O efeito da informação de sustentabilidade corporativa nos retornos das ações: análise de empresas incluídas no ranking global 100

• Autor(a) principal: Silva, Nathállya Etyenne Figueira
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações da UFPB
• Texto Completo: https://repositorio.ufpb.br/jspui/handle/tede/9406
• topic: Global 100; Responsabilidade Social Corporativa; Sustentabilidade; Desempenho Financeiro; Corporate Social Responsibility; Sustainability; Financial Performance; CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO

This research had as main objective to analyze the effect caused in stocks returns companies after the disclosure of inclusion in the Global 100 ranking. We used the event study methodology proposed by Fama (1991),that is based on semi-strong efficient market hypothesis. We considered the Global 100 rankings released over 12 years, 2005 (year of creation and first disclosure) until 2016. The event considered was the disclosure of the inclusion of new companies in these rankings. The research sample consisted of the actions of the companies that had data on the date of their respective inclusion, being thus composed of 266 shares. The variable used were the daily prices shares of the companies during the estimation period (160 days) and event window (21 days) and market indices of the countries in which the share was listed, collected in the Thomson Reuters database ®. To identify the effect caused by the disclosure of the ranking in the returns of the shares of listed companies, the abnormal returns were obtained (ARS) and cumulative abnormal returns (CARs) of each stock and then tested the statistical significance of these, through the test T test, Wilcoxon signal test and signal test. For the case of the CARs, the tests were performed in relation to the date of disclosure (year), industry sector, and in general with all events and actions of the sample. The test results for the ARs showed that the event did not affect stock returns in the data "0" (date of disclosure). However it was observed abnormal returns on days before and after the event with positive and negative signs, being explained by the own market movement. In relation to CARs by the reporting date, the tests for the years 2005-2010 and 2015-2016 were not statistically significant, so that the event of those years did not cause positive or negative effect on stock returns. The 2013 year results presented for various windows significant and positive statistics in at least one of the tests, suggesting that investors with shares in companies that were included in this year, reacted positively to information. For the year 2014, the tests were negative and significant in several windows considered, so that investors with shares in the companies included in this year reacted negatively. Regarding the sectors, in general there was no statistical significance in any of them except for the Consumer Goods sector which at the date "0" and in the window (-1,0,1) showed statistically significant in T Test and Wilcoxon Signal Test with negatives signs, demonstrating negative effect of the event; however for the other windows, the event had no effect on the returns. Finally, in the joint analysis of all the events and actions of the sample, the tests did not show statistical significance in any of the event windows considered. Thus, it was not possible to accept the hypothesis 1 in this sense the disclosure of the Global 100 ranking had no effect (positive or negative) on the returns of the companies included in it.