Post-earnings announcement drift no mercado de ações brasileiro

Detalhes bibliográficos
Ano de defesa: 2014
Autor(a) principal: Santos, Alexandre Metello de Castro
Orientador(a): Azevedo, Rafael Moura
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Não Informado pela instituição
Programa de Pós-Graduação: Não Informado pela instituição
Departamento: Não Informado pela instituição
País: Não Informado pela instituição
Palavras-chave em Português:
Eficiência de mercado
Estudo de evento
Retornos anormais
Retornos anormais acumulados
Teste de hipótese
Palavras-chave em Inglês:
Market efficiency
Event study
Abnormal returns
Cumulative abnormal returns
Hypotheses test
Post-earnings announcement drift
Link de acesso: https://hdl.handle.net/10438/13718
Resumo: This work seeks to test Brazilian stock market efficiency by identifying the existence of postearnings announcement drift, phenomenon already very well studied and reproduced in the US market. According to the existent literature about the subject, information contained in a firm’s earnings announcements is relevant for pricing of its stocks. Moreover, cumulative abnormal returns for stocks of firms that announce earnings with 'positive surprises' have positive tendency for some period after the earnings announcement. On the other hand, cumulative abnormal returns for stocks of firms that announce earnings with 'negative surprises' have negative tendency for some period after the earnings announcement. The identification of post-earnings announcement drift in the Brazilian stock market may be very useful for structuring of arbitrage strategies and portfolio management. After a theoretical review, the result is presented and shows itself partially consistent with the existent literature.
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spelling Santos, Alexandre Metello de CastroEscolas::EPGEFGVGlasman, Daniela KubudiVarga, GyorgyAzevedo, Rafael Moura2015-05-21T19:31:14Z2015-05-21T19:31:14Z2014-12-23SANTOS, Alexandre Metello de Castro. Post-earnings announcement drift no mercado de ações brasileiro. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2014.https://hdl.handle.net/10438/13718This work seeks to test Brazilian stock market efficiency by identifying the existence of postearnings announcement drift, phenomenon already very well studied and reproduced in the US market. According to the existent literature about the subject, information contained in a firm’s earnings announcements is relevant for pricing of its stocks. Moreover, cumulative abnormal returns for stocks of firms that announce earnings with 'positive surprises' have positive tendency for some period after the earnings announcement. On the other hand, cumulative abnormal returns for stocks of firms that announce earnings with 'negative surprises' have negative tendency for some period after the earnings announcement. The identification of post-earnings announcement drift in the Brazilian stock market may be very useful for structuring of arbitrage strategies and portfolio management. After a theoretical review, the result is presented and shows itself partially consistent with the existent literature.Este trabalho busca testar a eficiência do mercado de ações brasileiro através da identificação da existência de post-earnings announcement drift, fenômeno já bastante estudado e reproduzido no mercado norte-americano. Segundo a literatura existente a respeito do assunto, a informação contida na divulgação de resultados de uma firma é relevante para a formação de preço de suas ações. Além disso, os retornos anormais acumulados de ações de firmas que divulgam resultados com 'surpresas positivas' possuem tendência positiva por algum tempo após a divulgação do resultado. Por outro lado, os retornos anormais acumulados de ações de empresas que divulgam resultados com 'surpresas negativas' possuem tendência negativa por algum tempo após a divulgação do resultado. A identificação de post-earnings announcement drift no mercado acionário brasileiro pode ser de grande utilidade para a estruturação de estratégias de arbitragem e gestão de portfólios. Após uma revisão teórica, o resultado é apresentado e se mostra parcialmente consistente com a literatura existente.porMarket efficiencyEvent studyAbnormal returnsCumulative abnormal returnsHypotheses testPost-earnings announcement driftEficiência de mercadoEstudo de eventoRetornos anormaisRetornos anormais acumuladosTeste de hipóteseEconomiaFinançasMercado financeiroBolsa de valoresAções (Finanças)Post-earnings announcement drift no mercado de ações brasileiroinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPost-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdfPost-Earnings Announcement Drift no Mercado de Ações 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dc.title.por.fl_str_mv Post-earnings announcement drift no mercado de ações brasileiro
