Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015
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: | http://hdl.handle.net/10438/16644 |
Resumo: | This study seeks to evaluate the long-term performance of companies that go public in Brazil. The phenomena of (1) underpricing followed by (2) long-run underperformance have been widely documented. The focus of the study is to verify the persistence of the underperformance when lengthened the trial period to five years. In addition, the study aims to evaluate which factors determine the performance in the long run. The study uses a sample of 128 IPOs that went public on the Bovespa stock exchange from 2004 to 2012. The results show statistically significant evidence of underpricing. This underpricing was higher in the years 2004-2008, period before the subprime financial crisis. The results for long-term performance indicate that the portfolio of IPOs had underperformed the market until the 29th month and there is no evidence of persistence of underperformance beyond that month. IPOs launched in the pre-crisis period had underperformed the market after three years, while IPOs launched in the post-crisis had returns above the market for 3 and 5 years. Three main variables were significant in explaining the long-term returns: (1) the launch period of the IPOs, (2) the percentage of allocation to foreign investors, (3) and the reputation of the leader underwriter. IPOs that were launched in the subprime post-crisis period had better performance in the long run. Also the IPOs who had greater percentage of foreign investors showed better performance. In addition, there is an inverse relationship between the reputation of the lead underwriter and the long-run performance. |
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Martins, Fernando Matt BorgesEscolas::EESPRochman, Ricardo RatnerRidolfo Neto, ArthurMonte, Daniel2016-07-04T17:47:10Z2016-07-04T17:47:10Z2016-06-28MARTINS, Fernando Matt Borges. Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016.http://hdl.handle.net/10438/16644This study seeks to evaluate the long-term performance of companies that go public in Brazil. The phenomena of (1) underpricing followed by (2) long-run underperformance have been widely documented. The focus of the study is to verify the persistence of the underperformance when lengthened the trial period to five years. In addition, the study aims to evaluate which factors determine the performance in the long run. The study uses a sample of 128 IPOs that went public on the Bovespa stock exchange from 2004 to 2012. The results show statistically significant evidence of underpricing. This underpricing was higher in the years 2004-2008, period before the subprime financial crisis. The results for long-term performance indicate that the portfolio of IPOs had underperformed the market until the 29th month and there is no evidence of persistence of underperformance beyond that month. IPOs launched in the pre-crisis period had underperformed the market after three years, while IPOs launched in the post-crisis had returns above the market for 3 and 5 years. Three main variables were significant in explaining the long-term returns: (1) the launch period of the IPOs, (2) the percentage of allocation to foreign investors, (3) and the reputation of the leader underwriter. IPOs that were launched in the subprime post-crisis period had better performance in the long run. Also the IPOs who had greater percentage of foreign investors showed better performance. In addition, there is an inverse relationship between the reputation of the lead underwriter and the long-run performance.O objetivo deste trabalho é avaliar o desempenho de longo prazo das empresas que abrem o capital no Brasil. Os fenômenos de (1) valorização no primeiro dia de negócios pós-IPO (underpricing) seguido de (2) desempenho inferior ao mercado no longo prazo (long-run underperformance) foram amplamente documentados em trabalhos de outros autores. O foco do estudo está em verificar a persistência dessa baixa performance quando alongamos o período de avaliação para 5 anos. Adicionalmente, o estudo pretende entender que fatores são determinantes no desempenho destas ações no longo prazo. O trabalho analisa 128 IPOs ocorridos no período de 2004 a 2012 na Bovespa. Os resultados apontam para evidências estatisticamente significantes de underpricing. Este underpricing foi mais acentuado entre os anos de 2004 a 2008, período precursor da crise financeira do subprime. Quando se analisa a performance de longo prazo os resultados apontam que a carteira de IPOs apresentou performance abaixo do mercado até o 29° mês. Os IPOs lançados no período pré-crise do subprime tiveram performance abaixo do mercado após 3 anos, enquanto que os IPOs lançados no pós-crise tiveram retorno acima do mercado para 3 e 5 anos. Não foi identificada a persistência da baixa performance dos IPOs além do 29° mês. Três variáveis principais mostraram significância na explicação dos retornos de longo prazo: (1) o período de lançamento das ações, (2) o percentual de alocação