Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector
Autor(a) principal: | |
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Data de Publicação: | 2024 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | Revista Ambiente Contábil |
Texto Completo: | https://periodicos.ufrn.br/ambiente/article/view/32104 |
Resumo: | Purpose: This article aims to elucidate whether the particularity of the high level of explanation of the relationship between the return on the market and the return on shares of companies in the oil sector in Brazil occurs similarly in other markets. Methodology: The oil companies considered were listed as the main ones by Forbes, Fortune and Exame magazines. Their shares and market movement were obtained from their respective host countries stock exchanges, and other information on institutional websites (e.g: OPEC - Organization of the Petroleum Exporting Countries). As theoretical support, CAPM and APT metrics were applied between from January 2, 2015, to March 31, 2021. Results: Considering the privileged position of the fuel sector for the movement of the level of economic activity of the countries, the result of this research confirmed that the particularity of the Brazilian scenario is observed in other countries with regard to the high level of explanation of the return of the superior market portfolio at 50%. The research observed that the Explanation Coefficient tends to capture in a more significant way the effects of crises that come from local economic contexts and impacts on the world economy, such as a possible reduction in the level of gross domestic product of countries such as the United States or the China. As for the unexpected event, such as Covid-19, the model, in principle, did not present the same result, which could be observed in the quarterly analyses. Contributions of the Study: Research can help managers and investors, as by demonstrating similarities one can predict future events or assist in decision-making |
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Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sectorAnálisis de la relación entre la rentabilidad de las carteras de mercado y la rentabilidad de las acciones de las empresas del sector petroleroAnálise da relação entre o retorno de carteiras de mercado e o retorno das ações de empresas do setor de petróleoAPTStock ExchangeCAPMCovid-19PetrobrasManagement AccountingAPTBolsa de ValoresCAPMCovid-19PetrobrasContabilidade GerencialAPTBolsa de ValoresCAPMCovid-19PetrobrasContabilidad GerencialPurpose: This article aims to elucidate whether the particularity of the high level of explanation of the relationship between the return on the market and the return on shares of companies in the oil sector in Brazil occurs similarly in other markets. Methodology: The oil companies considered were listed as the main ones by Forbes, Fortune and Exame magazines. Their shares and market movement were obtained from their respective host countries stock exchanges, and other information on institutional websites (e.g: OPEC - Organization of the Petroleum Exporting Countries). As theoretical support, CAPM and APT metrics were applied between from January 2, 2015, to March 31, 2021. Results: Considering the privileged position of the fuel sector for the movement of the level of economic activity of the countries, the result of this research confirmed that the particularity of the Brazilian scenario is observed in other countries with regard to the high level of explanation of the return of the superior market portfolio at 50%. The research observed that the Explanation Coefficient tends to capture in a more significant way the effects of crises that come from local economic contexts and impacts on the world economy, such as a possible reduction in the level of gross domestic product of countries such as the United States or the China. As for the unexpected event, such as Covid-19, the model, in principle, did not present the same result, which could be observed in the quarterly analyses. Contributions of the Study: Research can help managers and investors, as by demonstrating similarities one can predict future events or assist in decision-making Objetivo: Este artículo busca aclarar si la particularidad del alto nivel de explicación de la relación entre el rendimiento de la cartera de mercado y el rendimiento de las acciones de empresas del sector petrolero en Brasil ocurre de manera comparable en otros mercados. Metodología: Las empresas petroleras consideradas fueron listadas como las principales por las revistas Forbes, Fortune y Exame, el movimiento de sus acciones y mercado fueron obtenidas de las bolsas de valores de los países anfitriones y otras informaciones en sitios web institucionales (ej.: OPEP - Organisation of the países exportadores de petróleo). Como soporte teórico se utilizaron las métricas CAPM y APT para el período del 2 de enero