Pessimismo E Incerteza Das Notícias E O Comportamento Dos Investidores No Brasil

Abstract

How investors impound qualitative information released by the media into prices, especially in a less efficient market such as Brazil, helps understand the types of news most sensitive to investors. This study investigates the relationship between the content of the daily editions of specialized financial media in Brazil, captured by a metric of textual tone, and returns and volatility of market indexes. Our database contains 1,237 daily editions of the newspaper "Valor Econômico," between 01/02/2012 and 12/30/2016. The results indicate that the market put more weight on the words "uncertainty" and "negative" in the news. "Uncertainty" has negative relation to current market-returns and weak evidence that news with "negative" terms have positive associations with current market-volatility. The evidences obtained point to the existence of informative content in the news pub lished by specialized media in Brazil, especially with the words "negative" and "uncertainty." KEYWORDS | Sentiment analysis, textual analysis, financial media, Brazil, efficient markets. RESUMO Investidores formam suas expectativas sobre os fluxos de caixa futuros das empresas considerando as informa ções quantitativas e qualitativas a que têm acesso. O entendimento de como os preços de mercado incorporam as informações qualitativas divulgadas pela mídia FERNANDO CAIO GALDI

Brazilian stock market performance and investor sentiment on Twitter

“…In total, we observed an average of 640 tweets per day, with a range from a minimum of 213 to a maximum of 5,281. In addition, the highest average of positive tweets reinforces our proxy's divergences from Silva (2017) and Galdi and Gonçalves (2018).…”

“…Results show that sentiment does not predict future returns, volatility or volume, although present returns influence future sentiment. On the other hand, Silva (2017) and Galdi and Gonçalves (2018) found, through Valor Econômico newspaper website, a strong association between contemporary investor sentiment and contemporary return, with a trend of reversal over the days. These studies also found that Brazilian market rates negative and uncertain words with higher weight, which creates a stronger (negative) association between investor sentiment and market returns.…”

O novo marco de saneamento básico e a influência no valor percebido das ações: estudo multicaso da Sabesp e Copasa / The new sanitation framework and its influence on the perceived value of the shares: a multicase study by Sabesp and Copasa

“…Como se sabe, as privatizações são consideradas informações relevantes na ótica do mercado. Isso altera a visão dos investidores em relação ao risco implícito e à rentabilidade financeira prevista, o que faz com que o valor dessas empresas seja reequilibrado pelo mercado em função da nova expectativa de retorno financeiro delas (GALDI & GONÇALVES, 2018). A análise de múltiplos apresentada nos subitens a seguir, permitirá verificar como foi a avaliação feita pelo mercado.…”

Asymmetric Impact of Investor Sentiment on Brazilian Stock Market Volatility

“…Understanding market volatility is of fundamental importance to determine the cost of capital and evaluate investment-related decisions (Aydogan, 2017). It can be impacted by quantitative and qualitative information, according to its value relevance (Galdi & Gonçalves, 2018). In view of the difficulty of traditional models in explaining market volatility, new factors are gaining importance, being investor sentiment one of these factors (Piccoli, Costa, Silva, & Cruz, 2018).…”

“…From this perspective, it is possible to highlight the importance of investor sentiment as a factor associated with systematic risk and its pricing in the Brazilian market. This identification gains greater relevance in emerging markets, given their greater potential of mispricing and due to their distinct characteristics of developed markets in terms of financial uncertainty, trade-off between risk and return, and volatility (Galdi & Gonçalves, 2018).…”