The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends
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Data de Publicação: | 2013 |
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Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Produção Online |
Texto Completo: | https://www.producaoonline.org.br/rpo/article/view/1196 |
Resumo: | In the semi-strong form of the Efficient Markets Hypothesis - EMH, developed by Fama (1970, 1991), the prices reflect both the past and any information disclosed by companies, making impossible to an investor to get abnormal returns consistently, based on this type of information. In this paper we analyze the price behavior of common shares of 87 listed companies in the BM&FBovespa, in the announcements of 452 events of dividend distribution, occurred between January 2000 and September 2010, in order to identify the EMH in semi-strong form of Brazilian capital market. We used an event study, which evaluates abnormal returns of stocks relative to the market return (Ibovespa). The analysis of the abnormal return in the event window (10 days before and after the dividend distribution announcement) showed an upward trend, with significant positive abnormal returns on days t-5, t-3, and t-1 to t+1. The results go in the direction of other studies of national literature and contribute to attest that the Brazilian capital market lacks the semi-strong form of informational efficiency. |
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The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividendsEficiência informacional do mercado de capitais brasileiro, 2000-2010: um estudo de evento dos anúncios de distribuição de dividendosEfficient Markets Hypothesis. Event Study. Dividends.Eficiência de Mercado. Estudo de Evento. Dividendos. In the semi-strong form of the Efficient Markets Hypothesis - EMH, developed by Fama (1970, 1991), the prices reflect both the past and any information disclosed by companies, making impossible to an investor to get abnormal returns consistently, based on this type of information. In this paper we analyze the price behavior of common shares of 87 listed companies in the BM&FBovespa, in the announcements of 452 events of dividend distribution, occurred between January 2000 and September 2010, in order to identify the EMH in semi-strong form of Brazilian capital market. We used an event study, which evaluates abnormal returns of stocks relative to the market return (Ibovespa). The analysis of the abnormal return in the event window (10 days before and after the dividend distribution announcement) showed an upward trend, with significant positive abnormal returns on days t-5, t-3, and t-1 to t+1. The results go in the direction of other studies of national literature and contribute to attest that the Brazilian capital market lacks the semi-strong form of informational efficiency.O objetivo deste artigo é analisar o comportamento dos preços de ações de companhias brasileiras listadas na BM&FBovespa, nos dias próximos aos anúncios de 452 eventos de distribuição de dividendos, ocorridos entre janeiro de 2000 e setembro de 2010, visando a aferir a eficiência informacional semiforte do mercado de capitais brasileiro. A metodologia utilizada foi um estudo de evento, a qual avalia retornos anormais das ações em relação ao retorno do mercado (Ibovespa). A análise do retorno anormal na janela de evento (10 dias antes e após o anúncio da distribuição de dividendos) mostrou uma tendência de alta, com retornos anormais positivos e significativos nos dias t-5, t-3, e t-1 a t+1. Os resultados encontrados vão na direção de outros estudos da literatura nacional e contribuem para atestar que o mercado de capitais brasileiro não apresenta a forma semiforte de eficiência informacional.Associação Brasileira de Engenharia de Produção2013-11-19info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfaudio/mpeghttps://www.producaoonline.org.br/rpo/article/view/119610.14488/1676-1901.v13i4.1196Revista Produção Online; Vol. 13 No. 4 (2013); 1227-1251Revista Produção Online; v. 13 n. 4 (2013); 1227-12511676-1901reponame:Revista Produção Onlineinstname:Associação Brasileira de Engenharia de Produção (ABEPRO)instacron:ABEPROporhttps://www.producaoonline.org.br/rpo/article/view/1196/1069https://www.producaoonline.org.br/rpo/article/view/1196/1070Copyright (c) 2014 Revista Produção Onlineinfo:eu-repo/semantics/openAccessCarvalho, Daniel MoreiraCamargos, Marcos Antônio de2015-11-11T17:25:39Zoai:ojs.emnuvens.com.br:article/1196Revistahttp://producaoonline.org.br/rpoPUBhttps://www.producaoonline.org.br/rpo/oai||producaoonline@gmail.com1676-19011676-1901opendoar:2015-11-11T17:25:39Revista Produção Online - Associação Brasileira de Engenharia de Produção (ABEPRO)false |
dc.title.none.fl_str_mv |
The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends Eficiência informacional do mercado de capitais brasileiro, 2000-2010: um estudo de evento dos anúncios de distribuição de dividendos |
title |
The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends |
spellingShingle |
The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends Carvalho, Daniel Moreira Efficient Markets Hypothesis. Event Study. Dividends. Eficiência de Mercado. Estudo de Evento. Dividendos. |
title_short |
The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends |
title_full |
The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends |
title_fullStr |
The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends |
title_full_unstemmed |
The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends |
title_sort |
The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends |
author |
Carvalho, Daniel Moreira |
author_facet |
Carvalho, Daniel Moreira Camargos, Marcos Antônio de |
author_role |
author |
author2 |
Camargos, Marcos Antônio de |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Carvalho, Daniel Moreira Camargos, Marcos Antônio de |
dc.subject.por.fl_str_mv |
Efficient Markets Hypothesis. Event Study. Dividends. Eficiência de Mercado. Estudo de Evento. Dividendos. |
topic |
Efficient Markets Hypothesis. Event Study. Dividends. Eficiência de Mercado. Estudo de Evento. Dividendos. |
description |
In the semi-strong form of the Efficient Markets Hypothesis - EMH, developed by Fama (1970, 1991), the prices reflect both the past and any information disclosed by companies, making impossible to an investor to get abnormal returns consistently, based on this type of information. In this paper we analyze the price behavior of common shares of 87 listed companies in the BM&FBovespa, in the announcements of 452 events of dividend distribution, occurred between January 2000 and September 2010, in order to identify the EMH in semi-strong form of Brazilian capital market. We used an event study, which evaluates abnormal returns of stocks relative to the market return (Ibovespa). The analysis of the abnormal return in the event window (10 days before and after the dividend distribution announcement) showed an upward trend, with significant positive abnormal returns on days t-5, t-3, and t-1 to t+1. The results go in the direction of other studies of national literature and contribute to attest that the Brazilian capital market lacks the semi-strong form of informational efficiency. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-11-19 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.producaoonline.org.br/rpo/article/view/1196 10.14488/1676-1901.v13i4.1196 |
url |
https://www.producaoonline.org.br/rpo/article/view/1196 |
identifier_str_mv |
10.14488/1676-1901.v13i4.1196 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://www.producaoonline.org.br/rpo/article/view/1196/1069 https://www.producaoonline.org.br/rpo/article/view/1196/1070 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2014 Revista Produção Online info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2014 Revista Produção Online |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf audio/mpeg |
dc.publisher.none.fl_str_mv |
Associação Brasileira de Engenharia de Produção |
publisher.none.fl_str_mv |
Associação Brasileira de Engenharia de Produção |
dc.source.none.fl_str_mv |
Revista Produção Online; Vol. 13 No. 4 (2013); 1227-1251 Revista Produção Online; v. 13 n. 4 (2013); 1227-1251 1676-1901 reponame:Revista Produção Online instname:Associação Brasileira de Engenharia de Produção (ABEPRO) instacron:ABEPRO |
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Associação Brasileira de Engenharia de Produção (ABEPRO) |
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ABEPRO |
institution |
ABEPRO |
reponame_str |
Revista Produção Online |
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Revista Produção Online |
repository.name.fl_str_mv |
Revista Produção Online - Associação Brasileira de Engenharia de Produção (ABEPRO) |
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