Globalização financeira, eficiência informacional e custo de capital: uma análise das emissões de ADRs brasileiros no período 1992-2001. / Financial globalization, informational efficiency and capital cost.

AUTOR(ES)
DATA DE PUBLICAÇÃO

2002

RESUMO

The present study was undertaken with the intent of analyzing the effects of the financial globalization upon the Brazilian stock market. Globalization was marked by the issuance of American Depositary Receipts, ADR’s, which are financial instruments that enable a foreign company to be listed twice in the domestic and international stock exhange as well as to access to the US stock market. ADR’s market in the US stock exchanges was characterized by its contribution to both the arrangement process of international portfolios and its weak informative efficiency. The results achieved pointed out a remarkable contribution made by the ADR’s to the US portfolios, by reducing risks and increasing yields. The responses to several statistical tests carried out also allow conclusions concerned with the weak informative efficiency of such markets to be taken. The contribution arising from ADR’s issuance to the Brazilian market was analyzed with an emphasis on the occasional increase in both information and allocation efficiency levels in the domestic market. Phillips-Peron’s Unitary background tests did not allow contributions to the increase in the share-closing prices’ weak informative efficiency to be checked out. The analysis of the exchange series before and after ADR’s issuance event enable the market to be regarded as informatively efficient in both of the periods, what causes a verification of an increase in the allocations’ efficiency to become impossible once the ADR’s are issued. On the other hand, the comparison as well as the posterior analysis of the own capital cost in moments before and after ADR’s release stressed the contribution of this instrument to the allocations’ efficiency in the Brazilian market, by presenting significant reductions of the own capital cost, expressed by the betas’negative ratio in shares. Another analyzed matter in the study relates to the analysis of the semi-strong efficiency of the domestic stock market, clearly shown by the ADR’s issuance event. The results pointed out the presence of abnormal bigger yields in the period preceding the event, significant and positive abnormal yields around the event time and negative yields in the posterior period – what confirms the evidences of reductions in capital cost levels.

ASSUNTO(S)

financial management adrs administração financeira adrs mercado de capitais globalization globalização financial markets

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