Convergence analysis of the returns of shares of brazilian business finance
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Tipo de documento: | Dissertação |
Idioma: | por |
Título da fonte: | Biblioteca Digital de Teses e Dissertações da UFC |
Texto Completo: | http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=7776 |
Resumo: | This article is an analysis of the validity of the hypothesis that states the tendency of common growth presented in the evolution of the prices of 31 of the major financial stock institutions listed on BM&F Bovespa during the period of January 2000 to June 2007, based on the framework of semi-parametric Philips e Sul (2007). Since stocks are derived from the day-to-day of a business, this work seeks to show whether there are actions that converge to a certain level of real cumulative returns and, based on it, analyze what factors they have in common that will comprise each convergence club. The results obtained should add to the literature of share performance in banks and financial companies, by highlighting the existence of four convergence clubs, with their own dynamic transition, whose composition appear to have specific characteristics. The first club owns volatile shares of large institutions with a high payout and ROE, while the other ones can be associated with a reduction in both the financial indicators and other performance indicators such as the Sharpe ratio and Sortino ratio. Even if the first group, made only by multi-banks and the second by private companies it is not enough to designate a pattern from these characteristics, therefore, demystifying the questions related to the efficiency of public banks in comparison to private banks. |
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info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisConvergence analysis of the returns of shares of brazilian business financeAnÃlise de convergÃncia dos retornos das aÃÃes de empresas do setor financeiro brasileiro2011-02-07Paulo RogÃrio Faustino Matos00000000084http://lattes.cnpq.br/0288522400109962SÃrgio Aquino de Souza61337170330http://lattes.cnpq.br/0130061217305951FabrÃcio Carneiro Linhares45504849349http://lattes.cnpq.br/857735540098884125414578548http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4351284T4GregÃrio Pinto MatiasUniversidade Federal do CearÃPrograma de PÃs-GraduaÃÃo em Economia - CAENUFCBRBancos InstituiÃÃes Financeiras TÃcnica Semi-paramÃtrica de IdentificaÃÃo de Clubes de ConvergÃnciaPerformance de AÃÃesBanks Financial Institutions Semi Parametric Convergence Clubs Identification Stocks PerformanceCIENCIAS SOCIAIS APLICADASThis article is an analysis of the validity of the hypothesis that states the tendency of common growth presented in the evolution of the prices of 31 of the major financial stock institutions listed on BM&F Bovespa during the period of January 2000 to June 2007, based on the framework of semi-parametric Philips e Sul (2007). Since stocks are derived from the day-to-day of a business, this work seeks to show whether there are actions that converge to a certain level of real cumulative returns and, based on it, analyze what factors they have in common that will comprise each convergence club. The results obtained should add to the literature of share performance in banks and financial companies, by highlighting the existence of four convergence clubs, with their own dynamic transition, whose composition appear to have specific characteristics. The first club owns volatile shares of large institutions with a high payout and ROE, while the other ones can be associated with a reduction in both the financial indicators and other performance indicators such as the Sharpe ratio and Sortino ratio. Even if the first group, made only by multi-banks and the second by private companies it is not enough to designate a pattern from these characteristics, therefore, demystifying the questions related to the efficiency of public banks in comparison to private banks.Este estudo consiste em uma anÃlise da validade da hipÃtese de tendÃncia de crescimento comum presente na evoluÃÃo da cotaÃÃo de 31 aÃÃes das principais instituiÃÃes financeiras cotadas na BM&FBovespa durante o perÃodo de janeiro de 2000 a junho de 2007, com base no arcabouÃo semi paramÃtrico de Philips e Sul (2007). Sendo as aÃÃes uma derivada do dia-a-dia da empresa, este trabalho busca evidenciar se existem aÃÃes que convergem para determinado nÃvel de retorno real acumulado e diante disso analisar que fatores em comum possuem estas aÃÃes que formam cada clube de convergÃncia. Os resultados obtidos agregam-se à literatura de performance de aÃÃes de bancos e empresas financeiras, ao permitir evidenciar