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Um ambiente computacional para um teste de significância bayesiano; An computational environment for a bayesian significance test

Faria Junior, Silvio Rodrigues de
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 09/10/2006 Português
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25.95%
Em 1999, Pereira e Stern [Pereira and Stern, 1999] propuseram o Full Baye- sian Significance Test (FBST), ou Teste de Significancia Completamente Bayesiano, especialmente desenhado para fornecer um valor de evidencia dando suporte a uma hip otese precisa H. Apesar de possuir boas propriedades conceituais e poder tratar virtual- mente quaisquer classes de hip oteses precisas em modelos param etricos, a difus ao deste m etodo na comunidade cient fica tem sido fortemente limitada pela ausencia de um ambiente integrado onde o pesquisador possa formular e implementar o teste de seu interesse. O objetivo deste trabalho e apresentar uma proposta de implementa c ao de um ambiente integrado para o FBST, que seja suficientemente flex vel para tratar uma grande classe de problemas. Como estudo de caso, apresentamos a formula c ao do FBST para um problema cl assico em gen etica populacional, o Equil brio de Hardy-Weinberg; In 1999, Pereira and Stern [Pereira and Stern, 1999] introduced the Full Bayesian Significance Test (FBST), developed to give a value of evidence for a precise hypothesis H. Despite having good conceptual properties and being able to dealing with virtually any classes of precise hypotheses under parametric models, the FBST did not achieve a large difusion among the academic community due to the abscence of an computational environment where the researcher can define and assess the evidence for hypothesis under investigation. In this work we propose an implementation of an flexible computatio- nal environment for FBST and show a case study in a classical problem in population genetics...

Arbitragem nos mercados financeiros: uma proposta bayesiana de verificação; Arbitrage in financial markets: a Bayesian approach for verification

Cerezetti, Fernando Valvano
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 20/05/2013 Português
Relevância na Pesquisa
35.95%
Hipóteses precisas são características naturais das teorias econômicas de determinação do valor ou preço de ativos financeiros. Nessas teorias, a precisão das hipóteses assume a forma do conceito de equilíbrio ou da não arbitragem. Esse último possui um papel fundamental nas teorias de finanças. Sob certas condições, o Teorema Fundamental do Apreçamento de Ativos estabelece um sistema único e coerente para valorização dos ativos em mercados não arbitrados, valendo-se para tal das formulações para processos de martingal. A análise da distribuição estatística desses ativos financeiros ajuda no entendimento de como os participantes se comportam nos mercados, gerando assim as condições para se arbitrar. Nesse sentido, a tese defendida é a de que o estudo da hipótese de não arbitragem possui contrapartida científica, tanto do lado teórico quanto do empírico. Utilizando-se do modelo estocástico Variância Gama para os preços dos ativos, o teste Bayesiano FBST é implementado com o intuito de se verificar a existência da arbitragem nos mercados, potencialmente expressa nos parâmetros destas densidades. Especificamente, a distribuição do Índice Bovespa é investigada, com os parâmetros risco-neutros sendo estimados baseandose nas opções negociadas no Segmento de Ações e no Segmento de Derivativos da BM&FBovespa. Os resultados aparentam indicar diferenças estatísticas significantes em alguns períodos de tempo. Até que ponto esta evidência é a expressão de uma arbitragem perene nesses mercados ainda é uma questão em aberto.; Precise hypotheses are natural characteristics of the economic theories for determining the value or prices of financial assets. Within these theories the precision is expressed in terms of equilibrium and non-arbitrage hypotheses. The former concept plays an essential role in the theories of finance. Under certain conditions...

Utilidade para testes de significância; Utility for significance tests

Moura, Nathália Demetrio Vasconcelos
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 16/05/2014 Português
Relevância na Pesquisa
25.95%
Neste trabalho discutimos os principais argumentos da inferência bayesiana subjetivista. Posteriormente, a partir de uma revisão da literatura dos testes de hipóteses, os principais testes são analisados sob a ótica da teoria da decisão, particularmente no que tange às hipóteses precisas. Adicionalmente, funções de perda para testes de significância, seguindo a proposta de Fisher e do FBST, são analisadas e comparadas.; This work discusses the main points of the bayesian subjectivist inference. Posteriorly, from a literature review of hypothesis testing, the main approaches are interpreting from a decision-theoretic viewpoint, particularly regarding the precise hypotheses. Additionally, loss functions for tests of significance, following the proposal of Fisher and FBST, are analyzed and compared.

