Relação dos modelos DuPont com o retorno das ações no mercado brasileiro

Soares, Eduardo Rosa; Galdi, Fernando Caio

doi:10.1590/s1519-70772011000300004

Cited by 11 publications

(12 citation statements)

References 2 publications

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“…"ACCOUNTING RETURN" regression: according to the thoughts of Correia and Amaral (2012), Soares andGaldi (2011), andMatarazzo (2003), shareholder accounting return is related to net margin, to asset turnover, and to the financial leverage multiplier. Additionally, it was the aim of this study to relate it to market risk/expected return (current and future beta, size, and book-to-market ratio), to market liquidity (volume, turnover, and spread in prices), to accounting liquidity (net working capital, working capital requirement, cash balance, and quadratic cash balance), and to the variation in share prices.…”

Section: Methodsmentioning

confidence: 99%

Return and Liquidity Relationships on Market and Accounting Levels in Brazil

Perobelli

Famá

Sacramento

2016

Rev. contab. finanç.

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This article discusses profitability-liquidity relationships on accounting and market levels for 872 shares of publicly-traded Brazilian companies, observed between 1994 and 2013. On the market level, the assumption is that share liquidity is able to reduce some of the risks incurred by investors, making them more willing to pay a higher price for liquid shares, which would lower expected market returns. On the accounting level, the basic hypothesis argues that a firm's holding more liquid assets is related to a conservative investment policy, possibly reducing accounting returns for shareholders. Under the assumption of financial constraint, however, more accounting liquidity would allow positive net present value investments to be carried out, increasing future accounting returns, which would positively affect market liquidity and share prices in an efficient market, resulting in a lower market risk/expected return premium. Under the assumption of no financial constraint, however, more accounting liquidity would only represent a carry cost, compromising future accounting returns, which would adversely affect market liquidity and share prices and result in a higher market risk/expected return premium. Among the hypotheses, the presence of a negative market liquidity premium was verified in Brazil, with shares that traded more exhibiting a higher expected market return. On the margins of the major theories on the subject, only two negative relationships between excess accounting liquidity and market liquidity and accounting return, supporting the carry cost assumption for financially unconstrained firms, were verified. In terms of this paper's contributions, there is the analysis, unprecedented in Brazil as far as is known, of the relationship between liquidity and return on market and accounting levels, considering the financial constraint hypothesis to which the firms are subject.

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Section: Methodsmentioning

confidence: 99%

Return and Liquidity Relationships on Market and Accounting Levels in Brazil

Perobelli

Famá

Sacramento

2016

Rev. contab. finanç.

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“…Testing the hypothesis about the relationship between excess cash and the return of Brazilian firms, diagonal regressions were used with similar macroeconomic controls presented in Soares e Galdi (2011).…”

Section: Stock Returns and Excess Cashmentioning

confidence: 99%

“…The empirical models of Equations 4 and 5 were used to test the hypothesis about the relationship of excess cash and stock returns in Brazilian companies, in which Equation 5, evaluates the relationship based on lagged data. The empirical approach is based on similar model presented in Soares and Galdi (2011).…”

Section: Excess Cash and Stock Return Of Firmsmentioning

confidence: 99%

The Relevance of Excess Cash to Explain Financial Performance and Stock Returns in Brazilian Listed Firms

2018

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This paper analyzes the determinants and consequences of excess cash (ECM) in relationship to financial performance and stock returns in the Brazilian market which is characterized by concentration in the stock market given that Brazil is an emerging country with high political, economic and institutional uncertainties. This analysis is based on 290 Brazilian non-financial companies listed in the B3 stock exchange from 2000 to 2017. The results suggest that firms with higher excess of cash are those with higher financial performance and higher stock returns which indicates that those firms have higher potential for future growth, therefore firms hold cash for speculative reasons. In pairwise analysis, ECM and firm systemic risk had a negative and significant association, suggesting that excess of cash can also be a potential instrument for risk reduction however overall the results of risk variable do not indicate a consistent role. Analysis of lag structure of ECM indicates a positive association between current ECM and short-term (one-year) returns with stock prices, suggesting that market agents use excess cash to take advantage of investment opportunities. Therefore all evidence suggests that firms retain cash based on the speculative motive.

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“…La revisión de la literatura aplicada muestra distintas aplicaciones en contextos específicos. Se registran trabajos y aproximaciones al diagnóstico y medición de eficiencia financiera mediante el modelo Dupont; además, muchos de los autores coinciden en afirmar que este tipo de análisis es una herramienta propicia para el análisis de las razones financieras (Van Voorhis, 1981;Fairfield & Yohn, 2001;Dehning & Stratopoulos, 2002;Collier, McGowan & Muhammad 2010;Soares & Galdi, 2011;García, 2011;Botika, 2012;Chang, Chichernea & HassabElnaby, 2013;Vargas, Barrett & Cordero, 2013;Stancu, Stancu & Oproiu, 2013;Burja & Mărginean, 2014).…”

Section: Modelo Dupont: Estado Del Arte Y Fundamentaciónunclassified

Una aproximación financiera al potencial exportador de las comercializadoras internacionales de confecciones mediante un dupont estocástico

Morales

López

Sierra

et al. 2016

Rev. fac. cien. econ.

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<em><span>Este trabajo cuantifica el impacto que tiene la eficiencia, el margen de utilidad y el apalancamiento financiero sobre el desempeño exportador de las comercializadoras internacionales de confecciones, haciendo uso de un análisis Dupont estocástico. En primera instancia se utiliza una simulación de Montecarlo para modelar el sistema Dupont, aproximando todas las cifras del balance general y el estado de resultados a las distribuciones de probabilidad de mejor ajuste, produciendo una cifra para explicar el rendimiento del patrimonio y de la inversión de este tipo de empresas. Luego, a través de un análisis de sensibilidad, mediante @Risk, se determina el impacto de las variables explicativas (eficiencia, margen y apalancamiento) en el comportamiento del Índice Dupont proyectado. Se encuentra que las empresas en estudio tiene una clara debilidad financiera, y que el sector muestra una baja eficiencia en el uso de los recursos.</span></em>

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Relação dos modelos DuPont com o retorno das ações no mercado brasileiro

Cited by 11 publications

References 2 publications

Return and Liquidity Relationships on Market and Accounting Levels in Brazil

Return and Liquidity Relationships on Market and Accounting Levels in Brazil

The Relevance of Excess Cash to Explain Financial Performance and Stock Returns in Brazilian Listed Firms

Una aproximación financiera al potencial exportador de las comercializadoras internacionales de confecciones mediante un dupont estocástico

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