A HipÃtese de EficiÃncia de Mercado e as FinanÃas comportamentais: evidÃncias empÃricas no mercado acionÃrio brasileiro e uma proposta teÃrica integrativa

AUTOR(ES)

Jayme Wanderley da Fonte Neto

DATA DE PUBLICAÇÃO

2006

RESUMO

The efficient capital markets hypothesis (EMH) and the behavioral finance are some of the most controversial subjects in the context of finance research. Inquiries about the existence of some possible behavioral biases and if the assets prices effectively fully reflect the information of the moment are strongly present in current agenda of financial research. The objective of this work was to test the hypothesis that the Brazilian stocks market, during 1994 to 2005, was efficient in the weak and semistrong form, making tests too about behavioral movements â overreaction or underreaction. In this way, two main methodological lines had been used: (1) comparison between portfolios that, in the past, had been losers against portfolios winners, with parametric tests as done by De Bondt and Thaler (1985, 1987), Chopra, Lakonishok and Ritter (1992) and Jegadeesh and Titman (1993, 2001), and with nonparametric methodologies; and (2) event studies, to observe the behavior of the market (Ibovespa index) on the days immediately before and after divulgations of important macroeconomics news (GDP, inflation and tax of interest - Selic), using EGARCH regressions. In the empirical results, significant evidences of overreaction or underreaction had not been observed and the EMH had not been rejected. However, in the literature review, it had been observed that the theme still lacks of a better systematization about its assumptions, what makes it difficult and bring confusion to some empirical research results. Thus, the present work considered an alternative perspective of analysis â Efficient Behavioral Capital Markets -, being an effort to improve the categories of inquiry

ASSUNTO(S)

behavioral finance market efficiency finanÃas comportamentais sobre-reaÃÃo anomalias de mercado administracao eficiÃncia de mercado overreaction overreaction market anomalies

Documentos Relacionados

• Rigidez dos salÃrios reais e o modelo novo-keynesiano: evidÃncias empÃricas no Brasil
• A HipÃtese de EficiÃncia de Mercado e a performance dos fundos de aÃÃes brasileiros
• Commercial release and breaks structural: empirical evidences for Latin America
• InstituiÃÃes, governanÃa e Crescimento EconÃmico: Teoria e ExperiÃncia Brasileira à Luz das EvidÃncias EmpÃricas dos PaÃses do Mercosul e Leste AsiÃtico
• EficiÃncia do mercado acionÃrio brasileiro : retorno das aÃÃes negociadas na Bovespa, variÃveis macroeconÃmicas, causalidade e fatores condicionantes