The Arbitration–Extension Hypothesis: A Hierarchical Interpretation of the Functional Organization of the Basal Ganglia

Kamali Sarvestani, Iman; Lindahl, Mikael; Hellgren-Kotaleski, Jeanette; Ekeberg, Örjan
Fonte: Frontiers Research Foundation Publicador: Frontiers Research Foundation
Tipo: Artigo de Revista Científica
Publicado em 11/03/2011 Português
Relevância na Pesquisa
35.91%
Based on known anatomy and physiology, we present a hypothesis where the basal ganglia motor loop is hierarchically organized in two main subsystems: the arbitration system and the extension system. The arbitration system, comprised of the subthalamic nucleus, globus pallidus, and pedunculopontine nucleus, serves the role of selecting one out of several candidate actions as they are ascending from various brain stem motor regions and aggregated in the centromedian thalamus or descending from the extension system or from the cerebral cortex. This system is an action-input/action-output system whose winner-take-all mechanism finds the strongest response among several candidates to execute. This decision is communicated back to the brain stem by facilitating the desired action via cholinergic/glutamatergic projections and suppressing conflicting alternatives via GABAergic connections. The extension system, comprised of the striatum and, again, globus pallidus, can extend the repertoire of responses by learning to associate novel complex states to certain actions. This system is a state-input/action-output system, whose organization enables it to encode arbitrarily complex Boolean logic rules using striatal neurons that only fire given specific constellations of inputs (Boolean AND) and pallidal neurons that are silenced by any striatal input (Boolean OR). We demonstrate the capabilities of this hierarchical system by a computational model where a simulated generic “animal” interacts with an environment by selecting direction of movement based on combinations of sensory stimuli...

Interstitial cells of Cajal: A novel hypothesis for the pathophysiology of irritable bowel syndrome

Eshraghian, Ahad; Eshraghian, Hamed
Fonte: Pulsus Group Inc Publicador: Pulsus Group Inc
Tipo: Artigo de Revista Científica
Publicado em /05/2011 Português
Relevância na Pesquisa
25.87%
Irritable bowl syndrome (IBS) affects a large proportion of the world’s population, and accounts for a considerable number of visits to gastroenterologists and general practitioners. Despite its high prevalence, the precise mechanism of IBS has not been identified to date. The interstitial cells of Cajal (ICC) participate in the production of slow waves and the regulation of their propagation through the gastrointestinal system; thus, they are important components of gastrointestinal motility. The present review proposes that ICC play a central role in the pathophysiology of IBS. This hypothesis is based on many links between ICC and currently proposed mechanisms of IBS pathophysiology. It appears that ICC may be involved in almost all of the previously explained pathogenic mechanisms of IBS. If proven, this hypothesis may provide a key to solving the IBS mystery.

The Joint Null Criterion for Multiple Hypothesis Tests

Leek, Jeffrey T.; Storey, John D.
Fonte: Berkeley Electronic Press Publicador: Berkeley Electronic Press
Tipo: Artigo de Revista Científica
Publicado em 01/06/2011 Português
Relevância na Pesquisa
25.94%
Simultaneously performing many hypothesis tests is a problem commonly encountered in high-dimensional biology. In this setting, a large set of p-values is calculated from many related features measured simultaneously. Classical statistics provides a criterion for defining what a “correct” p-value is when performing a single hypothesis test. We show here that even when each p-value is marginally correct under this single hypothesis criterion, it may be the case that the joint behavior of the entire set of p-values is problematic. On the other hand, there are cases where each p-value is marginally incorrect, yet the joint distribution of the set of p-values is satisfactory. Here, we propose a criterion defining a well behaved set of simultaneously calculated p-values that provides precise control of common error rates and we introduce diagnostic procedures for assessing whether the criterion is satisfied with simulations. Multiple testing p-values that satisfy our new criterion avoid potentially large study specific errors, but also satisfy the usual assumptions for strong control of false discovery rates and family-wise error rates. We utilize the new criterion and proposed diagnostics to investigate two common issues in high-dimensional multiple testing for genomics: dependent multiple hypothesis tests and pooled versus test-specific null distributions.

