The relationship between changes in debt levels and firms’ stock returns within emerging markets

Detalhes bibliográficos
Autor(a) principal: Sattar, Sohebe Sabir
Data de Publicação: 2019
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/27160
Resumo: Eu documento um efeito positivo em ambos, portfólios com variações positivas e negativas, no rácio de dívida e os retornos das acções para empresas no mercado emergente do Brasil durante o período de 2000 e 2016. Eu encontrei alfas positivos o que indica a existência de retornos anormais tentando explica-los usando modelos para determinar o preço. Adicionalmente, utilizo a metodologia Evento de Estudo para quantificar ambos, retornos anormais e retornos anormais cumulativos. Para além disso, eu corro regressões de séries temporais para cada empresa do Índice Brasileiro com informação disponível para testar 2 modelos para determinar o preço incluindo outras variáveis que possam explicar os retornos anormais.
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spelling Sattar, Sohebe SabirEscolas::EESPRafael, ZambranaSanvicente, Antonio Zoratto2019-03-08T17:33:33Z2019-03-08T17:33:33Z2019-01-15http://hdl.handle.net/10438/27160Eu documento um efeito positivo em ambos, portfólios com variações positivas e negativas, no rácio de dívida e os retornos das acções para empresas no mercado emergente do Brasil durante o período de 2000 e 2016. Eu encontrei alfas positivos o que indica a existência de retornos anormais tentando explica-los usando modelos para determinar o preço. Adicionalmente, utilizo a metodologia Evento de Estudo para quantificar ambos, retornos anormais e retornos anormais cumulativos. Para além disso, eu corro regressões de séries temporais para cada empresa do Índice Brasileiro com informação disponível para testar 2 modelos para determinar o preço incluindo outras variáveis que possam explicar os retornos anormais.I document a positive effect of both, positive and negative changes, of a firm’s leverage ratio on its stock returns for the Brazilian emerging market for the period of ranging from 2000 to 2016. I find positive alphas which indicates the existence of abnormal returns and try to explain them using asset pricing models. Additionally, I use the Event study methodology to quantify both the abnormal and cumulative abnormal returns. Furthermore, I run time series regressions for each company in the Brazilian index with available data to test the CAPM and Fama French 3 factor models and include other variables to possibly explain the abnormal returns.engEstrutura de capitalVariação de dívidaRetorno de açõesRetornos anormaisCapital structureLeverage changeStock returnsAbnormal returnEconomiaMercado de capitaisInvestimentosAções (Finanças)Avaliação de ativos - Modelo (CAPM)The relationship between changes in debt levels and firms’ stock returns within emerging marketsinfo: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:FGVTEXT2018-19_S1-32295-36-Sohebe_Sattar_1.pdf.txt2018-19_S1-32295-36-Sohebe_Sattar_1.pdf.txtExtracted 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dc.title.eng.fl_str_mv The relationship between changes in debt levels and firms’ stock returns within emerging markets
title The relationship between changes in debt levels and firms’ stock returns within emerging markets
spellingShingle The relationship between changes in debt levels and firms’ stock returns within emerging markets
Sattar, Sohebe Sabir
Estrutura de capital
Variação de dívida
Retorno de ações
Retornos anormais
Capital structure
Leverage change
Stock returns
Abnormal return
Economia
Mercado de capitais
Investimentos
Ações (Finanças)
Avaliação de ativos - Modelo (CAPM)
title_short The relationship between changes in debt levels and firms’ stock returns within emerging markets
title_full The relationship between changes in debt levels and firms’ stock returns within emerging markets
title_fullStr The relationship between changes in debt levels and firms’ stock returns within emerging markets
title_full_unstemmed The relationship between changes in debt levels and firms’ stock returns within emerging markets
title_sort The relationship between changes in debt levels and firms’ stock returns within emerging markets
author Sattar, Sohebe Sabir
author_facet Sattar, Sohebe Sabir
author_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EESP
dc.contributor.member.none.fl_str_mv Rafael, Zambrana
dc.contributor.author.fl_str_mv Sattar, Sohebe Sabir
dc.contributor.advisor1.fl_str_mv Sanvicente, Antonio Zoratto
contributor_str_mv Sanvicente, Antonio Zoratto
dc.subject.por.fl_str_mv Estrutura de capital
Variação de dívida
Retorno de ações
Retornos anormais
topic Estrutura de capital
Variação de dívida
Retorno de ações
Retornos anormais
Capital structure
Leverage change
Stock returns
Abnormal return
Economia
Mercado de capitais
Investimentos
Ações (Finanças)
Avaliação de ativos - Modelo (CAPM)
dc.subject.eng.fl_str_mv Capital structure
Leverage change
Stock returns
Abnormal return
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Mercado de capitais
Investimentos
Ações (Finanças)
Avaliação de ativos - Modelo (CAPM)
description Eu documento um efeito positivo em ambos, portfólios com variações positivas e negativas, no rácio de dívida e os retornos das acções para empresas no mercado emergente do Brasil durante o período de 2000 e 2016. Eu encontrei alfas positivos o que indica a existência de retornos anormais tentando explica-los usando modelos para determinar o preço. Adicionalmente, utilizo a metodologia Evento de Estudo para quantificar ambos, retornos anormais e retornos anormais cumulativos. Para além disso, eu corro regressões de séries temporais para cada empresa do Índice Brasileiro com informação disponível para testar 2 modelos para determinar o preço incluindo outras variáveis que possam explicar os retornos anormais.
publishDate 2019
dc.date.accessioned.fl_str_mv 2019-03-08T17:33:33Z
dc.date.available.fl_str_mv 2019-03-08T17:33:33Z
dc.date.issued.fl_str_mv 2019-01-15
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10438/27160
url http://hdl.handle.net/10438/27160
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.source.none.fl_str_mv reponame:Repositório Institucional do FGV (FGV Repositório Digital)
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