RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Eletrônica de Ciência Administrativa |
Texto Completo: | http://www.periodicosibepes.org.br/index.php/recadm/article/view/1929 |
Resumo: | This study examined the performance of 16 real estate companies with shares on the BM&FBOVESPA in the period 2009-2012. The importance of this sector to the economy and the recent entry of these companies in the capital market requires that studies of this nature contribute to the better understanding of relative risk and return of these companies. For this, statistics and quantitative evaluation models based on performance CAPM, Sharpe Ratio, Treynor Ratio, Information Ratio, Jensen's Alpha and Modigliani & Modigliani Index were applied to the sample. The results show that the company Helbor was the best investment option, because it showed the best performance based on 04 of the 06 analyzed indexes, five other companies were above the industry results in performance indexes. It was also possible to select a diversified portfolio with five active samples where the performance of this portfolio was superior to the individual assets. Thus, it is predicted that the study period was favorable to real estate companies, as the average performance of the companies outperformed the stock index. In addition, we managed to create a diversified portfolio, due to the different segments that the industry congregates (construction, incorporation and management of enterprises). |
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RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012Risco versus retorno das ações do setor imobiliário da BM&FBOVESPA no período de 2009 a 2012Risk; Return; Performance; Real Estate IndustryRisco; Retorno; Desempenho; Setor ImobiliárioThis study examined the performance of 16 real estate companies with shares on the BM&FBOVESPA in the period 2009-2012. The importance of this sector to the economy and the recent entry of these companies in the capital market requires that studies of this nature contribute to the better understanding of relative risk and return of these companies. For this, statistics and quantitative evaluation models based on performance CAPM, Sharpe Ratio, Treynor Ratio, Information Ratio, Jensen's Alpha and Modigliani & Modigliani Index were applied to the sample. The results show that the company Helbor was the best investment option, because it showed the best performance based on 04 of the 06 analyzed indexes, five other companies were above the industry results in performance indexes. It was also possible to select a diversified portfolio with five active samples where the performance of this portfolio was superior to the individual assets. Thus, it is predicted that the study period was favorable to real estate companies, as the average performance of the companies outperformed the stock index. In addition, we managed to create a diversified portfolio, due to the different segments that the industry congregates (construction, incorporation and management of enterprises).Este estudo analisou o desempenho de 16 empresas do setor imobiliário com ações na BM&FBOVESPA no período de 2009 a 2012. A importância deste setor para a economia do país e a recente entrada destas empresas no mercado de capitais exige que estudos desta natureza contribuam no melhor entendimento da relação risco e retorno destas firmas. Para tanto, foram aplicados à amostra medidas estatísticas de avaliação e modelos quantitativos de desempenho baseados no CAPM, Índice de Sharpe, Índice de Treynor, Information Ratio, Alfa de Jensen e Índice de Modigliani & Modigliani. Os resultados mostram que a empresa Helbor foi a melhor opção de investimento, pois apresentou a melhor performance com base em 04 dos 06 índices analisados, outras cinco empresas apresentaram resultados superiores ao setor nos índices de desempenho. Foi possível, ainda, selecionar um portfólio diversificado com cinco ativos da amostra onde o desempenho desta carteira foi superior aos ativos individuais. Deste modo, avalia-se que o período analisado foi favorável às empresas do setor imobiliário, pois a performance média das empresas superou o índice da bolsa. Em adição, conseguiu-se criar uma carteira diversificada, em função dos segmentos distintos que o setor congrega (construção, incorporação e gestão de empreendimentos). Instituto Brasileiro de Estudos e Pesquisas Sociais - IBEPESUNESP/FCAVGaspar, Bruna CiganhaSantos, David Ferreira LopesRodrigues, Santiago Valcacer2014-12-31info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttp://www.periodicosibepes.org.br/index.php/recadm/article/view/192910.21529/RECADM.2014021Revista Eletrônica de Ciência Administrativa; v. 13, n. 3 (2014): Setembro-Dezembro; 316-338Revista Eletrônica de Ciência Administrativa; v. 13, n. 3 (2014): Setembro-Dezembro; 316-338Revista Eletrônica de Ciência Administrativa; v. 13, n. 3 (2014): Setembro-Dezembro; 316-3381677-7387reponame:Revista Eletrônica de Ciência Administrativainstname:Faculdade Cenecista de Campo Largo (FACECLA)instacron:FACECLAporhttp://www.periodicosibepes.org.br/index.php/recadm/article/view/1929/799http://www.periodicosibepes.org.br/index.php/recadm/article/downloadSuppFile/1929/421Direitos autorais 2014 Bruna Ciganha Gaspar, David Ferreira Lopes Santos, Santiago Valcacer Rodrigueshttps://creativecommons.org/licenses/by/4.0info:eu-repo/semantics/openAccess2019-07-03T03:05:46Zoai:periodicosibepes.org.br:article/1929Revistahttp://www.periodicosibepes.org.br/recadmONGhttp://www.periodicosibepes.org.br/recadm/oairecadm.editor@ibepes.org.br1677-73871677-7387opendoar:2019-07-03T03:05:46Revista Eletrônica de Ciência Administrativa - Faculdade Cenecista de Campo Largo (FACECLA)false |
