Residual Income Valuation (RIV-EBO) and Book-to-Market ratio (B/P): essays on the predictive power for stock returns on B3
Autor(a) principal: | |
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Data de Publicação: | 2023 |
Tipo de documento: | Tese |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/33865 |
Resumo: | This thesis is composed of two essays which are empirical studies in finance. The essays center on the empirical comparison of the predictive power for stock returns of a residual income model using analyst earnings forecasts (RIV-EBO model) and of a book-to-market ratio (B/P) strategy in the Brazilian market. The first essay examines the contribution of the RIV-EBO model to explain stock returns relative to B/P in the local market. We document a resilient relationship between the models and the similarity of returns in high-ratio portfolios in all investment periods, yet the RIV-EBO model reveals a safety quality attribute when portfolio sorting is used. We show that the models are alike in explaining the overall sample firms’ returns in the short term, with the RIV-EBO model signaling, nonetheless, a greater predictive power for returns in the long term. Building upon these findings, the second essay investigates the quality of analyst earnings forecasts in the Brazilian market from a RIV-EBO model perspective. We document local analysts’ higher forecast errors compared to the U.S. market suggesting that local financial signals not necessarily have the same relevance as observed in that market. We also show that the search for significantly enhancing the predictive power for returns of the RIV-EBO model in the local market requires the improvement in the quality of analyst earnings forecasts and the adoption of additional trading strategies potentially exploiting B/P and analyst optimism (OP) as firm’s predicted forecast error explanatory variables. |
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Firmato, MarcusEscolas::EESPMálaga Butrón, Guillermo Roberto TomasAlmeida, José Elias Feres deNossa, ValcemiroMattos, EnlinsonColombo, Jéfferson Augusto2023-07-04T15:22:30Z2023-07-04T15:22:30Z2023-05-30https://hdl.handle.net/10438/33865This thesis is composed of two essays which are empirical studies in finance. The essays center on the empirical comparison of the predictive power for stock returns of a residual income model using analyst earnings forecasts (RIV-EBO model) and of a book-to-market ratio (B/P) strategy in the Brazilian market. The first essay examines the contribution of the RIV-EBO model to explain stock returns relative to B/P in the local market. We document a resilient relationship between the models and the similarity of returns in high-ratio portfolios in all investment periods, yet the RIV-EBO model reveals a safety quality attribute when portfolio sorting is used. We show that the models are alike in explaining the overall sample firms’ returns in the short term, with the RIV-EBO model signaling, nonetheless, a greater predictive power for returns in the long term. Building upon these findings, the second essay investigates the quality of analyst earnings forecasts in the Brazilian market from a RIV-EBO model perspective. We document local analysts’ higher forecast errors compared to the U.S. market suggesting that local financial signals not necessarily have the same relevance as observed in that market. We also show that the search for significantly enhancing the predictive power for returns of the RIV-EBO model in the local market requires the improvement in the quality of analyst earnings forecasts and the adoption of additional trading strategies potentially exploiting B/P and analyst optimism (OP) as firm’s predicted forecast error explanatory variables.Esta tese é composta por dois ensaios que representam estudos empíricos na área de finanças. Os ensaios concentram-se na comparação empírica do poder de previsão de retorno de ações de um modelo de avaliação pelo lucro residual que utiliza previsões de lucro de analistas (RIV-EBO) e de uma estratégia de book-to-market ratio (B/P) no mercado brasileiro. O primeiro ensaio examina a contribuição do modelo RIV-EBO para explicar o retorno de ações no mercado local em relação à B/P. Uma resiliente relação entre os modelos e a similaridade dos retornos em portfolios de alto ratio é documentada em todos os períodos de investimento, exibindo o modelo RIV-EBO o atributo de segurança-qualidade ao ordenar a amostra em portfólios. Mostramos que os modelos são similares no curto prazo ao explicarem o retorno das empresas da amostra como um todo, sinalizando o modelo RIV-EBO, no entanto, um maior poder de predição de retorno no longo prazo. Baseado nesses resultados, o segundo ensaio investiga a qualidade das previsões de lucro dos analistas no mercado brasileiro a partir da perspectiva do modelo RIV-EBO. Um maior erro de previsão dos analistas locais comparado ao mercado norteamericano é documentado, sugerindo que sinais contábeis-financeiros locais não têm necessariamente a mesma relevância observada naquele mercado. Também mostramos que a busca por um aumento significativo do poder preditivo de retornos do modelo RIV-EBO no mercado local requer melhora na qualidade da previsão de lucros dos analistas e adoção de estratégias adicionais que explorem potencialmente B/P e o otimismo dos analistas (OP) como variáveis explicativas para predição do erro de previsão da firma.engResidual income valuation model (RIV)Fundamental and intrinsic valueFinancial signalsBook-to-market ratioPredictive power for stock returnsAnalyst earnings forecastsAnalyst forecast errorsValue/glamour effectMarket efficiencyMispricingEdwards-Bell-Ohlson (EBO)Modelo de avaliação pelo lucro residual (RIV)Valor fundamental e intrínsecoSinais contábeis-financeirosRazão patrimônio líquido sobre valor de mercadoPrevisibilidade de retorno de açõesPrevisão de lucro de analistasPrevisão de erros de analistasEfeito valor/crescimentoEficiência de mercadoEconomiaAções (Finanças) - Preços - PrevisãoMercado de capitais - BrasilInvestimentos - 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dc.title.eng.fl_str_mv |