On the Role of the Ventromedial Prefrontal Cortex in Self-Processing: The Valuation Hypothesis

D’Argembeau, Arnaud
Fonte: Frontiers Media S.A. Publicador: Frontiers Media S.A.
Tipo: Artigo de Revista Científica
Publicado em 10/07/2013 Português
Relevância na Pesquisa
25.87%
With the development of functional neuroimaging, important progress has been made in identifying the brain regions involved in self-related processing. One of the most consistent findings has been that the ventromedial prefrontal cortex (vMPFC) is activated when people contemplate various aspects of themselves and their life, such their traits, experiences, preferences, abilities, and goals. Recent evidence suggests that this region may not support the act of self-reflection per se, but its precise function in self-processing remains unclear. In this article, I examine the hypothesis that the vMPFC may contribute to assign personal value or significance to self-related contents: stimuli and mental representations that refer or relate to the self tend to be assigned unique value or significance, and the function of the vMPFC may precisely be to evaluate or represent such significance. Although relatively few studies to date have directly tested this hypothesis, several lines of evidence converge to suggest that vMPFC activity during self-processing depends on the personal significance of self-related contents. First, increasing psychological distance from self-representations leads to decreased activation in the vMPFC. Second, the magnitude of vMPFC activation increases linearly with the personal importance attributed to self-representations. Third...

The relationship between visual working memory and attention: retention of precise colour information in the absence of effects on perceptual selection

Hollingworth, Andrew; Hwang, Seongmin
Fonte: The Royal Society Publicador: The Royal Society
Tipo: Artigo de Revista Científica
Publicado em 19/10/2013 Português
Relevância na Pesquisa
25.95%
We examined the conditions under which a feature value in visual working memory (VWM) recruits visual attention to matching stimuli. Previous work has suggested that VWM supports two qualitatively different states of representation: an active state that interacts with perceptual selection and a passive (or accessory) state that does not. An alternative hypothesis is that VWM supports a single form of representation, with the precision of feature memory controlling whether or not the representation interacts with perceptual selection. The results of three experiments supported the dual-state hypothesis. We established conditions under which participants retained a relatively precise representation of a parcticular colour. If the colour was immediately task relevant, it reliably recruited attention to matching stimuli. However, if the colour was not immediately task relevant, it failed to interact with perceptual selection. Feature maintenance in VWM is not necessarily equivalent with feature-based attentional selection.

The direct perception hypothesis: perceiving the intention of another’s action hinders its precise imitation

Froese, Tom; Leavens, David A.
Fonte: Frontiers Media S.A. Publicador: Frontiers Media S.A.
Tipo: Artigo de Revista Científica
Publicado em 18/02/2014 Português
Relevância na Pesquisa
26.01%
We argue that imitation is a learning response to unintelligible actions, especially to social conventions. Various strands of evidence are converging on this conclusion, but further progress has been hampered by an outdated theory of perceptual experience. Comparative psychology continues to be premised on the doctrine that humans and non-human primates only perceive others’ physical “surface behavior,” while mental states are perceptually inaccessible. However, a growing consensus in social cognition research accepts the direct perception hypothesis: primarily we see what others aim to do; we do not infer it from their motions. Indeed, physical details are overlooked – unless the action is unintelligible. On this basis we hypothesize that apes’ propensity to copy the goal of an action, rather than its precise means, is largely dependent on its perceived intelligibility. Conversely, children copy means more often than adults and apes because, uniquely, much adult human behavior is completely unintelligible to unenculturated observers due to the pervasiveness of arbitrary social conventions, as exemplified by customs, rituals, and languages. We expect the propensity to imitate to be inversely correlated with the familiarity of cultural practices...

Does Apoptosis Regulate the Function of Retinal Photoreceptors?

Halaby, Reginald
Fonte: Medical Hypothesis, Discovery & Innovation Ophthalmology Publicador: Medical Hypothesis, Discovery & Innovation Ophthalmology
Tipo: Artigo de Revista Científica
Publicado em //2012 Português
Relevância na Pesquisa
35.87%
Apoptosis, or programmed cell death, is an integral component of developmental biology, embryology, and anatomy. All eukaryotic cells possess the molecular machinery necessary to execute apoptosis. However, dysregulated apoptosis in the form of too much or too little cell death results in diseases such as Alzheimer’s disease, autoimmune disorders, and cancer. It is postulated that apoptosis of the photoreceptors in the retina plays a vital role in mediating vision, and evidence is presented here to support this hypothesis. However, the precise mechanisms that regulate this cell death in photoreceptors have yet to be fully elucidated.