title Post-earnings announcement drift no mercado de ações brasileiro
spellingShingle Post-earnings announcement drift no mercado de ações brasileiro
Santos, Alexandre Metello de Castro
Market efficiency
Event study
Abnormal returns
Cumulative abnormal returns
Hypotheses test
Post-earnings announcement drift
Eficiência de mercado
Estudo de evento
Retornos anormais
Retornos anormais acumulados
Teste de hipótese
Economia
Finanças
Mercado financeiro
Bolsa de valores
Ações (Finanças)
title_short Post-earnings announcement drift no mercado de ações brasileiro
title_full Post-earnings announcement drift no mercado de ações brasileiro
title_fullStr Post-earnings announcement drift no mercado de ações brasileiro
title_full_unstemmed Post-earnings announcement drift no mercado de ações brasileiro
title_sort Post-earnings announcement drift no mercado de ações brasileiro
author Santos, Alexandre Metello de Castro
author_facet Santos, Alexandre Metello de Castro
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.member.none.fl_str_mv Glasman, Daniela Kubudi
Varga, Gyorgy
dc.contributor.author.fl_str_mv Santos, Alexandre Metello de Castro
dc.contributor.advisor1.fl_str_mv Azevedo, Rafael Moura
contributor_str_mv Azevedo, Rafael Moura
dc.subject.eng.fl_str_mv Market efficiency
Event study
Abnormal returns
Cumulative abnormal returns
Hypotheses test
Post-earnings announcement drift
topic Market efficiency
Event study
Abnormal returns
Cumulative abnormal returns
Hypotheses test
Post-earnings announcement drift
Eficiência de mercado
Estudo de evento
Retornos anormais
Retornos anormais acumulados
Teste de hipótese
Economia
Finanças
Mercado financeiro
Bolsa de valores
Ações (Finanças)
dc.subject.por.fl_str_mv Eficiência de mercado
Estudo de evento
Retornos anormais
Retornos anormais acumulados
Teste de hipótese
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Finanças
Mercado financeiro
Bolsa de valores
Ações (Finanças)
description This work seeks to test Brazilian stock market efficiency by identifying the existence of postearnings announcement drift, phenomenon already very well studied and reproduced in the US market. According to the existent literature about the subject, information contained in a firm’s earnings announcements is relevant for pricing of its stocks. Moreover, cumulative abnormal returns for stocks of firms that announce earnings with 'positive surprises' have positive tendency for some period after the earnings announcement. On the other hand, cumulative abnormal returns for stocks of firms that announce earnings with 'negative surprises' have negative tendency for some period after the earnings announcement. The identification of post-earnings announcement drift in the Brazilian stock market may be very useful for structuring of arbitrage strategies and portfolio management. After a theoretical review, the result is presented and shows itself partially consistent with the existent literature.
publishDate 2014
dc.date.issued.fl_str_mv 2014-12-23
dc.date.accessioned.fl_str_mv 2015-05-21T19:31:14Z
dc.date.available.fl_str_mv 2015-05-21T19:31:14Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.citation.fl_str_mv SANTOS, Alexandre Metello de Castro. Post-earnings announcement drift no mercado de ações brasileiro. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2014.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/13718
identifier_str_mv SANTOS, Alexandre Metello de Castro. Post-earnings announcement drift no mercado de ações brasileiro. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2014.
url https://hdl.handle.net/10438/13718
dc.language.iso.fl_str_mv por
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dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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institution FGV
reponame_str Repositório Institucional do FGV (FGV Repositório Digital)
collection Repositório Institucional do FGV (FGV Repositório Digital)
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