dc.title.none.fl_str_mv |
RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012 Risco versus retorno das ações do setor imobiliário da BM&FBOVESPA no período de 2009 a 2012 |
title |
RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012 |
spellingShingle |
RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012 Gaspar, Bruna Ciganha Risk; Return; Performance; Real Estate Industry Risco; Retorno; Desempenho; Setor Imobiliário |
title_short |
RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012 |
title_full |
RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012 |
title_fullStr |
RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012 |
title_full_unstemmed |
RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012 |
title_sort |
RISK VERSUS RETURN OF STOCKS OF BM&FBOVESPA’S REAL ESTATE SECTOR FOR THE PERIOD 2009 TO 2012 |
author |
Gaspar, Bruna Ciganha |
author_facet |
Gaspar, Bruna Ciganha Santos, David Ferreira Lopes Rodrigues, Santiago Valcacer |
author_role |
author |
author2 |
Santos, David Ferreira Lopes Rodrigues, Santiago Valcacer |
author2_role |
author author |
dc.contributor.none.fl_str_mv |
UNESP/FCAV |
dc.contributor.author.fl_str_mv |
Gaspar, Bruna Ciganha Santos, David Ferreira Lopes Rodrigues, Santiago Valcacer |
dc.subject.por.fl_str_mv |
Risk; Return; Performance; Real Estate Industry Risco; Retorno; Desempenho; Setor Imobiliário |
topic |
Risk; Return; Performance; Real Estate Industry Risco; Retorno; Desempenho; Setor Imobiliário |
description |
This study examined the performance of 16 real estate companies with shares on the BM&FBOVESPA in the period 2009-2012. The importance of this sector to the economy and the recent entry of these companies in the capital market requires that studies of this nature contribute to the better understanding of relative risk and return of these companies. For this, statistics and quantitative evaluation models based on performance CAPM, Sharpe Ratio, Treynor Ratio, Information Ratio, Jensen's Alpha and Modigliani & Modigliani Index were applied to the sample. The results show that the company Helbor was the best investment option, because it showed the best performance based on 04 of the 06 analyzed indexes, five other companies were above the industry results in performance indexes. It was also possible to select a diversified portfolio with five active samples where the performance of this portfolio was superior to the individual assets. Thus, it is predicted that the study period was favorable to real estate companies, as the average performance of the companies outperformed the stock index. In addition, we managed to create a diversified portfolio, due to the different segments that the industry congregates (construction, incorporation and management of enterprises). |
publishDate |
2014 |
dc.date.none.fl_str_mv |
2014-12-31 |
dc.type.none.fl_str_mv |
|
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 |
http://www.periodicosibepes.org.br/index.php/recadm/article/view/1929 10.21529/RECADM.2014021 |
url |
http://www.periodicosibepes.org.br/index.php/recadm/article/view/1929 |
identifier_str_mv |
10.21529/RECADM.2014021 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
http://www.periodicosibepes.org.br/index.php/recadm/article/view/1929/799 http://www.periodicosibepes.org.br/index.php/recadm/article/downloadSuppFile/1929/421 |
dc.rights.driver.fl_str_mv |
https://creativecommons.org/licenses/by/4.0 info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
https://creativecommons.org/licenses/by/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Instituto Brasileiro de Estudos e Pesquisas Sociais - IBEPES |
publisher.none.fl_str_mv |
Instituto Brasileiro de Estudos e Pesquisas Sociais - IBEPES |
dc.source.none.fl_str_mv |
Revista Eletrônica de Ciência Administrativa; v. 13, n. 3 (2014): Setembro-Dezembro; 316-338 Revista Eletrônica de Ciência Administrativa; v. 13, n. 3 (2014): Setembro-Dezembro; 316-338 Revista Eletrônica de Ciência Administrativa; v. 13, n. 3 (2014): Setembro-Dezembro; 316-338 1677-7387 reponame:Revista Eletrônica de Ciência Administrativa instname:Faculdade Cenecista de Campo Largo (FACECLA) instacron:FACECLA |
instname_str |
Faculdade Cenecista de Campo Largo (FACECLA) |
instacron_str |
FACECLA |
institution |
FACECLA |
reponame_str |
Revista Eletrônica de Ciência Administrativa |
collection |
Revista Eletrônica de Ciência Administrativa |
repository.name.fl_str_mv |
Revista Eletrônica de Ciência Administrativa - Faculdade Cenecista de Campo Largo (FACECLA) |
repository.mail.fl_str_mv |
recadm.editor@ibepes.org.br |
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