O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/16629 |
Resumo: | We studied the effects on Petrobras shares arising from the presentation of the earnings announcements of 2014´s third and fourth quarter, the first announcements made after the beginning of the corruption investigation called Operação Lava Jato. We evaluate the impact on prices of the company's stocks with an Event Study. As a control, we analyzed the effects of the disclosure of 1,152 quarterly earnings announcements on other 48 stocks that are part of the IBOVESPA´s theoretical portfolio in the period between 2010 and 2015. We seek to identify the presence of abnormal returns and verify that all information is automatically transferred to prices, suggesting the semi-strong efficiency of the Brazilian stock market in accordance with the Market Efficiency Hypothesis (EMH) developed by Fama (1970). At the end we compare the results of the two specific earning announcements studied with the observed results of other earnings announcements of Petrobras. No evidence was found of market efficiency during the 2010-2015 period neither for the group of 48 stocks, NÃO_PETRO, nor for the PETRO group, formed by the two Petrobras shares. We then analyzed the results in two periods. The first, called Bonanza (2010-2013), showed the same results as the 2010-2015 period, with no significant abnormal returns in the event window [0,1]. The results of the Crisis period (2014 -2015) showed that the information of the earning announcements ha a statistical significant impacted on the prices of the studied stocks. To analyzing the results of the individual earning announcements of Petrobras, we identified the need for additional information, extrapolating the scope of an event study. |
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Faria, Andrei Francalacci de CastroEscolas::EPGEFGVGonçalves, Edson Daniel LopesSouza Júnior, José Ronaldo de CastroPessoa, Marcelo de Sales2016-06-27T18:56:29Z2016-06-27T18:56:29Z2016-05-31FARIA, Andrei Francalacci de Castro. O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2016.https://hdl.handle.net/10438/16629We studied the effects on Petrobras shares arising from the presentation of the earnings announcements of 2014´s third and fourth quarter, the first announcements made after the beginning of the corruption investigation called Operação Lava Jato. We evaluate the impact on prices of the company's stocks with an Event Study. As a control, we analyzed the effects of the disclosure of 1,152 quarterly earnings announcements on other 48 stocks that are part of the IBOVESPA´s theoretical portfolio in the period between 2010 and 2015. We seek to identify the presence of abnormal returns and verify that all information is automatically transferred to prices, suggesting the semi-strong efficiency of the Brazilian stock market in accordance with the Market Efficiency Hypothesis (EMH) developed by Fama (1970). At the end we compare the results of the two specific earning announcements studied with the observed results of other earnings announcements of Petrobras. No evidence was found of market efficiency during the 2010-2015 period neither for the group of 48 stocks, NÃO_PETRO, nor for the PETRO group, formed by the two Petrobras shares. We then analyzed the results in two periods. The first, called Bonanza (2010-2013), showed the same results as the 2010-2015 period, with no significant abnormal returns in the event window [0,1]. The results of the Crisis period (2014 -2015) showed that the information of the earning announcements ha a statistical significant impacted on the prices of the studied stocks. To analyzing the results of the individual earning announcements of Petrobras, we identified the need for additional information, extrapolating the scope of an event study.Este trabalho propõe-se a estudar os efeitos sobre as ações da Petrobras decorrentes da apresentação dos balanços do terceiro e quarto trimestre de 2014, primeiros balanços apresentados após as denúncias da Operação Lava Jato. Avaliamos os impactos nos preços das ações da empresa através de um Estudo de Evento. Como controle, analisamos os efeitos da divulgação de 1.152 balanços trimestrais sobre outras 48 ações de que fazem parte da Carteira Teórica do IBOVESPA no período entre 2010 e 2015. Buscamos identificar a presença de retornos anormais e verificar se toda informação se transfere automaticamente aos preços, sugerindo a eficiência semiforte do mercado de ações brasileiro de acordo com a Hipótese de Eficiência do Mercado (HEM) desenvolvida por Fama (1970). Ao final comparamos os resultados específicos dos balanços em estudo com os resultados observados em outros balanços da própria Petrobras. Não foram encontradas evidências de eficiência de mercado durante o período 2010-2015 nem para o grupo de 48 ações, chamadas de NÃO_PETRO, nem para o grupo PETRO, formado pelas duas ações da Petrobras. Ao dividir os mesmos grupos em dois momentos, os resultados para o período batizado de Bonança (2010-2013), permanecem iguais ao do período completo, ao passo que o período chamado de Crise (2014 -2015) apresenta retornos anormais estatisticamente significativos nas janelas de eventos. Ao avaliar os retornos de balanços individuais da Petrobras, identificamos a necessidade de informações adicionais, extrapolando o escopo de um estudo de evento.porEvent studyEarnings announcementsAbnormal returnsEfficient market hypothesisEstudo de eventosBalanços da PETROBRASRetornos anormaisModelos de precificaçãoHipótese de Eficiência do Mercado (HEM)Operação Lava JatoPETROBRASEconomiaAções (Finanças)Balanço (Contabilidade)PETROBRASMercado financeiroOperação Lava JatoO balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de eventoinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALDissertação Andrei Francalacci.pdfDissertação Andrei Francalacci.pdfPDFapplication/pdf2215041https://repositorio.fgv.br/bitstreams/56824090-4e55-4a6a-b891-427027c07aa5/download671600e92ce454211d0c6493c0ba75bcMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/f22b2793-5f37-4632-9cd6-c9b7eb654a65/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTDissertação Andrei Francalacci.pdf.txtDissertação Andrei Francalacci.pdf.txtExtracted Texttext/plain129388https://repositorio.fgv.br/bitstreams/1a95976d-5ce7-44dc-979f-ac76ed1d7d8a/download5282105471318664cbd301517ffbf61bMD53THUMBNAILDissertação Andrei Francalacci.pdf.jpgDissertação Andrei Francalacci.pdf.jpgGenerated Thumbnailimage/jpeg1565https://repositorio.fgv.br/bitstreams/9954d88a-baab-4750-b950-1c41db1eeb5a/download9c4313e6d5f238328f8f0901f206c5a9MD5410438/166292024-08-08 16:37:01.057open.accessoai:repositorio.fgv.br:10438/16629https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742024-08-08T16:37:01Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas 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|
