NOVA METODOLOGIA DO IBOVESPA, BETAS E PODER EXPLICATIVO DOS RETORNOS DAS AÇÕES

• Autor(a) principal: Serra, Ricardo Goulart
• Data de Publicação: 2016
• Outros Autores: Saito, André Taue, Fávero, Luiz Paulo Lopes
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Revista de contabilidade e organizações
• Texto Completo: https://www.revistas.usp.br/rco/article/view/111708
• topic: IBOVESPA; RETORNO; BETA; IBOVESPA; STOCK RETURN; BETA.

In 2013 , there were changes in the Ibovespa’s methodology , implemented from 2014. BM&FBOVESPA published a retroactive historical series of 34 quarters of the Ibovespa calculated using the new methodology (New Ibovespa) in parallel to that obtained with the previous methodology (Old Ibovespa). The objective of this article is to verify whether the beta calculated regressing stock returns against New Ibovespa (NewBeta) would have been able to better explain returns than the beta calculated regressing stock returns against the Old Ibovespa (OldBeta). The panel data model with fixed effects is, according to the appropriate tests, preferable to POLS model and the random effects model, and indicates that the OldBeta would have been able to better explain returns than the NewBeta. The model better explains the variation between observations and little explain variation of the same stock over time. The fact that, during the analyzed period, there has existed only Old Ibovespa may have influenced the results.