The relationship between changes in debt levels and firms’ stock returns within emerging markets. Evidence from Brazil

• Autor(a) principal: Sattar, Sohebe
• Data de Publicação: 2019
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10362/73593
• topic: Capital structure; Leverage change; Stock returns; Abnormal return; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

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.