There is extensive literature on the value relevance of social responsibility for companies that operate in developed countries. However, little is known about the influence of these practices on the price of assets listed on emerging economies, such as Brazil. In this context, the aim of this study is to analyse whether social responsibility activities carried out by companies listed on the São Paulo Stock Exchange during the 2010-2015 period play a significant role in enhancing firm value. Unlike previous studies, we distinguish between the three modern pillars of sustainability: environmental, social, and corporate governance (ESG). Our overall results support the value enhancing theory rather than the shareholder expense theory. However, it is important to note that the results also show that the market does not significantly value the three ESG pillars. Specifically, the market positively and significantly values the environmental practices carried out by companies not related to environmentally sensitive industries. In contrast, the market positively and significantly values the social and corporate governance practices carried out by the companies belonging to these sensitive industries. These findings are relevant for both investors and the managers of these companies, policy makers, customers, and citizens concerned about ESG issues.

No abstract

The size effect has been analyzed in numerous stock markets using different approaches. However, there are few studies focused on its practical applicability. In this context, the aim of this study is two--fold. First, we examine price and volatility linkages among large, medium, and small firms employing a multivariate VAR-BEKK model. Second, we provide the out-of-sample performance of optimal portfolios constructed on the basis of time-varying return and volatility forecasts from this specification approach. Our overall results show that optimal portfolios are primarily composed of medium and small firms. Moreover, our findings reveal that using this technique, it is possible to reduce risk and outperform the naïve rule, which is usually employed by foreign investors interested in the Brazilian stock market. These findings are relevant not only for academics but also for practitioners because it is important an in-depth knowledge of stock market patterns in order to develop correct trading strategies. KEYWORDS |

Objective: The objective of this paper has been to analyze different trading strategies for the Brazilian stock market. This analysis is focused on the comparison and combination of different active rules against the passive rule of buy-and-hold. Background: The role of regional leader of the Brazilian stock market has attracted the attention of the investors, who now consider it a valid alternative when seeking to diversify their portfolios. Consequently, an adequate use of the Technical Trading Rules (TTR) could help investors obtain the desired profits on their investments. Method: We compare the performance of active strategies based on classical TTRs with a proposal based on the momentum indicator, and then all of them with those obtained from the passive strategy of buy-and-hold. Reality Check and Superior Predictive Ability tests are employed to account for possible data snooping bias. Results: It is shown that the classical rules perform worse than a proposed rule based on the Rate of Change. Additionally, when we employ an ETF which tracks the smaller companies, we obtain higher performances than those obtained for larger companies.