Motivational Salience Signal in the Basal Forebrain Is Coupled with Faster and More Precise Decision Speed

Avila, Irene; Lin, Shih-Chieh
Fonte: Public Library of Science Publicador: Public Library of Science
Tipo: Artigo de Revista Científica
Publicado em 18/03/2014 Português
Relevância na Pesquisa
25.95%
The survival of animals depends critically on prioritizing responses to motivationally salient stimuli. While it is generally believed that motivational salience increases decision speed, the quantitative relationship between motivational salience and decision speed, measured by reaction time (RT), remains unclear. Here we show that the neural correlate of motivational salience in the basal forebrain (BF), defined independently of RT, is coupled with faster and also more precise decision speed. In rats performing a reward-biased simple RT task, motivational salience was encoded by BF bursting response that occurred before RT. We found that faster RTs were tightly coupled with stronger BF motivational salience signals. Furthermore, the fraction of RT variability reflecting the contribution of intrinsic noise in the decision-making process was actively suppressed in faster RT distributions with stronger BF motivational salience signals. Artificially augmenting the BF motivational salience signal via electrical stimulation led to faster and more precise RTs and supports a causal relationship. Together, these results not only describe for the first time, to our knowledge, the quantitative relationship between motivational salience and faster decision speed...

Auditory-motor entrainment and phonological skills: precise auditory timing hypothesis (PATH)

Tierney, Adam; Kraus, Nina
Fonte: Frontiers Media S.A. Publicador: Frontiers Media S.A.
Tipo: Artigo de Revista Científica
Publicado em 27/11/2014 Português
Relevância na Pesquisa
26.02%
Phonological skills are enhanced by music training, but the mechanisms enabling this cross-domain enhancement remain unknown. To explain this cross-domain transfer, we propose a precise auditory timing hypothesis (PATH) whereby entrainment practice is the core mechanism underlying enhanced phonological abilities in musicians. Both rhythmic synchronization and language skills such as consonant discrimination, detection of word and phrase boundaries, and conversational turn-taking rely on the perception of extremely fine-grained timing details in sound. Auditory-motor timing is an acoustic feature which meets all five of the pre-conditions necessary for cross-domain enhancement to occur (Patel, 2011, 2012, 2014). There is overlap between the neural networks that process timing in the context of both music and language. Entrainment to music demands more precise timing sensitivity than does language processing. Moreover, auditory-motor timing integration captures the emotion of the trainee, is repeatedly practiced, and demands focused attention. The PATH predicts that musical training emphasizing entrainment will be particularly effective in enhancing phonological skills.

Spatio-temporal conditional inference and hypothesis tests for neural ensemble spiking precision

Harrison, Matthew T.; Amarasingham, Asohan; Truccolo, Wilson
Fonte: PubMed Publicador: PubMed
Tipo: Artigo de Revista Científica
Publicado em /01/2015 Português
Relevância na Pesquisa
26.01%
The collective dynamics of neural ensembles create complex spike patterns with many spatial and temporal scales. Understanding the statistical structure of these patterns can help resolve fundamental questions about neural computation and neural dynamics. Spatio-temporal conditional inference (STCI) is introduced here as a semiparametric statistical framework for investigating the nature of precise spiking patterns from collections of neurons that is robust to arbitrarily complex and nonstationary coarse spiking dynamics. The main idea is to focus statistical modeling and inference, not on the full distribution of the data, but rather on families of conditional distributions of precise spiking given different types of coarse spiking. The framework is then used to develop families of hypothesis tests for probing the spatio-temporal precision of spiking patterns. Relationships among different conditional distributions are used to improve multiple hypothesis testing adjustments and to design novel Monte Carlo spike resampling algorithms. Of special note are algorithms that can locally jitter spike times while still preserving the instantaneous peri-stimulus time histogram (PSTH) or the instantaneous total spike count from a group of recorded neurons. The framework can also be used to test whether first-order maximum entropy models with possibly random and time-varying parameters can account for observed patterns of spiking. STCI provides a detailed example of the generic principle of conditional inference...

