Fundamentalist Signals in Volatility Scenarios: Evidence in the Brazilian Stock Market

Abstract

This article investigates whether the usefulness of fundamentalist signals to predict returns are altered in context of high volatility and also considering the sensitivity of assets to the IVol-BR volatility index. In times of high volatility, investors could make their decisions based on risk aversion and not only on the fundamentals signals of companies. In addition, it is possible to see how different delays in fundamentalist signals are related to future returns. The methodological choice is for estimators in panel data for the analysis of non-financial companies that have shares traded on B3 - Brasil, Bolsa, Balcão – in the period from 2011.3Q to 2018.2Q. The results show evidence of changes in the explanatory capacity of fundamentalist signals in different volatility scenarios, and for different sensitivities to IVol-BR. This finding may impact the decision-making of managers and investors as it enables the design of investment strategies based on fundamentalist signals adhering to different risk scenarios.

Use of fleuriet model for forecasting and evaluating municipal electoral results in a brazilian state

“…The logistic regression econometric model was used and, following the guidelines of Gujarati (2006), Corrar, Paulo andDias Filho (2007) and Fávero et al (2009), to estimate the regression functions, the method of estimation used to obtain the coefficients was based on maximum likelihood method and for the operationalization of the regressions the software R was used where the probability of error type I, for analysis of the assumptions was defined in 5 %, this way, we have a 95% confidence index (CI). The analysis of the coefficient R² will be validated by means of the p-value of the test, while for the validation of the coefficients of the regressors, the pvalue of the individual test will be used, being analyzed on the aspects of 1% 5% and 10% significance as supervised by Bastos, Bortolon and Maia (2020). The dummy representing the party's changes being the dependent variable, and the Scissor Balance (ST), Working Capital (CDG) and Working Capital Needs are the independent variables together with the dummy of the situation type 1.…”

Negociação em bolsa dos créditos de descarbonização

“…Entretanto, (Bastos, Bortolon & Maia, 2021), chamam a atenção para a mudança do comportamento dos sinais fundamentalistas, principalmente nos momentos em que o mercado expressa maior volatilidade, recomendando que os investidores avaliem esses momentos e a sensibilidade a eles dos ativos que pretendem investir antes da tomada de uma decisão.…”