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2023-05-19T20:37:12Z2023-05-19T20:37:12Z2019-07-10181116https://doi.org/10.16930/2237-7662201927812237-7662http://hdl.handle.net/1843/53694http://orcid.org/0000-0002-0354-0796http://orcid.org/0000-0001-8317-752Xhttp://orcid.org/0000-0003-4423-9024http://orcid.org/0000-0002-1880-5304A determinação do custo de capital próprio é um assunto extensivamente pesquisado e discutido em finanças, possibilitando o desenvolvimento de novos estudos correlatos. No mercado brasileiro, Noda, Martelanc e Kayo (2016) obtiveram resultados discordantes dos encontrados por Fama e French (1995, 1996), indicando que tais divergências podem ser explicadas pela elevada taxa de inflação. Assim, esta pesquisa busca analisar se após o deemed cost - como meio de dirimir os efeitos da inflação - os retornos obtidos pelas carteiras construídas com base no índice book-tomarket (PL/VM) são estatisticamente diferentes dos observados pelo Capital Asset Pricing Model (CAPM) e pelo indicador lucro/preço (L/P). Por meio dos resultados foi possível concluir que o índice L/P não se apresentou como mais efetivo para reconhecer ações “baratas” ou “de valor”, frente ao índice book-to-market. Estes resultados são divergentes dos encontrados por Noda et al. (2016) e coincidem com os resultados encontrados por Fama e French (1995, 1996), evidenciando que o modelo tradicional de três fatores explica os retornos das carteiras construídas com base no book-to-market. Isso posto, pode-se indicar que a alta inflação histórica do mercado brasileiro, em específico para as firmas cujos ativos são mais antigos, faz com que as informações contábeis das entidades sejam menos significativas. Contudo, mensurações como as realizadas pelo deemed cost podem suavizar o impacto da inflação, concedendo maior representatividade para as informações contábeis, evidenciado assim, que práticas como o custo atribuído exercem influência nas expectativas dos usuários, conforme também verificado por Demaria e Dufour (2007) e Cerqueira, Rezende, Dalmácio e Silva (2013).The determination of the cost of equity is a subject extensively researched and discussed in finance, enabling the development of new related studies. In the Brazilian market, Noda, Martelanc and Kayo (2016) obtained results discordant to those found by Fama and French (1995, 1996), indicating that such divergences can be explained by the high rate of inflation. Thus, the present research seeks to analyze whether after the deemed cost - as a means of resolving the effects of inflation - the returns obtained by the portfolios built on the book-to-market index (PL / VM) are statistically different from those observed by the CAPM by the Profit / Price indicator. By means of the