Blending Bayesian and frequentist methods according to the precision of prior information with an application to hypothesis testing

Bickel, David R.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 12/07/2011 Português
Relevância na Pesquisa
25.94%
The following zero-sum game between nature and a statistician blends Bayesian methods with frequentist methods such as p-values and confidence intervals. Nature chooses a posterior distribution consistent with a set of possible priors. At the same time, the statistician selects a parameter distribution for inference with the goal of maximizing the minimum Kullback-Leibler information gained over a confidence distribution or other benchmark distribution. An application to testing a simple null hypothesis leads the statistician to report a posterior probability of the hypothesis that is informed by both Bayesian and frequentist methodology, each weighted according how well the prior is known. Since neither the Bayesian approach nor the frequentist approach is entirely satisfactory in situations involving partial knowledge of the prior distribution, the proposed procedure reduces to a Bayesian method given complete knowledge of the prior, to a frequentist method given complete ignorance about the prior, and to a blend between the two methods given partial knowledge of the prior. The blended approach resembles the Bayesian method rather than the frequentist method to the precise extent that the prior is known. The problem of testing a point null hypothesis illustrates the proposed framework. The blended probability that the null hypothesis is true is equal to the p-value or a lower bound of an unknown Bayesian posterior probability...

The Static Universe Hypothesis: Theoretical Basis and Observational Tests of the Hypothesis

Andrews, Thomas B.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 06/09/2001 Português
Relevância na Pesquisa
25.94%
From the axiom of the unrestricted repeatability of all experiments, Bondi and Gold argued that the universe is in a stable, self-perpetuating equilibrium state. This concept generalizes the usual cosmological principle to the perfect cosmological principle in which the universe looks the same from any location at any time. Consequently, I hypothesize that the universe is static and in an equilibrium state (non-evolving). New physics is proposed based on the concept that the universe is a pure wave system. Based on the new physics and assuming a static universe, processes are derived for the Hubble redshift and the cosmic background radiation field. Then, following the scientific method, I test deductions of the static universe hypothesis using precise observational data primarily from the Hubble Space Telescope. Applying four different global tests of the space-time metric, I find that the observational data consistently fits the static universe model. The observational data also show that the average absolute magnitudes and physical radii of first-rank elliptical galaxies have not changed over the last 5 to 15 billion years. Because the static universe hypothesis is a logical deduction from the perfect cosmological principle and the hypothesis is confirmed by the observational data...

From Veneziano to Riemann: A String Theory Statement of the Riemann Hypothesis

He, Yang-Hui; Jejjala, Vishnu; Minic, Djordje
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Português
Relevância na Pesquisa
25.91%
We discuss a precise relation between the Veneziano amplitude of string theory, rewritten in terms of ratios of the Riemann zeta function, and two elementary criteria for the Riemann hypothesis formulated in terms of integrals of the logarithm and the argument of the zeta function. We also discuss how the integral criterion based on the argument of the Riemann zeta function relates to the Li criterion for the Riemann hypothesis. We provide a new generalization of this integral criterion. Finally, we comment on the physical interpretation of our recasting of the Riemann hypothesis in terms of the Veneziano amplitude.; Comment: 33 pages, LaTeX; v.2 minor edits

Operational Interpretation of Renyi Information Measures via Composite Hypothesis Testing Against Product and Markov Distributions

Tomamichel, Marco; Hayashi, Masahito
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 16/11/2015 Português
Relevância na Pesquisa
25.97%
We revisit the problem of asymmetric binary hypothesis testing against a composite alternative hypothesis. We introduce a general framework to treat such problems when the alternative hypothesis adheres to certain axioms. In this case we find the threshold rate, the optimal error and strong converse exponents (at large deviations from the threshold) and the second order asymptotics (at small deviations from the threshold). We apply our results to find operational interpretations of various Renyi information measures. In case the alternative hypothesis is comprised of bipartite product distributions, we find that the optimal error and strong converse exponents are determined by variations of Renyi mutual information. In case the alternative hypothesis consists of tripartite distributions satisfying the Markov property, we find that the optimal exponents are determined by variations of Renyi conditional mutual information. In either case the relevant notion of Renyi mutual information depends on the precise choice of the alternative hypothesis. As such, our work also strengthens the view that different definitions of Renyi mutual information, conditional entropy and conditional mutual information are adequate depending on the context in which the measures are used.; Comment: partial results presented at ISIT 2015