a existÃncia de quatro clubes de convergÃncia, com dinÃmicas de transiÃÃo bastante prÃprias, cuja composiÃÃo parece possuir caracterÃsticas bastante especÃficas. O primeiro clube possui aÃÃes volÃteis de instituiÃÃes de grande porte e de elevado payout e ROE, enquanto nos demais à possÃvel observar uma reduÃÃo tanto dos indicadores financeiros quanto de outros indicadores de performance, tais como Ãndice de Sharpe e Ãndice de Sortino. Em que pese o primeiro grupo ser formado somente por bancos mÃltiplos e o segundo apenas por empresas privadas, nÃo se pode chegar num padrÃo a partir dessas duas caracterÃsticas, desmitificando algumas questÃes relativas à eficiÃncia na gestÃo de bancos pÃblicos em relaÃÃo aos bancos privados.nÃo hÃhttp://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=7776application/pdfinfo:eu-repo/semantics/openAccessporreponame:Biblioteca Digital de Teses e Dissertações da UFCinstname:Universidade Federal do Cearáinstacron:UFC2019-01-21T11:20:47Zmail@mail.com - |
dc.title.en.fl_str_mv |
Convergence analysis of the returns of shares of brazilian business finance |
dc.title.alternative.pt.fl_str_mv |
AnÃlise de convergÃncia dos retornos das aÃÃes de empresas do setor financeiro brasileiro |
title |
Convergence analysis of the returns of shares of brazilian business finance |
spellingShingle |
Convergence analysis of the returns of shares of brazilian business finance GregÃrio Pinto Matias Bancos InstituiÃÃes Financeiras TÃcnica Semi-paramÃtrica de IdentificaÃÃo de Clubes de ConvergÃncia Performance de AÃÃes Banks Financial Institutions Semi Parametric Convergence Clubs Identification Stocks Performance CIENCIAS SOCIAIS APLICADAS |
title_short |
Convergence analysis of the returns of shares of brazilian business finance |
title_full |
Convergence analysis of the returns of shares of brazilian business finance |
title_fullStr |
Convergence analysis of the returns of shares of brazilian business finance |
title_full_unstemmed |
Convergence analysis of the returns of shares of brazilian business finance |
title_sort |
Convergence analysis of the returns of shares of brazilian business finance |
author |
GregÃrio Pinto Matias |
author_facet |
GregÃrio Pinto Matias |
author_role |
author |
dc.contributor.advisor1.fl_str_mv |
Paulo RogÃrio Faustino Matos |
dc.contributor.advisor1ID.fl_str_mv |
00000000084 |
dc.contributor.advisor1Lattes.fl_str_mv |
http://lattes.cnpq.br/0288522400109962 |
dc.contributor.referee1.fl_str_mv |
SÃrgio Aquino de Souza |
dc.contributor.referee1ID.fl_str_mv |
61337170330 |
dc.contributor.referee1Lattes.fl_str_mv |
http://lattes.cnpq.br/0130061217305951 |
dc.contributor.referee2.fl_str_mv |
FabrÃcio Carneiro Linhares |
dc.contributor.referee2ID.fl_str_mv |
45504849349 |
dc.contributor.referee2Lattes.fl_str_mv |
http://lattes.cnpq.br/8577355400988841 |
dc.contributor.authorID.fl_str_mv |
25414578548 |
dc.contributor.authorLattes.fl_str_mv |
http://buscatextual.cnpq.br/buscatextual/visualizacv.do?id=K4351284T4 |
dc.contributor.author.fl_str_mv |
GregÃrio Pinto Matias |
contributor_str_mv |
Paulo RogÃrio Faustino Matos SÃrgio Aquino de Souza FabrÃcio Carneiro Linhares |
dc.subject.por.fl_str_mv |
Bancos InstituiÃÃes Financeiras TÃcnica Semi-paramÃtrica de IdentificaÃÃo de Clubes de ConvergÃncia Performance de AÃÃes |
topic |
Bancos InstituiÃÃes Financeiras TÃcnica Semi-paramÃtrica de IdentificaÃÃo de Clubes de ConvergÃncia Performance de AÃÃes Banks Financial Institutions Semi Parametric Convergence Clubs Identification Stocks Performance CIENCIAS SOCIAIS APLICADAS |
dc.subject.eng.fl_str_mv |
Banks Financial Institutions Semi Parametric Convergence Clubs Identification Stocks Performance |
dc.subject.cnpq.fl_str_mv |
CIENCIAS SOCIAIS APLICADAS |
dc.description.sponsorship.fl_txt_mv |
nÃo hà |
dc.description.abstract.por.fl_txt_mv |
This article is an analysis of the validity of the hypothesis that states the tendency of common growth presented in the evolution of the prices of 31 of the major financial stock institutions listed on BM&F Bovespa during the period of January 2000 to June 2007, based on the framework of semi-parametric Philips e Sul (2007). Since stocks are derived from the day-to-day of a business, this work seeks to show whether there are actions that converge to a certain level of real cumulative returns and, based on it, analyze what factors they have in common that will comprise each convergence club. The results obtained should add to the literature of share performance in banks and financial companies, by highlighting the existence of four convergence clubs, with their own dynamic transition, whose composition appear to have specific characteristics. The first club owns volatile shares