Estimando o Retorno das Ações com Decomposição do Índice Book-to-Market: Evidências na Bovespa

Abstract

The book-to-market (BM) ratio differs across stocks because to differences in expected cashflows and expected returns. The central hypothesis is that the evolution of BM, in terms of past changes in price and book equity, contains information about future cashflows that can be used to improve estimates of expected returns. This article used a database of Economática to extract a sample of non-financial companies shares listed on BOVESPA and test this hypothesis. The estimated regressions were performed monthly during the period July 1996 to June 2008. Both for large and mid caps as for small caps, the results do not favor this hypothesis and show that only the most recent BM is important to predict the assets returns. Furthermore, stock issues and repurchases are also related to future cashflows and it is expected to improve estimates of expected returns. However, the results provide no evidence favoring that.

Gastos com P&D e a Expectativa de Geração de Balor nas Firmas Brasileiras

“…The intangible portion is valued in a firm which brings on a distance between the book and the market value, named as BTM ratio, which is obtained by the division between net equity book value and the net equity market value (Rosenberg et al, 1985;Fama & French, 1992;Lakonishok et al, 1994;Berk, 1995;Barber & Lyon, 1997;Almeida & Eid Jr., 2010). Cañibano et al (2009) corroborate in the explanation of this value distance, which refers to the existence of relevant information for the decision-making process which was not caught by Accounting.…”

“…Revista BASEv.17, n.1, janeiro/março 2020BASEv.17, n.1, janeiro/março (1985, Fama and French (1992), Lakonishok et al (1994), Berk (1995), Barber andLyon (1997), Almeida andEid Jr. (2010).…”

“…The BTM relationship tends to differ from company to company. According to Almeida and Eid (2010), it happens because expectations regarding cash flow and expected share return are different in each one. That is, those which are going through financial difficulties tend to have their market value, MVPL(it), closer to the book value, BVPL(it).…”

Eficiência da Carteira de Mercado no Plano Média-Variância

“…Em suma, pode-se separar os trabalhos brasileiros acerca da validade do CAPM em dois grupos: (i) aqueles que testam fatores explicativos para os retornos de ações além do fator mercado (Almeida & Eid Jr., 2010, Machado & Medeiros, 2011) e (ii) os testes diretos do CAPM (Hagler & Brito, 2007, Nakamura, 2000.…”

“…Tais autores incluem fatores como tamanho,índice book-to-market,índice price/earnings e momento de mercado. No Brasil, Almeida & Eid Jr. (2010) e Machado & Medeiros (2011) aplicaram modelos multifatoriais com resultados similares.…”