O CAPM e o CAPM condicional na precificação de índices acionários: evidências de mudanças nos coeficientes estimados de 2005 a 2008

Silva, Wendel Alex Castro; Pinto, Edimeire Alexandra; Melo, Alfredo Alves de Oliveira

doi:10.1590/s1678-69712012000200005

Cited by 5 publications

(9 citation statements)

References 33 publications

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“…As expected return by the market portfolio ( M R ), we used the average return of the last ten years (from December 2007 to December 2016) of the firms listed at the Index of the Bolsa de Valores de São Paulo -São Paulo Stock Exchange (Ibovespa). Several previous evidences demonstrated the application of Ibovespa as a market portfolio (Araújo, Oliveira, & Silva, 2012;Araújo, Fajardo, & Tavani, 2006;Fellet, 2016;Matos & Rocha, 2009;Sanvicente, 2015;Silva et al, 2009;Silva, Pinto, & Melo, 2012;Tambosi, Garcia, & Bertucci, 2007). It is important to clarify that not necessarily the period of regressions to obtain the beta coefficient should coincide with the average return period of the market portfolio, as it can be underlined by the previous one.…”

Section: Methods and Datamentioning

confidence: 80%

THE RELATIONSHIP BETWEEN R&D EXPENSES AND THE ABNORMAL RETURN IN BRAZILIAN FIRMS

Oliveira¹,

Magnani

Tortoli

et al. 2019

RAM, Rev. Adm. Mackenzie

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Purpose: This study aims to analyze the relationship between the abnormal return and R&D expenses in Brazilian public firms. Originality/value: The determinants of firms' abnormal return provide information relevant to investors' decision-making. In this context, we verified whether the innovation, measured by R&D expenses, could be a key factor for the abnormal returns in Brazilian firms. Design/methodology/approach: We analyzed Brazilian public firms, from 2009 to 2016, by panel data regressions, in a sample composed by 1,597 firm-year observations. We collected information about R&D expenses in the footnotes. When a firm only mentioned about R&D expenses but did not disclose spent value in the Income Statement, we consider that the firm did not invest in the period and we attribute zero as a value. We highlighted that few firms mentioned R&D expenses in their footnotes and/or declared that they invested in R&D, only 44 firms in all sample, pointing the importance of better disclosure practices of these investments. Findings: The results demonstrate a negative and statistically significant relationship between innovation and the abnormal return. That is, current R&D expenses lead to a lower current abnormal return. It could be linked with the fact that R&D expenses tend to produce returns just in longer periods, demanding more time to recover these investments, due to their complex characteristics related to accounting measurement of R&D expenses. Consequently, an abnormal return could be perceived only in subsequent periods.

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Section: Methods and Datamentioning

confidence: 80%

THE RELATIONSHIP BETWEEN R&D EXPENSES AND THE ABNORMAL RETURN IN BRAZILIAN FIRMS

Oliveira¹,

Magnani

Tortoli

et al. 2019

RAM, Rev. Adm. Mackenzie

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“…Savings accounts present a low DP and are accessible to any investor. Their use is justified by Silva, Pinto, Melo, and Camargos (2009) and they are used in a recent study from Sanvicente (2014), among other papers.…”

Section: Methodsmentioning

confidence: 99%

“…Garcia and Ghysels (1998) documented the importance of studying structural changes in emerging markets, and recently, articles that address estimating systematic risk in a dynamic way have gained more ground in the literature, since the structure of correlation between the factors involved in the models suffers from an alteration over time, especially when structural breaks exist in the time series, arising for example from a crisis period. Silva, Pinto, Melo, and Camargos (2009), Garcia and Bonomo (2001), Machado, Bortoluzzo, Martins, andSanvicente (2013), andTambosi Filho, da Costa, andRossetto (2006) published papers that evaluated the efficiency of the conditional CAPM model (C-CAPM) proposed by Bodurtha and Mark (1991) in the Brazilian market. On the other hand, Lewellen and Nagel (2006) found empirical evidence that the results from the C-CAPM do not differ significantly from the results from the non-conditional CAPM, since the relationship between the betas and the market risk premium varies very smoothly over time.…”

Section: Introductionmentioning

confidence: 99%

The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil

Bortoluzzo

Venezuela

Bortoluzzo

et al. 2016

Rev. contab. finanç.

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This article examines three models for pricing risky assets, the capital asset pricing model (CAPM) from Sharpe and Lintner, the three factor model from Fama and French, and the four factor model from Carhart, in the Brazilian market for the period from 2002 to 2013. The data is composed of shares traded on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) on a monthly basis, excluding financial sector shares, those with negative net equity, and those without consecutive monthly quotations. The proxy for market return is the Brazil Index (IBrX) and for riskless assets savings accounts are used. The 2008 crisis, an event of immense proportions and market losses, may have caused alterations in the relationship structure of risky assets, causing changes in pricing model results. Division of the total period into pre-crisis and post-crisis sub-periods is the strategy used in order to achieve the main objective: to analyze the effects of the crisis on asset pricing model results and their predictive power. It is verified that the factors considered are relevant in the Brazilian market in both periods, but between the periods, changes occur in the statistical relevance of sensitivities to the market premium and to the value factor. Moreover, the predictive ability of the pricing models is greater in the post-crisis period, especially for the multifactor models, with the four factor model able to improve predictions of portfolio returns in this period by up to 80%, when compared to the CAPM.

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“…A quebra estrutural na série de tempo e o impacto no risco sistemático no período que inclui a crise de 2008 foram também observados por Silva, Pinto e Melo (2012). Cabe, portanto, investigar os fatores que explicam tal comportamento da carteira das ações de empresas que mais distribuem dividendos.…”

Section: Considerações Finaisunclassified

O Enigma Dos Dividendos E O Risco Sistemático

Bernardo¹,

Ikeda²

2013

RUC

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RESUMOUm dos temas que se destacam nos estudos em finanças refere-se ao impacto da política de distribuição de dividendos sobre o valor das empresas. Diversas são as teorias que tentam explicar a relevância dos dividendos para acionistas e empresas. Apesar das inúmeras pesquisas desde a década de 60, ainda pouco se sabe acerca de como as empresas decidem sobre a parcela dos lucros a serem destinadas a remunerar os acionistas. Dessa forma, as pesquisas que tratam dos impactos da política de dividendos nas preferências dos investidores e no valor das empresas são especialmente relevantes, na medida em que ampliam o conhecimento sobre o comportamento dos investidores e os mecanismos de formação do preço dos ativos em condições 1 Artigo recebido em 21.09.2011. Revisado por pares em 28

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O CAPM e o CAPM condicional na precificação de índices acionários: evidências de mudanças nos coeficientes estimados de 2005 a 2008

Cited by 5 publications

References 33 publications

THE RELATIONSHIP BETWEEN R&D EXPENSES AND THE ABNORMAL RETURN IN BRAZILIAN FIRMS

THE RELATIONSHIP BETWEEN R&D EXPENSES AND THE ABNORMAL RETURN IN BRAZILIAN FIRMS

The influence of the 2008 financial crisis on the predictiveness of risky asset pricing models in Brazil

O Enigma Dos Dividendos E O Risco Sistemático

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