2020
DOI: 10.15728/bbr.2020.17.6.2
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Fundamentalist Signals in Volatility Scenarios: Evidence in the Brazilian Stock Market

Abstract: This article investigates whether the usefulness of fundamentalist signals to predict returns are altered in context of high volatility and also considering the sensitivity of assets to the IVol-BR volatility index. In times of high volatility, investors could make their decisions based on risk aversion and not only on the fundamentals signals of companies. In addition, it is possible to see how different delays in fundamentalist signals are related to future returns. The methodological choice is for estimator… Show more

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Cited by 4 publications
(3 citation statements)
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“…The logistic regression econometric model was used and, following the guidelines of Gujarati (2006), Corrar, Paulo andDias Filho (2007) and Fávero et al (2009), to estimate the regression functions, the method of estimation used to obtain the coefficients was based on maximum likelihood method and for the operationalization of the regressions the software R was used where the probability of error type I, for analysis of the assumptions was defined in 5 %, this way, we have a 95% confidence index (CI). The analysis of the coefficient R² will be validated by means of the p-value of the test, while for the validation of the coefficients of the regressors, the pvalue of the individual test will be used, being analyzed on the aspects of 1% 5% and 10% significance as supervised by Bastos, Bortolon and Maia (2020). The dummy representing the party's changes being the dependent variable, and the Scissor Balance (ST), Working Capital (CDG) and Working Capital Needs are the independent variables together with the dummy of the situation type 1.…”
Section: Application Of the Logit Regression Statistical Methodsmentioning
confidence: 99%
“…The logistic regression econometric model was used and, following the guidelines of Gujarati (2006), Corrar, Paulo andDias Filho (2007) and Fávero et al (2009), to estimate the regression functions, the method of estimation used to obtain the coefficients was based on maximum likelihood method and for the operationalization of the regressions the software R was used where the probability of error type I, for analysis of the assumptions was defined in 5 %, this way, we have a 95% confidence index (CI). The analysis of the coefficient R² will be validated by means of the p-value of the test, while for the validation of the coefficients of the regressors, the pvalue of the individual test will be used, being analyzed on the aspects of 1% 5% and 10% significance as supervised by Bastos, Bortolon and Maia (2020). The dummy representing the party's changes being the dependent variable, and the Scissor Balance (ST), Working Capital (CDG) and Working Capital Needs are the independent variables together with the dummy of the situation type 1.…”
Section: Application Of the Logit Regression Statistical Methodsmentioning
confidence: 99%
“…Entretanto, (Bastos, Bortolon & Maia, 2021), chamam a atenção para a mudança do comportamento dos sinais fundamentalistas, principalmente nos momentos em que o mercado expressa maior volatilidade, recomendando que os investidores avaliem esses momentos e a sensibilidade a eles dos ativos que pretendem investir antes da tomada de uma decisão.…”
Section: Metodologiaunclassified
“…),Novaes et al (2018),Oliveira e Soares (2018),Bastos et al (2020), Araújo Júnior et al (2019), Lunardi et al (2020), Lima et al (2016), Carvalho Júnior et al (2017) e Malaquias e Pontes (2018) corroboram com a importância dos estudos em Finanças Comportamentais que questionam a racionalidade ilimitada de agentes tomadores de decisões, e o quanto o comportamento pode variar dados vieses e heurísticas. Os trabalhos de Viana Junior et al (2019), Silva e Machado (2019) e Malaquias e Silveira (2020) discutem o papel dos recursos linguísticos da fala ou da escrita no processo de tomada de decisões e no comportamento dos agentes.…”
unclassified