of large institutions with a high payout and ROE, while the other ones can be associated with a reduction in both the financial indicators and other performance indicators such as the Sharpe ratio and Sortino ratio. Even if the first group, made only by multi-banks and the second by private companies it is not enough to designate a pattern from these characteristics, therefore, demystifying the questions related to the efficiency of public banks in comparison to private banks. Este estudo consiste em uma anÃlise da validade da hipÃtese de tendÃncia de crescimento comum presente na evoluÃÃo da cotaÃÃo de 31 aÃÃes das principais instituiÃÃes financeiras cotadas na BM&FBovespa durante o perÃodo de janeiro de 2000 a junho de 2007, com base no arcabouÃo semi paramÃtrico de Philips e Sul (2007). Sendo as aÃÃes uma derivada do dia-a-dia da empresa, este trabalho busca evidenciar se existem aÃÃes que convergem para determinado nÃvel de retorno real acumulado e diante disso analisar que fatores em comum possuem estas aÃÃes que formam cada clube de convergÃncia. Os resultados obtidos agregam-se à literatura de performance de aÃÃes de bancos e empresas financeiras, ao permitir evidenciar a existÃncia de quatro clubes de convergÃncia, com dinÃmicas de transiÃÃo bastante prÃprias, cuja composiÃÃo parece possuir caracterÃsticas bastante especÃficas. O primeiro clube possui aÃÃes volÃteis de instituiÃÃes de grande porte e de elevado payout e ROE, enquanto nos demais à possÃvel observar uma reduÃÃo tanto dos indicadores financeiros quanto de outros indicadores de performance, tais como Ãndice de Sharpe e Ãndice de Sortino. Em que pese o primeiro grupo ser formado somente por bancos mÃltiplos e o segundo apenas por empresas privadas, nÃo se pode chegar num padrÃo a partir dessas duas caracterÃsticas, desmitificando algumas questÃes relativas à eficiÃncia na gestÃo de bancos pÃblicos em relaÃÃo aos bancos privados. |
description |
This article is an analysis of the validity of the hypothesis that states the tendency of common growth presented in the evolution of the prices of 31 of the major financial stock institutions listed on BM&F Bovespa during the period of January 2000 to June 2007, based on the framework of semi-parametric Philips e Sul (2007). Since stocks are derived from the day-to-day of a business, this work seeks to show whether there are actions that converge to a certain level of real cumulative returns and, based on it, analyze what factors they have in common that will comprise each convergence club. The results obtained should add to the literature of share performance in banks and financial companies, by highlighting the existence of four convergence clubs, with their own dynamic transition, whose composition appear to have specific characteristics. The first club owns volatile shares of large institutions with a high payout and ROE, while the other ones can be associated with a reduction in both the financial indicators and other performance indicators such as the Sharpe ratio and Sortino ratio. Even if the first group, made only by multi-banks and the second by private companies it is not enough to designate a pattern from these characteristics, therefore, demystifying the questions related to the efficiency of public banks in comparison to private banks. |
publishDate |
2011 |
dc.date.issued.fl_str_mv |
2011-02-07 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
status_str |
publishedVersion |
format |
masterThesis |
dc.identifier.uri.fl_str_mv |
http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=7776 |
url |
http://www.teses.ufc.br/tde_busca/arquivo.php?codArquivo=7776 |
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.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Universidade Federal do Cearà |
dc.publisher.program.fl_str_mv |
Programa de PÃs-GraduaÃÃo em Economia - CAEN |
dc.publisher.initials.fl_str_mv |
UFC |
dc.publisher.country.fl_str_mv |
BR |
publisher.none.fl_str_mv |
Universidade Federal do Cearà |
dc.source.none.fl_str_mv |
reponame:Biblioteca Digital de Teses e Dissertações da UFC instname:Universidade Federal do Ceará instacron:UFC |
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Biblioteca Digital de Teses e Dissertações da UFC |
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Biblioteca Digital de Teses e Dissertações da UFC |
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Universidade Federal do Ceará |
instacron_str |
UFC |
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UFC |
repository.name.fl_str_mv |
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|
repository.mail.fl_str_mv |
mail@mail.com |
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1643295159651139584 |