The relationship between market returns and accounting returns: a case study of banking sector / A relação entre retornos de mercado e retornos contábeis: um estudo de caso do setor bancário brasileiro

AUTOR(ES)
DATA DE PUBLICAÇÃO

2008

RESUMO

This paper examines the relationship between accounting and market quarterly eturns of the largest companies in the banking sector using the econometric test causality of Granger, and investigated the behavior of tock prices of banks before nd after the financial disclosures. The sample used is the four major Brazilian banks raded on BOVESPA during the third quarter of 1997 to second quarter of 2008. The bjective was to identify the existence of causality between the two sets of returns for each sample company and analyze the behavior of their stock prices before and after he financial disclosures, also examining the existence of causality. The results showed an evidence that the returns of these banks accounting cause, to Granger, the returns of the market, so do not apply in the opposite direction. The financial disclosures do not mean to cause the stock returns before and after releases, just because it did not show significant changes in their behavior.

ASSUNTO(S)

banks eficiência de mercado divulgações financeiras quaterly earnings causalidade de granger retornos de mercado market efficiency. setor bancário granger causality ciencias sociais aplicadas market returns

ACESSO AO ARTIGO

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