Residual Income Valuation (RIV-EBO) and Book-to-Market ratio (B/P): essays on the predictive power for stock returns on B3 |
title |
Residual Income Valuation (RIV-EBO) and Book-to-Market ratio (B/P): essays on the predictive power for stock returns on B3 |
spellingShingle |
Residual Income Valuation (RIV-EBO) and Book-to-Market ratio (B/P): essays on the predictive power for stock returns on B3 Firmato, Marcus Residual income valuation model (RIV) Fundamental and intrinsic value Financial signals Book-to-market ratio Predictive power for stock returns Analyst earnings forecasts Analyst forecast errors Value/glamour effect Market efficiency Mispricing Edwards-Bell-Ohlson (EBO) Modelo de avaliação pelo lucro residual (RIV) Valor fundamental e intrínseco Sinais contábeis-financeiros Razão patrimônio líquido sobre valor de mercado Previsibilidade de retorno de ações Previsão de lucro de analistas Previsão de erros de analistas Efeito valor/crescimento Eficiência de mercado Economia Ações (Finanças) - Preços - Previsão Mercado de capitais - Brasil Investimentos - Análise Empresas - Finanças Empresas - Avaliação |
title_short |
Residual Income Valuation (RIV-EBO) and Book-to-Market ratio (B/P): essays on the predictive power for stock returns on B3 |
title_full |
Residual Income Valuation (RIV-EBO) and Book-to-Market ratio (B/P): essays on the predictive power for stock returns on B3 |
title_fullStr |
Residual Income Valuation (RIV-EBO) and Book-to-Market ratio (B/P): essays on the predictive power for stock returns on B3 |
title_full_unstemmed |
Residual Income Valuation (RIV-EBO) and Book-to-Market ratio (B/P): essays on the predictive power for stock returns on B3 |
title_sort |
Residual Income Valuation (RIV-EBO) and Book-to-Market ratio (B/P): essays on the predictive power for stock returns on B3 |
author |
Firmato, Marcus |
author_facet |
Firmato, Marcus |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.member.none.fl_str_mv |
Málaga Butrón, Guillermo Roberto Tomas Almeida, José Elias Feres de Nossa, Valcemiro |
dc.contributor.author.fl_str_mv |
Firmato, Marcus |
dc.contributor.advisor1.fl_str_mv |
Mattos, Enlinson Colombo, Jéfferson Augusto |
contributor_str_mv |
Mattos, Enlinson Colombo, Jéfferson Augusto |
dc.subject.eng.fl_str_mv |
Residual income valuation model (RIV) Fundamental and intrinsic value Financial signals Book-to-market ratio Predictive power for stock returns Analyst earnings forecasts Analyst forecast errors Value/glamour effect Market efficiency Mispricing |
topic |
Residual income valuation model (RIV) Fundamental and intrinsic value Financial signals Book-to-market ratio Predictive power for stock returns Analyst earnings forecasts Analyst forecast errors Value/glamour effect Market efficiency Mispricing Edwards-Bell-Ohlson (EBO) Modelo de avaliação pelo lucro residual (RIV) Valor fundamental e intrínseco Sinais contábeis-financeiros Razão patrimônio líquido sobre valor de mercado Previsibilidade de retorno de ações Previsão de lucro de analistas Previsão de erros de analistas Efeito valor/crescimento Eficiência de mercado Economia Ações (Finanças) - Preços - Previsão Mercado de capitais - Brasil Investimentos - Análise Empresas - Finanças Empresas - Avaliação |
dc.subject.por.fl_str_mv |
Edwards-Bell-Ohlson (EBO) Modelo de avaliação pelo lucro residual (RIV) Valor fundamental e intrínseco Sinais contábeis-financeiros Razão patrimônio líquido sobre valor de mercado Previsibilidade de retorno de ações Previsão de lucro de analistas Previsão de erros de analistas Efeito valor/crescimento Eficiência de mercado |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Ações (Finanças) - Preços - Previsão Mercado de capitais - Brasil Investimentos - Análise Empresas - Finanças Empresas - Avaliação |
description |
This thesis is composed of two essays which are empirical studies in finance. The essays center on the empirical comparison of the predictive power for stock returns of a residual income model using analyst earnings forecasts (RIV-EBO model) and of a book-to-market ratio (B/P) strategy in the Brazilian market. The first essay examines the contribution of the RIV-EBO model to explain stock returns relative to B/P in the local market. We document a resilient relationship between the models and the similarity of returns in high-ratio portfolios in all investment periods, yet the RIV-EBO model reveals a safety quality attribute when portfolio sorting is used. We show that the models are alike in explaining the overall sample firms’ returns in the short term, with the RIV-EBO model signaling, nonetheless, a greater predictive power for returns in the long term. Building upon these findings, the second essay investigates the quality of analyst earnings forecasts in the Brazilian market from a RIV-EBO model perspective. We document local analysts’ higher forecast errors compared to the U.S. market suggesting that local financial signals not necessarily have the same relevance as observed in that market. We also show that the search for significantly enhancing the predictive power for returns of the RIV-EBO model in the local market requires the improvement in the quality of analyst earnings forecasts and the adoption of additional trading strategies potentially exploiting B/P and analyst optimism (OP) as firm’s predicted forecast error explanatory variables. |
publishDate |
2023 |
dc.date.accessioned.fl_str_mv |
2023-07-04T15:22:30Z |
dc.date.available.fl_str_mv |
2023-07-04T15:22:30Z |
dc.date.issued.fl_str_mv |
2023-05-30 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/doctoralThesis |
format |
doctoralThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/33865 |
url |
https://hdl.handle.net/10438/33865 |
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) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
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repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
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