de 2015 al 31 de marzo de 2021. Resultados: Considerando la posición privilegiada del sector de combustibles para mover el nivel de actividad económica de los países, esta investigación confirmó que la particularidad del escenario brasileño se observa en otros países en referencia al alto nivel de explicación de la rentabilidad de la cartera de mercado por superior a un 50%. La investigación observó que el Coeficiente de Explicación tiende a capturar de manera más significativa los efectos de las crisis que surgen de los contextos económicos locales y los impactos en la economía mundial, como una posible reducción del nivel del producto interno bruto de países como Estados Unidos o China. En cuanto a un evento inesperado, como el Covid-19, el modelo, en principio, no presentó el mismo resultado, lo que se pudo observar en los análisis trimestrales. Contribuciones del Estudio: La investigación puede ayudar a los gerentes e inversores, ya que al demostrar similitudes se pueden predecir eventos futuros o ayudar en la toma de decisiones.Objetivo: Este artigo busca elucidar se a particularidade do alto nível de explicação da relação do retorno da carteira de mercado e o retorno das ações de empresas do setor de petróleo no Brasil ocorre de maneira semelhante em outros mercados. Metodologia: A pesquisa considerou as principais petrolíferas elencadas pelas revistas Forbes, Fortune e Exame a partir de seu valor de mercado e de receita em dólar no ano de 2018, assim como a movimentação de suas ações e das respectivas carteiras de mercado no período de 02 de janeiro de 2015 e 31 de março de 2021. Inicialmente foi efetuada uma regressão simples considerando um fator sistêmico, através da métrica do CAPM. Posteriormente, foram acrescidos outros fatores (taxa do dólar e preço do barril de petróleo tipo Brent e WTI) com vistas a eventual melhoria do modelo, utilizando-se a métrica multifatorial – APT. Como forma de identificar os impactos da Covid-19, os períodos foram segregados em integral, ex-ante e ex-post. Neste formato, o período ex-post apresentou resultados “não esperados”, o que levou a pesquisa a segregá-lo em trimestres. Resultados: Os resultados obtidos em todos as análises confirmaram, embora parcialmente, que o alto poder de explicação (superior a 50%) da variabilidade do retorno das ações ordinárias da Petrobras pela variabilidade do retorno da carteira de mercado do Ibovespa (B3), ocorre em outros mercados. A pesquisa observou que o Coeficiente de Explicação tende a captar de forma mais significativa os efeitos de crises que advêm de contextos econômicos locais e impactos para a economia mundial, a exemplo de eventual redução no nível do produto interno bruto de países como os Estados Unidos ou a China. Já para evento inesperado, a exemplo da Covid-19, o modelo, em princípio, não apresentou igual resultado, o que pôde ser observado nas análises trimestrais. Contribuições do Estudo: A pesquisa contribui nas tarefas de gestores e investidores, ao demonstrar as similaridades que preveem eventos futuros relacionados à cotação do mercado acionário e que, por consequência, auxiliam em tomadas de decisões dos stakeholders. Portal de Periódicos Eletrônicos da UFRN2024-01-02info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfhttps://periodicos.ufrn.br/ambiente/article/view/3210410.21680/2176-9036.2024v16n1ID32104REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 16 No. 1 (2024): Jan./Jun.; 177-197REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 16 Núm. 1 (2024): Jan./Jun.; 177-197REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036; v. 16 n. 1 (2024): Jan./Jun.; 177-1972176-903610.21680/2176-9036.2024v16n1reponame:Revista Ambiente Contábilinstname:Universidade Federal do Rio Grande do Norte (UFRN)instacron:UFRNporhttps://periodicos.ufrn.br/ambiente/article/view/32104/18157Copyright (c) 2024 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036http://creativecommons.org/licenses/by-nc-sa/4.0info:eu-repo/semantics/openAccess Silva, Marcos Donizeti daSantos, José Odálio dos Santos, Fernando de AlmeidaCarvajal Júnior, Cláudio José2024-01-05T11:16:46Zoai:periodicos.ufrn.br:article/32104Revistahttps://periodicos.ufrn.br/ambientePUBhttps://periodicos.ufrn.br/ambiente/oai||prof.mauriciocsilva@gmail.com2176-90362176-9036opendoar:2024-01-05T11:16:46Revista Ambiente Contábil - Universidade Federal do Rio Grande do Norte (UFRN)false |
dc.title.none.fl_str_mv |
Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector Análisis de la relación entre la rentabilidad de las carteras de mercado y la rentabilidad de las acciones de las empresas del sector petrolero Análise da relação entre o retorno de carteiras de mercado e o retorno das ações de empresas do setor de petróleo |
title |
Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector |
spellingShingle |
Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector Silva, Marcos Donizeti da APT Stock Exchange CAPM Covid-19 Petrobras Management Accounting APT Bolsa de Valores CAPM Covid-19 Petrobras Contabilidade Gerencial APT Bolsa de Valores CAPM Covid-19 Petrobras Contabilidad Gerencial |
title_short |
Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector |
title_full |
Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector |
title_fullStr |
Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector |
title_full_unstemmed |
Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector |
title_sort |
Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector |
author |
Silva, Marcos Donizeti da |
author_facet |
Silva, Marcos Donizeti da Santos, José Odálio dos Santos, Fernando de Almeida Carvajal Júnior, Cláudio José |
author_role |
author |
author2 |
Santos, José Odálio dos Santos, Fernando de Almeida Carvajal Júnior, Cláudio José |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Silva, Marcos Donizeti da Santos, José Odálio dos Santos, Fernando de Almeida Carvajal Júnior, Cláudio José |
dc.subject.por.fl_str_mv |
APT Stock Exchange CAPM Covid-19 Petrobras Management Accounting APT Bolsa de Valores CAPM Covid-19 Petrobras Contabilidade Gerencial APT Bolsa de Valores CAPM Covid-19 Petrobras Contabilidad Gerencial |
topic |
APT Stock Exchange CAPM Covid-19 Petrobras Management Accounting APT Bolsa de Valores CAPM Covid-19 Petrobras Contabilidade Gerencial APT Bolsa de Valores CAPM Covid-19 Petrobras Contabilidad Gerencial |
description |
Purpose: This article aims to elucidate whether the particularity of the high level of explanation of the relationship between the return on the market and the return on shares of companies in the oil sector in Brazil occurs similarly in other markets. Methodology: The oil companies considered were listed as the main ones by Forbes, Fortune and Exame magazines. Their shares and market movement were obtained from their respective host countries stock exchanges, and other information on institutional websites (e.g: OPEC - Organization of the Petroleum Exporting Countries). As theoretical support, CAPM and APT metrics were applied between from January 2, 2015, to March 31, 2021. Results: Considering the privileged position of the fuel sector for the movement of the level of economic activity of the countries, the result of this research confirmed that the particularity of the Brazilian scenario is observed in other countries with regard to the high level of explanation of the return of the superior market portfolio at 50%. The research observed that the Explanation Coefficient tends to capture in a more significant way the effects of crises that come from local economic contexts and impacts on the world economy, such as a possible reduction in the level of gross domestic product of countries such as the United States or the China. As for the unexpected event, such as Covid-19, the model, in principle, did not present the same result, which could be observed in the quarterly analyses. Contributions of the Study: Research can help managers and investors, as by demonstrating similarities one can predict future events or assist in decision-making |
publishDate |
2024 |
dc.date.none.fl_str_mv |
2024-01-02 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://periodicos.ufrn.br/ambiente/article/view/32104 10.21680/2176-9036.2024v16n1ID32104 |
url |
https://periodicos.ufrn.br/ambiente/article/view/32104 |
identifier_str_mv |
10.21680/2176-9036.2024v16n1ID32104 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://periodicos.ufrn.br/ambiente/article/view/32104/18157 |
dc.rights.driver.fl_str_mv |
http://creativecommons.org/licenses/by-nc-sa/4.0 info:eu-repo/semantics/openAccess |
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http://creativecommons.org/licenses/by-nc-sa/4.0 |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.publisher.none.fl_str_mv |
Portal de Periódicos Eletrônicos da UFRN |
publisher.none.fl_str_mv |
Portal de Periódicos Eletrônicos da UFRN |
dc.source.none.fl_str_mv |
REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 16 No. 1 (2024): Jan./Jun.; 177-197 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte; Vol. 16 Núm. 1 (2024): Jan./Jun.; 177-197 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte - ISSN 2176-9036; v. 16 n. 1 (2024): Jan./Jun.; 177-197 2176-9036 10.21680/2176-9036.2024v16n1 reponame:Revista Ambiente Contábil instname:Universidade Federal do Rio Grande do Norte (UFRN) instacron:UFRN |
instname_str |
Universidade Federal do Rio Grande do Norte (UFRN) |
instacron_str |
UFRN |
institution |
UFRN |
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Revista Ambiente Contábil |
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Revista Ambiente Contábil |
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Revista Ambiente Contábil - Universidade Federal do Rio Grande do Norte (UFRN) |
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