Análise da relação entre o retorno de carteiras de mercado e o retorno das ações de empresas do setor de petróleo no período de janeiro de 2015 a março de 2021

• Autor(a) principal: Silva, Marcos Donizeti da
• Data de Publicação: 2021
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da PUC_SP
• Texto Completo: https://repositorio.pucsp.br/jspui/handle/handle/24880
• topic: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::CIENCIAS CONTABEIS; APT; Bolsa de Valores; CAPM; Stock exchange; Covid-19; Petrobras

This study seeks to contribute to elucidating whether the particularity of the high level of explanation of the relationship between the return on the market portfolio and the return on shares of companies in the oil sector, in Brazil, occurs in a similar way in other world markets. In this context, the main oil companies in the world listed by Forbes and Fortune magazines were considered, as well as the data obtained in Exame (BR) magazine, the movement of the respective stock exchanges, in which these companies have their shares traded, and the data available in institutional sites, for example, OPEC – Organization of the Petroleum Exporting Countries (Organization of Petroleum Exporting Countries), Petrobras, among others. The market portfolio and stock portfolio data were obtained from the stock exchanges of the home country of the oil companies. As theoretical support for the research, literature on CAPM (Capital Asset Pricing Model) metrics, a model that assumes that only one risk factor affects stock returns, and APT (Arbitrage Pricing Theory), which is based on the inclusion of others, were used. Sources of risk associated with stock returns, not limited to a market factor. The period covered for this research was from January 2, 2015, to March 31, 2021, segregating the ex-ante and ex-post periods of Covid-19, for the due observation of its effects. The results obtained at the end of this study showed that the particularity of the high level of explanation between the ratio of the market portfolio return and the return on the stock portfolio of oil companies in the world is relative, as some cases analyzed were higher than 50%, as evidenced in the Brazilian market. As a restriction to this research, it is pointed out that they were considered the five largest oil companies in the world with the shareholding of the state and two relevant companies in the American market, according to data from Forbes and Fortune magazines