Dividend yield e os retornos das ações brasileiras

Detalhes bibliográficos
Autor(a) principal: Pinto, Bruno Pereira
Data de Publicação: 2017
Tipo de documento: Dissertação
Idioma: por
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: https://hdl.handle.net/10438/18727
Resumo: This paper checks for the predictability of stocks negotiated in Sao Paulo Stock Exchange index from aggregate dividend yield. It examined a multiple regression of the excess return (Risk Premium) and return in relation to the dividend yields of prior periods and changes in dividends for the preceding year. The results show the predictive capacity of the dividend yield, especially for a one year lag. In this case, the coefficient with respect to the dividend yield is statistically and economically significant. However, this is gradually reduced over time until it became null.
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spelling Pinto, Bruno PereiraEscolas::EPGEFGVGonçalves, Edson Daniel LopesPessoa, Marcelo de SalesSilva, André de Castro2017-08-31T13:19:02Z2017-08-31T13:19:02Z2017-05-19PINTO, Bruno Pereira. Dividend yield e os retornos das ações brasileiras. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2017.https://hdl.handle.net/10438/18727This paper checks for the predictability of stocks negotiated in Sao Paulo Stock Exchange index from aggregate dividend yield. It examined a multiple regression of the excess return (Risk Premium) and return in relation to the dividend yields of prior periods and changes in dividends for the preceding year. The results show the predictive capacity of the dividend yield, especially for a one year lag. In this case, the coefficient with respect to the dividend yield is statistically and economically significant. However, this is gradually reduced over time until it became null.Este trabalho verifica a previsibilidade dos retornos das ações cotadas na BM&FBovespa a partir do dividend yield. Foi elaborada uma regressão dos excessos de retorno (prêmios de risco) e retornos com relação ao dividend yield de períodos anteriores e das variações nos dividendos do ano imediatamente anterior. Os resultados evidenciam a capacidade preditiva do dividend yield, sobretudo para um ano de defasagem. Neste caso, o coeficiente com relação ao dividend yield é estatisticamente e economicamente significativo. No entanto, de maneira oposta ao obtido em estudos análogos realizados em outros países, a capacidade preditiva é gradativamente reduzida ao longo do tempo até se tornar nula.porDividend yieldPredictabilityReturnsPrevisibilidadeRetornosEconomiaAções (Finanças)DividendosEmpresas - AvaliaçãoTaxa interna de retornoDividend yield e os retornos das ações brasileirasinfo: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:FGVTEXTDividend Yield e os Retornos das Ações Brasileiras.pdf.txtDividend Yield e os Retornos das Ações Brasileiras.pdf.txtExtracted texttext/plain34255https://repositorio.fgv.br/bitstreams/d04af07e-cee6-4a79-a43d-447bfd468d10/downloadab0bcb7027ff394c2fc6dda7de5bbcc7MD54ORIGINALDividend Yield e os Retornos das Ações Brasileiras.pdfDividend Yield e os Retornos das Ações 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dc.title.por.fl_str_mv Dividend yield e os retornos das ações brasileiras
title Dividend yield e os retornos das ações brasileiras
spellingShingle Dividend yield e os retornos das ações brasileiras
Pinto, Bruno Pereira
Dividend yield
Predictability
Returns
Previsibilidade
Retornos
Economia
Ações (Finanças)
Dividendos
Empresas - Avaliação
Taxa interna de retorno
title_short Dividend yield e os retornos das ações brasileiras
title_full Dividend yield e os retornos das ações brasileiras
title_fullStr Dividend yield e os retornos das ações brasileiras
title_full_unstemmed Dividend yield e os retornos das ações brasileiras
title_sort Dividend yield e os retornos das ações brasileiras
author Pinto, Bruno Pereira
author_facet Pinto, Bruno Pereira
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
Pessoa, Marcelo de Sales
dc.contributor.author.fl_str_mv Pinto, Bruno Pereira
dc.contributor.advisor1.fl_str_mv Silva, André de Castro
contributor_str_mv Silva, André de Castro
dc.subject.eng.fl_str_mv Dividend yield
Predictability
Returns
topic Dividend yield
Predictability
Returns
Previsibilidade
Retornos
Economia
Ações (Finanças)
Dividendos
Empresas - Avaliação
Taxa interna de retorno
dc.subject.por.fl_str_mv Previsibilidade
Retornos
dc.subject.area.por.fl_str_mv Economia
dc.subject.bibliodata.por.fl_str_mv Ações (Finanças)
Dividendos
Empresas - Avaliação
Taxa interna de retorno
description This paper checks for the predictability of stocks negotiated in Sao Paulo Stock Exchange index from aggregate dividend yield. It examined a multiple regression of the excess return (Risk Premium) and return in relation to the dividend yields of prior periods and changes in dividends for the preceding year. The results show the predictive capacity of the dividend yield, especially for a one year lag. In this case, the coefficient with respect to the dividend yield is statistically and economically significant. However, this is gradually reduced over time until it became null.
publishDate 2017
dc.date.accessioned.fl_str_mv 2017-08-31T13:19:02Z
dc.date.available.fl_str_mv 2017-08-31T13:19:02Z
dc.date.issued.fl_str_mv 2017-05-19
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 PINTO, Bruno Pereira. Dividend yield e os retornos das ações brasileiras. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2017.
dc.identifier.uri.fl_str_mv https://hdl.handle.net/10438/18727
identifier_str_mv PINTO, Bruno Pereira. Dividend yield e os retornos das ações brasileiras. Dissertação (Mestrado em Finanças e Economia Empresarial) - Escola de Pós-Graduação em Economia, Fundação Getúlio Vargas - FGV, Rio de Janeiro, 2017.
url https://hdl.handle.net/10438/18727
dc.language.iso.fl_str_mv por
language por
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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instname_str Fundação Getulio Vargas (FGV)
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institution FGV
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