results it was possible to conclude that the L / P index did not present itself as more effective to recognize "cheap" or "value" stocks, compared to the book-to-market index. These results are different from those found by Noda et al. (2016) and coincide with the results found by Fama and French (1995, 1996), showing that the traditional three-factor model explains the returns of the constructed portfolios based on book-to-market. Thus, it can be pointed out that the high historical inflation of the Brazilian market, in particular for firms whose assets are older, makes the accounting information of the entities less significant. However, measurements such as those carried out by deemed cost can soften the impact of inflation, granting greater representativeness to the accounting information, thus evidenced that practices such as cost attributed influence the expectations of users, as also verified by Demaria and Dufour (2007) and Cerqueira, Rezende, Dalmácio and Silva (2013).porUniversidade Federal de Minas GeraisUFMGBrasilFACE - FACULDADE DE CIENCIAS ECONOMICASFCE - DEPARTAMENTO DE CIÊNCIAS CONTÁBEISRevista Catarinense da Ciência ContábilAtivos (Contabilidade)CapitalismoCAPMModelos multifatoriaisBook-to-marketCusto atribuído (deemed cost)Precificação de ativos: análise do fator book-to-market após o deemed costAsset pricing analysis of book-to-market factor after deemed costinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlehttps://revista.crcsc.org.br/index.php/CRCSC/article/view/2781Octávio Valente CamposAna Carolina Vasconcelos ColaresRenata Turola TakamatsuJosé Roberto de Souza Franciscoapplication/pdfinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFMGinstname:Universidade Federal de Minas Gerais (UFMG)instacron:UFMGLICENSELicense.txtLicense.txttext/plain; charset=utf-82042https://repositorio.ufmg.br/bitstream/1843/53694/1/License.txtfa505098d172de0bc8864fc1287ffe22MD51ORIGINALPrecificação de ativos_ análise do fator book-to-market após o deemed cost.pdfPrecificação de ativos_ análise do fator book-to-market após o deemed cost.pdfapplication/pdf401994https://repositorio.ufmg.br/bitstream/1843/53694/2/Precifica%c3%a7%c3%a3o%20de%20ativos_%20an%c3%a1lise%20do%20fator%20book-to-market%20ap%c3%b3s%20o%20deemed%20cost.pdf36d45599a9e20df70ca1e38faa64ba98MD521843/536942023-05-19 17:37:12.525oai:repositorio.ufmg.br:1843/53694TElDRU7vv71BIERFIERJU1RSSUJVSe+/ve+/vU8gTu+/vU8tRVhDTFVTSVZBIERPIFJFUE9TSVTvv71SSU8gSU5TVElUVUNJT05BTCBEQSBVRk1HCiAKCkNvbSBhIGFwcmVzZW50Ye+/ve+/vW8gZGVzdGEgbGljZW7vv71hLCB2b2Pvv70gKG8gYXV0b3IgKGVzKSBvdSBvIHRpdHVsYXIgZG9zIGRpcmVpdG9zIGRlIGF1dG9yKSBjb25jZWRlIGFvIFJlcG9zaXTvv71yaW8gSW5zdGl0dWNpb25hbCBkYSBVRk1HIChSSS1VRk1HKSBvIGRpcmVpdG8gbu+/vW8gZXhjbHVzaXZvIGUgaXJyZXZvZ++/vXZlbCBkZSByZXByb