Avaliação do modelo de valor presente entre preços e dividendos para o mercado acionário brasileiro: evidência ao nível da firma a partir de técnicas de painel aplicadas a processos não estacionários e potencialmente cointegrados

• Autor(a) principal: Rivera, Edward Bernard Bastiaan de Rivera Y
• Data de Publicação: 2010
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Biblioteca Digital de Teses e Dissertações do Mackenzie
• Texto Completo: http://dspace.mackenzie.br/handle/10899/23573
• topic: modelo de valor presente; raiz unitária; cointegração; séries temporais; painéis não-estacionários; presente value model; unit root; cointegration; time-series; nonstationary painel; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS

The Present Value Model (PVM) in which current security prices depend upon the present value of future discounted dividends, where the discount rate is equivalent to the required rate of return is one of the models in Finance Theory. This relationship has gathered attention from empirical literature due to the rapid price increase in stock markets throughout the decade of 1990 and its subsequent fall. The objective of this work is to analyze the validity of the PVM between prices and dividends at the firm level from panel techniques applied to nonstationary and potentially cointegrated processes for the Brazilian stock market. Results indicate that, in the Present Value Model with Constant Expected Returns, the hypothesis that real prices and real dividends have a unit root cannot be rejected. Respective panel cointegration tests indicate that real prices and real dividends are cointegrated, and hence attributing validity to the PVM under the hypothesis of constant expected returns. Regarding the Present Value Model with Time-Varying Expected Returns, the hypothesis that log real prices and log real dividends are nonstationary (1) and that log price-dividend ratio is (0) cannot be rejected as analyzed in theory for the validation of the underlying Model. The respective panel cointegration tests yield evidence that the series log real prices and log real dividends are cointegrated, validating the PVM under the hypothesis of time-varying expected returns. Considering FMOLS and DOLS estimators for panel cointegration models, results indicate that stock prices are overvalued under either constant or time-varying expected returns.