Avaliação de desempenho das ações ordinárias dos principais bancos de grande porte pelo índice de Sharpe, Treynor, Jensen e Modigliani e Modigliani
AUTOR(ES)
César Augusto Fregnani
DATA DE PUBLICAÇÃO
2009
RESUMO
In recent years Brazilian bank sectors accounting results are presenting a high tax return and profitability regarding its net equity. However, these accounting results are based exclusively in historical transactions and do not consider future transactions, as performance index, which are applicable in the financial market. Having that considered, the main objective of this paper is to analyze the performance of common shares related to private and public leading Brazilian banks, using risk based indexes, which are applied to investment portfolios or isolated assets, during the period between January, 2002 and December 2007. Through an empirical and analytical verification the following variables were studied: accounting performance, return taxes, risk and the co-relation between them. After those variables were found, they were applied to the analysis of the following indexes: Return on Equity, Profitability Margin, Sharpe, Treynor and Jensen Indexes and M Modigliani and Modigliani index. The result indicates that, during the period under study, the individual analysis of Sharpe, Treynor, Jensen and M of Modigliani and Modigliani Indexes, presented, in general, positive result, concluding, therefore, that it would profitable to invest in the researched shares. It was also acknowledged that this positive investment return, appreciated through accounting indexes like Return on Equity and Profitability Margin, is consistent when compared to results related to risk adjusted return. Finally, it is possible to conclude that, in despite of having being used historical series in this study to measure the risk adjusted return, the results can be assumed as a good forecast for future investments
ASSUNTO(S)
instituicoes financeiras -- contabilidade performance of common shares contabilidade bancaria administracao indexes of return adjusted to the risk indicadores de retorno ajustado ao risco desempenho das ações ordinárias
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