The Riemann Hypothesis for Angular Lattice Sums

McPhedran, Ross C.; Botten, Lindsay C.; Williamson, Dominic J.; Nicorovici, Nicolae-Alexandru P.
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 23/07/2010 Português
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25.91%
We present further results on a class of sums which involve complex powers of the distance to points in a two-dimensional square lattice and trigonometric functions of their angle, supplementing those in a previous paper (McPhedran {\em et al}, 2008). We give a general expression which permits numerical evaluation of members of the class of sums to arbitrary order. We use this to illustrate numerically the properties of trajectories along which the real and imaginary parts of the sums are zero, and we show results for the first two of a particular set of angular sums (denoted ${\cal C}(1,4 m;s)$) which indicate their density of zeros on the critical line of the complex exponent is the same as that for the product (denoted ${\cal C}(0,1;s)$) of the Riemann zeta function and the Catalan beta function. We then introduce a function which is the quotient of the angular lattice sums ${\cal C}(1,4 m;s)$ with ${\cal C}(0,1;s)$, and use its properties to prove that ${\cal C}(1,4 m;s)$ obeys the Riemann hypothesis for any $m$ if and only if ${\cal C}(0,1;s)$ obeys the Riemann hypothesis. We furthermore prove that if the Riemann hypothesis holds, then ${\cal C}(1,4 m;s)$ and ${\cal C}(0,1;s)$ have the same distribution of zeros on the critical line (in a sense made precise in the proof).

The generating hypothesis in the derived category of a ring

Hovey, Mark; Lockridge, Keir; Puninski, Gena
Fonte: Universidade Cornell Publicador: Universidade Cornell
Tipo: Artigo de Revista Científica
Publicado em 05/10/2006 Português
Relevância na Pesquisa
25.91%
We show that a strong form (the fully faithful version) of the generating hypothesis, introduced by Freyd in algebraic topology, holds in the derived category of a ring R if and only if R is von Neumann regular. This extends results of the second author. We also characterize rings for which the original form (the faithful version) of the generating hypothesis holds in the derived category of R. These must be close to von Neumann regular in a precise sense, and, given any of a number of finiteness hypotheses, must be von Neumann regular. However, we construct an example of such a ring that is not von Neumann regular, and therefore does not satisfy the strong form of the generating hypothesis.

Análise empírica da reação do mercado de capitais brasileiro a eventos corporativos: teste conjunto da Hipótese de Eficiência do Mercado; Reaction of Sao Paulo stock exchange corporative events: a test of the Efficient Market Hypothesis

Camargos, Marcos Antônio de; Romero, Julio Alfredo Racchumi
Fonte: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade Publicador: Universidade de São Paulo. Faculdade de Economia, Administração e Contabilidade
Tipo: info:eu-repo/semantics/article; info:eu-repo/semantics/publishedVersion; ; ; ; ; ; Formato: application/pdf
Publicado em 01/09/2006 Português
Relevância na Pesquisa
35.95%
A Hipótese de Eficiência do Mercado, definida por Fama (1970, 1991), pressupõe, em sua forma semiforte, que o mercado faz ajustes instantâneos e precisos de qualquer informação relevante que seja divulgada pelas empresas que dele participam. Neste artigo, fez-se uma análise da eficiência do mercado brasileiro por meio do estudo do comportamento dos retornos anormais acumulados em períodos próximos à divulgação de três eventos corporativos - fusões e aquisições, lançamento de American Depositary Receipts e adesão aos Níveis Diferenciados de Governança Corporativa -, visando identificar se o mercado comportou-se de maneira eficiente no que se refere à forma semiforte. Mediante um Estudo de Evento, foram realizados testes com ações preferenciais de firmas negociadas na Bovespa para os três eventos e também com ações ordinárias para o último, ocorridos entre 1992 e 2004. As principais conclusões foram: i) os anúncios de F&As, lançamento de ADRs e adesão aos NDGC (ON) apresentam conteúdo informacional relevante para a precificação das ações no mercado; e ii) o mercado brasileiro não se comportou de maneira eficiente na forma semiforte, pois a HEM não foi atestada em conjunto para os três eventos estudados...