Valor patrimonial: usos, abusos e conteúdo informacional

Leite, Hélio de Paula; Sanvicente, Antonio Zoratto

doi:10.1590/s0034-75901990000300003

Cited by 7 publications

(4 citation statements)

References 6 publications

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“…The negative coefficients of the price/earnings ratio and market value ob-tained in this study confirm the results of Paula Leite and Sanvicente (1990) and Hazzan (1991) for the Brazilian capital market. In the Hazzan (1991) research, portfolios compounded of low price/earnings ratio tend to provide better performance than the high price/earnings ratio ones, even after risk adjustment.…”

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confidence: 90%

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Strategy of asset portfolio risk diversification through value drivers

Júnior¹,

Carmona²,

Guimarães³

2015

REBRAE

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The risk diversification of an asset portfolio of investments is underlying in the idea that all securities have an idiosyncratic behavior which allows compensating a specific stock loss by the gain achieved by other stock into the portfolio. However, we know that the portfolio selection process should excel for choosing assets capable of creating and generating value on the long term. Thus, the objective of this research was to verify if the portfolios selected through their value drivers present the diversification benefits that were determined in prior researches. We had used the data available at Economatica data base of the following Stock Exchanges: Argentina; Brazil; Chile; and Mexico. To select the portfolios by value drivers we used a model based upon the weighted factors decision matrix where the securities were hierarchized by their grades. The variables used as factors, were the Tobin’s Q, Beta, Leverage, Price/Earning Ratio, and the Price Sales Ratio. All portfolios were compared with that selected through Markowitz (1952) model. The results show us that the portfolios selected through value drivers have obtained the benefits of the diversification process convergent with prior researches. On the other hand, we verified that the stocks amount into portfolios constructed through Markowitz (1952) model have had high positive correlation with the stocks amount in the Stock Exchange what resulted in portfolios with 44 assets, for instance. For future studies we suggest: the using of generalized linear model instead the multiple regressions to figure out the factor weights; to use others fundamentalist variables; to apply this study in other Stock Exchanges.

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confidence: 90%

“…In Brazil, Paula Leite and Sanvicente (1990) studied the relationship between valuation multiples and stock returns. The null hypothesis of Paula Leite and Sanvicente (1990, p. 22) "indicate the absence of 'information content' as it corresponds to equal extraordinary return with and without information.…”

mentioning

confidence: 99%

Strategy of asset portfolio risk diversification through value drivers

Júnior¹,

Carmona²,

Guimarães³

2015

REBRAE

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“…Some studies in Brazil deal with the influence of fundamental variables on stock returns, such as those found in Table 2. Leite and Sanvicente (1990) showed that the book value per share ratio has no explanatory power for the expected average returns on stocks and only the earnings per share/price (negative ratio) and sales/price (positive ratio) indices were significant. As reported, Costa and Neves (2000) analyzed variables such as price-earnings ratio, market value, and book-to-market ratio and the beta and portfolio return.…”

Section: Empirical Results and Discussionmentioning

confidence: 97%

Expected Return, Firm Fundamentals, and Aggregate Systemic Risk: An Analysis for the Brazilian Market using an Accounting-Based Valuation Model

Mikosz

Oliveira

Roma

2020

RBGN

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Purpose-This paper examines the ability of Lyle, Callen, and Elliott's (2013) valuation accounting model in estimating expected returns (cost of capital) in the Brazilian capital market. Design/methodology/approach-To test the model's ability to generate expected returns (cost of capital), as well as to predict prices, Fama-Macbeth's (1973) monthly cross-sectional regressions were used. Sensitivity to different risk factors, particularly to the whole (systematic) economy risk, was also tested to forecast returns using a two-stage approach. Findings-The results showed that even under different conditions, the accounting model evaluated has unsatisfactory performance with emerging country data, during the analysis period. Moreover, the sensitivity of return to the risk factors employed was not a determinant for the forecasts. However, the findings showed consistency for price forecasting, and the evidence was consistent with the work applied in the American market. Originality/value-For the Brazilian case, the model failed to capture the dynamics of asset returns, showing that the capital market under analysis has its own characteristics and requires a methodology that considers this.

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“…Entre as teorias que têm um importante papel no desenvolvimento da teoria estudos de Beaver(1968) e Bali e Brown (1968). a divulgação contábil com usaram essa "perspectiva da informação" para investigar a relação entre os dados No Brasil, os principais estudos que vinculavam flutuação nos retornos de ações publicados foram mencionados por Kloecner (1995:263), tendo esse autor destacado Leal(1988), Amaral (1990), Leite e Sanvicente(1990) e Costa jr e 0'Hanlon (1991). Os dois primeiros trabalhos tratam do comportamento do mercado frente à abertura de capital por oferta pública.…”

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Avaliação empírica do efeito dos anúncios trimestrais de resultado sobre o valor das ações no mercado brasileiro de capitais: um estudo de evento

Bernardo

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A FEA e a USP respeitam os direitos autorais deste trabalho. Nós acreditamos que a melhor proteção contra o uso ilegítimo deste texto é a publicação online. Além de preservar o conteúdo motiva-nos oferecer à sociedade o conhecimento produzido no âmbito da universidade pública e dar publicidade ao esforço do pesquisador. Entretanto, caso não seja do interesse do autor manter o documento online, pedimos compreensão em relação à iniciativa e o contato pelo e-mail

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Valor patrimonial: usos, abusos e conteúdo informacional

Cited by 7 publications

References 6 publications

Strategy of asset portfolio risk diversification through value drivers

Strategy of asset portfolio risk diversification through value drivers

Expected Return, Firm Fundamentals, and Aggregate Systemic Risk: An Analysis for the Brazilian Market using an Accounting-Based Valuation Model

Avaliação empírica do efeito dos anúncios trimestrais de resultado sobre o valor das ações no mercado brasileiro de capitais: um estudo de evento

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