Somit kann festgehalten werden, dass plausiblere Schätzergebnisse für die strukturellen Parameter -- im Gegensatz zu einem verbesserten Erklärungsgehalt für den Querschnitt -- als der zentrale Erfolg des langfristigen konsum-basierten Asset Pricing Modells angesehen werden können. Während der Fokus des ersten Aufsatzes auf der Variation von Risikoprämien im Querschnitt der Aktienrenditen liegt...

Effects of macroeconomic announcements on stock returns across volatility regimes

Aray, Henry
Fonte: Universidad de Granada. Departamento de Teor??a e Historia Econ??mica Publicador: Universidad de Granada. Departamento de Teor??a e Historia Econ??mica
Tipo: Relatório
Português
Relevância na Pesquisa
66.6%
Based on a simple Markov regime switching model, this article presents evidence on the effects of macroeconomic announcements on individual stocks returns. The model specification allows two regimes to be distinguished: one with high volatility and the other with low volatility. Considering the level of significance at 5%, the response of stock returns to macroeconomic announcements is much stronger in the low volatility regime. However, the effects of the Fama-French factors on individual stock returns is unambiguously significant in both regimes.

Empirical distributions of stock returns: european securities markets, 1990-95

Aparicio, Felipe M.; Estrada, Javier
Fonte: Universidade Carlos III de Madrid Publicador: Universidade Carlos III de Madrid
Tipo: Trabalho em Andamento Formato: application/pdf
Publicado em /04/1997 Português
Relevância na Pesquisa
66.67%
The assumption that daily stock returns are normally distributed has long been disputed by the data. In this article we test (and clearly reject) the normality assumption using time series of daily stock returns for thirteen European securities markets. More importantly, we fit to the data four alternative specifications, find overall support for the scaled-t distribution (and partial support for a mixture of two Normal distributions), and quantify the magnitude of the error that stems from predicting the probability of obtaining returns in specified intervals by using the Normal distribution. We conclude by arguing that normality may be a plausible assumption for monthly (but not for daily) stock returns.

What Explains Stock Markets’ Vulnerability to the 2007–2008 Crisis?

Didier, Tatiana; Love, Inessa; Peria, Maria Soledad Martinez
Fonte: Banco Mundial Publicador: Banco Mundial
Tipo: Publications & Research :: Policy Research Working Paper
Português
Relevância na Pesquisa
56.83%
This paper examines the determinants of stock markets' vulnerability to the 2007-2008 crisis. Given that the United States (US) was the crisis epicenter, the authors analyze the factors driving the co-movement between US returns and stock returns in 83 countries. The analysis distinguishes between the period before and after the collapse of Lehman Brothers. The findings indicate that the main channel of transmission was financial. There is also evidence of a "wake-up call" or "demonstration effect" in the first stage of the crisis, because countries with vulnerable banking and corporate sectors exhibited higher co-movement with the US market. However, despite a collapse in trade across countries, the analysis does not find support for this channel of transmission.

Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries

Castro, Andressa Monteiro de; Issler, João Victor
Fonte: Escola de Pós-Graduação em Economia da FGV Publicador: Escola de Pós-Graduação em Economia da FGV
Tipo: Relatório
Português
Relevância na Pesquisa
66.51%
Using the theoretical framework of Lettau and Ludvigson (2001), we perform an empirical investigation on how widespread is the predictability of cay { a modi ed consumption-wealth ratio { once we consider a set of important countries from a global perspective. We chose to work with the set of G7 countries, which represent more than 64% of net global wealth and 46% of global GDP at market exchange rates. We evaluate the forecasting performance of cay using a panel-data approach, since applying cointegration and other time-series techniques is now standard prac- tice in the panel-data literature. Hence, we generalize Lettau and Ludvigson's tests for a panel of important countries. We employ macroeconomic and nancial quarterly data for the group of G7 countries, forming an unbalanced panel. For most countries, data is available from the early 1990s until 2014Q1, but for the U.S. economy it is available from 1981Q1 through 2014Q1. Results of an exhaustive empirical investigation are overwhelmingly in favor of the predictive power of cay in forecasting future stock returns and excess returns.

The impact of liquidity risk on stock returns of European and American banks in the context of the subprime crisis

Lopes, Joana Reis
Fonte: Universidade Católica Portuguesa Publicador: Universidade Católica Portuguesa
Tipo: Dissertação de Mestrado
Publicado em //2011 Português
Relevância na Pesquisa
66.6%
Literature shows that liquidity risk is an important determinant of stock performance, particularly during times of stress in the financial system. The following paper studies the relationship between liquidity risk and stock returns, using a data set of 87 banks, European and American, over the period of 2004-2011. Liquidity risk is measured by the bid-ask spread on stocks and the empirical study is performed with three types of analyses – a cross-sectional and a panel on the overall sample and four cross-sectional studies on individual banks. The results show that not only liquidity risk became more important to explain bank stock returns, but also that investors changed their attitude towards liquidity risk, after the turmoil of 2007. That may be the result of a “flight to liquidity” behavior during that time.; A literatura mostra que o risco de liquidez tem um papel preponderante na explicação da performance das ações, especialmente durante épocas de stresse no sistema financeiro. O artigo que se segue estuda a relação entre risco de liquidez e retorno das ações, recorrendo a uma amostra de 87 bancos europeus e americanos, durante o período de 2004-2011. O risco de liquidez é medido pelo bid-ask spread nas ações dos bancos estudados e a análise empírica é feita com base em três tipos de estudo - um cross-seccional e um panel...