de investidores estrangeiros, (3) e a reputação do coordenador da oferta. Os IPOs lançados no período pós-crise do subprime observaram melhor performance no longo prazo. Também apresentaram melhor performance os IPOs com maior presença de investidor estrangeiro. Adicionalmente, existe uma relação inversa entre a reputação do coordenador líder da oferta e a performance de longo prazo.porDesempenho - AvaliaçãoOferta pública inicial de títulos (Finanças)EconomiaAções (Finanças)Mercado de capitais - BrasilDesempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALDissertação Fernando Matt 04_07.pdfDissertação Fernando Matt 04_07.pdfapplication/pdf630954https://repositorio.fgv.br/bitstreams/650cba6b-975e-4172-8bcf-28085480507d/downloadc248cd5233a4e5b07fead8ddc780dc9cMD53LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/87b39c23-9259-481f-9fe0-96616dad22de/downloaddfb340242cced38a6cca06c627998fa1MD54TEXTDissertação Fernando Matt 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|
dc.title.por.fl_str_mv |
Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015 |
title |
Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015 |
spellingShingle |
Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015 Martins, Fernando Matt Borges Desempenho - Avaliação Oferta pública inicial de títulos (Finanças) Economia Ações (Finanças) Mercado de capitais - Brasil |
title_short |
Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015 |
title_full |
Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015 |
title_fullStr |
Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015 |
title_full_unstemmed |
Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015 |
title_sort |
Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015 |
author |
Martins, Fernando Matt Borges |
author_facet |
Martins, Fernando Matt Borges |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Rochman, Ricardo Ratner Ridolfo Neto, Arthur |
dc.contributor.author.fl_str_mv |
Martins, Fernando Matt Borges |
dc.contributor.advisor1.fl_str_mv |
Monte, Daniel |
contributor_str_mv |
Monte, Daniel |
dc.subject.por.fl_str_mv |
Desempenho - Avaliação Oferta pública inicial de títulos (Finanças) |
topic |
Desempenho - Avaliação Oferta pública inicial de títulos (Finanças) Economia Ações (Finanças) Mercado de capitais - Brasil |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Ações (Finanças) Mercado de capitais - Brasil |
description |
This study seeks to evaluate the long-term performance of companies that go public in Brazil. The phenomena of (1) underpricing followed by (2) long-run underperformance have been widely documented. The focus of the study is to verify the persistence of the underperformance when lengthened the trial period to five years. In addition, the study aims to evaluate which factors determine the performance in the long run. The study uses a sample of 128 IPOs that went public on the Bovespa stock exchange from 2004 to 2012. The results show statistically significant evidence of underpricing. This underpricing was higher in the years 2004-2008, period before the subprime financial crisis. The results for long-term performance indicate that the portfolio of IPOs had underperformed the market until the 29th month and there is no evidence of persistence of underperformance beyond that month. IPOs launched in the pre-crisis period had underperformed the market after three years, while IPOs launched in the post-crisis had returns above the market for 3 and 5 years. Three main variables were significant in explaining the long-term returns: (1) the launch period of the IPOs, (2) the percentage of allocation to foreign investors, (3) and the reputation of the leader underwriter. IPOs that were launched in the subprime post-crisis period had better performance in the long run. Also the IPOs who had greater percentage of foreign investors showed better performance. In addition, there is an inverse relationship between the reputation of the lead underwriter and the long-run performance. |
publishDate |
2016 |
dc.date.accessioned.fl_str_mv |
2016-07-04T17:47:10Z |
dc.date.available.fl_str_mv |
2016-07-04T17:47:10Z |
dc.date.issued.fl_str_mv |
2016-06-28 |
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.citation.fl_str_mv |
MARTINS, Fernando Matt Borges. Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016. |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/16644 |
identifier_str_mv |
MARTINS, Fernando Matt Borges. Desempenho de longo prazo de IPOs no Brasil: um estudo para o período de 2004 a 2015. Dissertação (Mestrado Profissional em Finanças e Economia) - FGV - Fundação Getúlio Vargas, São Paulo, 2016. |
url |
http://hdl.handle.net/10438/16644 |
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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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Fundação Getulio Vargas (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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Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
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