dc.title.por.fl_str_mv |
O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento |
title |
O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento |
spellingShingle |
O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento Faria, Andrei Francalacci de Castro Event study Earnings announcements Abnormal returns Efficient market hypothesis Estudo de eventos Balanços da PETROBRAS Retornos anormais Modelos de precificação Hipótese de Eficiência do Mercado (HEM) Operação Lava Jato PETROBRAS Economia Ações (Finanças) Balanço (Contabilidade) PETROBRAS Mercado financeiro Operação Lava Jato |
title_short |
O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento |
title_full |
O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento |
title_fullStr |
O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento |
title_full_unstemmed |
O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento |
title_sort |
O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento |
author |
Faria, Andrei Francalacci de Castro |
author_facet |
Faria, Andrei Francalacci de Castro |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.member.none.fl_str_mv |
Gonçalves, Edson Daniel Lopes Souza Júnior, José Ronaldo de Castro |
dc.contributor.author.fl_str_mv |
Faria, Andrei Francalacci de Castro |
dc.contributor.advisor1.fl_str_mv |
Pessoa, Marcelo de Sales |
contributor_str_mv |
Pessoa, Marcelo de Sales |
dc.subject.eng.fl_str_mv |
Event study Earnings announcements Abnormal returns Efficient market hypothesis |
topic |
Event study Earnings announcements Abnormal returns Efficient market hypothesis Estudo de eventos Balanços da PETROBRAS Retornos anormais Modelos de precificação Hipótese de Eficiência do Mercado (HEM) Operação Lava Jato PETROBRAS Economia Ações (Finanças) Balanço (Contabilidade) PETROBRAS Mercado financeiro Operação Lava Jato |
dc.subject.por.fl_str_mv |
Estudo de eventos Balanços da PETROBRAS Retornos anormais Modelos de precificação Hipótese de Eficiência do Mercado (HEM) Operação Lava Jato PETROBRAS |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Ações (Finanças) Balanço (Contabilidade) PETROBRAS Mercado financeiro Operação Lava Jato |
description |
We studied the effects on Petrobras shares arising from the presentation of the earnings announcements of 2014´s third and fourth quarter, the first announcements made after the beginning of the corruption investigation called Operação Lava Jato. We evaluate the impact on prices of the company's stocks with an Event Study. As a control, we analyzed the effects of the disclosure of 1,152 quarterly earnings announcements on other 48 stocks that are part of the IBOVESPA´s theoretical portfolio in the period between 2010 and 2015. We seek to identify the presence of abnormal returns and verify that all information is automatically transferred to prices, suggesting the semi-strong efficiency of the Brazilian stock market in accordance with the Market Efficiency Hypothesis (EMH) developed by Fama (1970). At the end we compare the results of the two specific earning announcements studied with the observed results of other earnings announcements of Petrobras. No evidence was found of market efficiency during the 2010-2015 period neither for the group of 48 stocks, NÃO_PETRO, nor for the PETRO group, formed by the two Petrobras shares. We then analyzed the results in two periods. The first, called Bonanza (2010-2013), showed the same results as the 2010-2015 period, with no significant abnormal returns in the event window [0,1]. The results of the Crisis period (2014 -2015) showed that the information of the earning announcements ha a statistical significant impacted on the prices of the studied stocks. To analyzing the results of the individual earning announcements of Petrobras, we identified the need for additional information, extrapolating the scope of an event study. |
publishDate |
2016 |
dc.date.accessioned.fl_str_mv |
2016-06-27T18:56:29Z |
dc.date.available.fl_str_mv |
2016-06-27T18:56:29Z |
dc.date.issued.fl_str_mv |
2016-05-31 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
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info:eu-repo/semantics/masterThesis |
format |
masterThesis |
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publishedVersion |
dc.identifier.citation.fl_str_mv |
FARIA, Andrei Francalacci de Castro. O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2016. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/16629 |
identifier_str_mv |
FARIA, Andrei Francalacci de Castro. O balanço anual 2014 da Petrobras e a eficiência do mercado acionário no Brasil: um estudo de evento. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2016. |
url |
https://hdl.handle.net/10438/16629 |
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por |
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por |
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info:eu-repo/semantics/openAccess |
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openAccess |
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reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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Fundação Getulio Vargas (FGV) |
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FGV |
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FGV |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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Repositório Institucional do FGV (FGV Repositório Digital) |
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