Multinational telecommunications operators : impact of market factors and foreign currency exchange rate variations in their stock returns

Oliveira, Maria da Conceição T. F. Monteiro H.
Fonte: Instituto Superior de Economia e Gestão Publicador: Instituto Superior de Economia e Gestão
Tipo: Dissertação de Mestrado
Publicado em /02/2012 Português
Relevância na Pesquisa
66.67%
Mestrado em Finanças; Firms are exposed to foreign exchange risk when the results of their projects depend on future exchange rates and those exchange rates can not be fully anticipated. Through the last 50 years, exchange risk management has received increasing attention in both corporate practice and literature. Firms are also exposed to other market factors, domestic and internationally, with a major impact on their stock returns. During the past decade the telecommunications sector has been under the impact of strong pressures that reshaped companies positioning in the marketplace and their business models. Those pressures may have changed the main driving factors that impact their stock returns, possibly exposing them to increased exchange rate risk. The objective of this study is (1) to identify how the theory has discussed analysed and explained the influence of the main drivers of Multinational Corporations (MNCs) stock return variations, (2) to apply an empirical model and methodology to analyse the impact of market factors and exchange rate variations in Multinational Telecommunications Operators' stock returns valuation and (3) verify if the previous literature results still hold for international telecommunications operators.; As empresas estão expostas ao risco cambial quando os seus projectos dependem de taxas de câmbio futuras...

Stock returns and volatility: the Brazilian case*

Tabak, Benjamin Miranda; Guerra Medeiros, Solange
Fonte: Universidade Católica de Brasília Publicador: Universidade Católica de Brasília
Tipo: Artigo de Revista Científica Formato: Texto
Português
Relevância na Pesquisa
66.67%
This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series of Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is a negative relationship between changes in volatility and stock returns. Finally, the asymmetric volatility effect seems to hold for Brazilian stocks as shown by the results from an AR(1)-EGARCH(1,1) estimation.

Stock returns and volatility: the Brazilian case

Tabak, Benjamin M.; Guerra, Solange M.
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade de RP
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; Formato: application/pdf
Publicado em 01/09/2007 Português
Relevância na Pesquisa
66.67%
This paper examines the relationship between stock returns and volatility over the period of June 1990 to April 2002. We study firm-level relationship between stock returns and volatility for a sample of 25 time series of Brazilian stocks. Using Seemingly Unrelated Regressions (SUR) empirical evidence suggests that contemporaneous returns and volatilities are significantly and positively correlated while there is a negative relationship between changes in volatility and stock returns. Finally, the asymmetric volatility effect seems to hold for Brazilian stocks as shown by the results from an AR(1)-EGARCH(1,1) estimation.; Este artigo examina a relação entre retornos de ações e volatilidade no período de junho de 1990 a abril de 2002. Estudamos a relação entre retornos de ações e volatilidade no nível da firma para uma amostra de 25 séries de ações brasileiras. Usando o método de regressões aparentemente não relacionadas (SUR) a evidência empírica sugere que retornos contemporâneos e volatilidades estão positivamente e significativamente relacionados enquanto existe relação negativa entre mudanças de volatilidade e retornos de ações. Finalmente, o efeito de assimetria na volatilidade é consistente com as ações brasileiras como pode ser percebido dos resultados da estimação AR(1)-EGARCH(1...

A relação entre risco idiossincrático e retorno no mercado acionário brasileiro; The relationship between idiosyncratic risk and returns in the Brazilian stock market

Mendonça, Fernanda Primo de; Klotzle, Marcelo Cabus; Pinto, Antonio Carlos Figueiredo; Montezano, Roberto Marcos da Silva
Fonte: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Escola de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf; application/pdf
Publicado em 01/12/2012 Português
Relevância na Pesquisa
56.77%
A relação entre risco idiossincrático e retorno tem sido amplamente estudada em várias publicações internacionais, com resultados controversos. No contexto brasileiro, os estudos sobre este tema ainda são escassos. Este trabalho visa verificar a relação entre o risco idiossincrático e o retorno das ações no mercado acionário brasileiro. Para atingir este objetivo, foram utilizados dois métodos de estimação da volatilidade idiossincrática: primeiro, os resíduos de regressões baseadas no Modelo de Três Fatores de Fama e French, e segundo, o modelo EGARCH, que forneceu a volatilidade convencional. Essas variáveis foram adicionadas a modelos de regressão cross-section, juntamente com outras variáveis específicas às ações, tais como: beta, valor de mercado, índice book-to-market, efeito momentum e liquidez. Os resultados mostram que a volatilidade idiossincrática tem uma influência positiva e significante sobre o retorno das ações, e que o modelo mais apropriado é aquele que inclui todas as variáveis mencionadas. A análise das outras variáveis também produziu resultados importantes. Contrariamente às expectativas, o valor de mercado das ações e a liquidez tiveram uma influência importante sobre o retorno. Os coeficientes dessas variáveis foram positivos em todos os modelos analisados. Esse resultado pode ser reflexo de uma particularidade do mercado brasileiro...