2R1emlyIGUvb3UgZGlzdHJpYnVpciBhIHN1YSBwdWJsaWNh77+977+9byAoaW5jbHVpbmRvIG8gcmVzdW1vKSBwb3IgdG9kbyBvIG11bmRvIG5vIGZvcm1hdG8gaW1wcmVzc28gZSBlbGV0cu+/vW5pY28gZSBlbSBxdWFscXVlciBtZWlvLCBpbmNsdWluZG8gb3MgZm9ybWF0b3Mg77+9dWRpbyBvdSB277+9ZGVvLgoKVm9j77+9IGRlY2xhcmEgcXVlIGNvbmhlY2UgYSBwb2zvv710aWNhIGRlIGNvcHlyaWdodCBkYSBlZGl0b3JhIGRvIHNldSBkb2N1bWVudG8gZSBxdWUgY29uaGVjZSBlIGFjZWl0YSBhcyBEaXJldHJpemVzIGRvIFJJLVVGTUcuCgpWb2Pvv70gY29uY29yZGEgcXVlIG8gUmVwb3NpdO+/vXJpbyBJbnN0aXR1Y2lvbmFsIGRhIFVGTUcgcG9kZSwgc2VtIGFsdGVyYXIgbyBjb250Ze+/vWRvLCB0cmFuc3BvciBhIHN1YSBwdWJsaWNh77+977+9byBwYXJhIHF1YWxxdWVyIG1laW8gb3UgZm9ybWF0byBwYXJhIGZpbnMgZGUgcHJlc2VydmHvv73vv71vLgoKVm9j77+9IHRhbWLvv71tIGNvbmNvcmRhIHF1ZSBvIFJlcG9zaXTvv71yaW8gSW5zdGl0dWNpb25hbCBkYSBVRk1HIHBvZGUgbWFudGVyIG1haXMgZGUgdW1hIGPvv71waWEgZGUgc3VhIHB1YmxpY2Hvv73vv71vIHBhcmEgZmlucyBkZSBzZWd1cmFu77+9YSwgYmFjay11cCBlIHByZXNlcnZh77+977+9by4KClZvY++/vSBkZWNsYXJhIHF1ZSBhIHN1YSBwdWJsaWNh77+977+9byDvv70gb3JpZ2luYWwgZSBxdWUgdm9j77+9IHRlbSBvIHBvZGVyIGRlIGNvbmNlZGVyIG9zIGRpcmVpdG9zIGNvbnRpZG9zIG5lc3RhIGxpY2Vu77+9YS4gVm9j77+9IHRhbWLvv71tIGRlY2xhcmEgcXVlIG8gZGVw77+9c2l0byBkZSBzdWEgcHVibGljYe+/ve+/vW8gbu+/vW8sIHF1ZSBzZWphIGRlIHNldSBjb25oZWNpbWVudG8sIGluZnJpbmdlIGRpcmVpdG9zIGF1dG9yYWlzIGRlIG5pbmd177+9bS4KCkNhc28gYSBzdWEgcHVibGljYe+/ve+/vW8gY29udGVuaGEgbWF0ZXJpYWwgcXVlIHZvY++/vSBu77+9byBwb3NzdWkgYSB0aXR1bGFyaWRhZGUgZG9zIGRpcmVpdG9zIGF1dG9yYWlzLCB2b2Pvv70gZGVjbGFyYSBxdWUgb2J0ZXZlIGEgcGVybWlzc++/vW8gaXJyZXN0cml0YSBkbyBkZXRlbnRvciBkb3MgZGlyZWl0b3MgYXV0b3JhaXMgcGFyYSBjb25jZWRlciBhbyBSZXBvc2l077+9cmlvIEluc3RpdHVjaW9uYWwgZGEgVUZNRyBvcyBkaXJlaXRvcyBhcHJlc2VudGFkb3MgbmVzdGEgbGljZW7vv71hLCBlIHF1ZSBlc3NlIG1hdGVyaWFsIGRlIHByb3ByaWVkYWRlIGRlIHRlcmNlaXJvcyBlc3Tvv70gY2xhcmFtZW50ZSBpZGVudGlmaWNhZG8gZSByZWNvbmhlY2lkbyBubyB0ZXh0byBvdSBubyBjb250Ze+/vWRvIGRhIHB1YmxpY2Hvv73vv71vIG9yYSBkZXBvc2l0YWRhLgoKQ0FTTyBBIFBVQkxJQ0Hvv73vv71PIE9SQSBERVBPU0lUQURBIFRFTkhBIFNJRE8gUkVTVUxUQURPIERFIFVNIFBBVFJPQ++/vU5JTyBPVSBBUE9JTyBERSBVTUEgQUfvv71OQ0lBIERFIEZPTUVOVE8gT1UgT1VUUk8gT1JHQU5JU01PLCBWT0Pvv70gREVDTEFSQSBRVUUgUkVTUEVJVE9VIFRPRE9TIEUgUVVBSVNRVUVSIERJUkVJVE9TIERFIFJFVklT77+9TyBDT01PIFRBTULvv71NIEFTIERFTUFJUyBPQlJJR0Hvv73vv71FUyBFWElHSURBUyBQT1IgQ09OVFJBVE8gT1UgQUNPUkRPLgoKTyBSZXBvc2l077+9cmlvIEluc3RpdHVjaW9uYWwgZGEgVUZNRyBzZSBjb21wcm9tZXRlIGEgaWRlbnRpZmljYXIgY2xhcmFtZW50ZSBvIHNldSBub21lKHMpIG91IG8ocykgbm9tZXMocykgZG8ocykgZGV0ZW50b3IoZXMpIGRvcyBkaXJlaXRvcyBhdXRvcmFpcyBkYSBwdWJsaWNh77+977+9bywgZSBu77+9byBmYXLvv70gcXVhbHF1ZXIgYWx0ZXJh77+977+9bywgYWzvv71tIGRhcXVlbGFzIGNvbmNlZGlkYXMgcG9yIGVzdGEgbGljZW7vv71hLgo=Repositório InstitucionalPUBhttps://repositorio.ufmg.br/oaiopendoar:2023-05-19T20:37:12Repositório Institucional da UFMG - Universidade Federal de Minas Gerais (UFMG)false
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