Lucros Inesperados, Retorno das Ações e Risco no Mercado de Capitais Brasileiro

Pimentel, Renê Coppe

doi:10.1590/1808-057x201501270

Cited by 12 publications

(15 citation statements)

References 36 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…However, despite the evidence of share misvaluation caused by behavioral bias (Aguiar et al, 2008;Dourado & Tabak, 2014), Pimentel (2015) indicates other specific factors of the Brazilian capital market, such as market concentration, high interest rates, and high volatility, which can interfere in the share pricing dynamic and in the returns forecasting models.…”

Section: Misvaluation and Behavioral Biasmentioning

confidence: 99%

Misvaluation and behavioral bias in the Brazilian stock market

Júnior

Medeiros

Caldas

et al. 2019

Rev. contab. finanç.

View full text Add to dashboard Cite

The study sought to apply the model developed by Gokhale et al. (2015) to identify the existence of overreaction and behavioral biases in the Brazilian stock market and analyze its performance as an investment strategy on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) in the short term and long term, as well as test its robustness with time window simulations. The impacts of behavioral finance on capital markets can affect economic decisions, perpetuate or increase asset pricing anomalies, and in more extreme and persistent situations contribute to the formation of bubbles that can compromise the entire financial system of a country. The study pioneers an innovative methodology in the Brazilian stock market for identifying behavioral biases and obtaining abnormal returns and higher returns than the Ibovespa. The research uses the model developed by Gokhale, Tremblay, and Tremblay (2015) in three samples with quotations data for Brazilian publicly-traded companies that compose the Ibovespa and IBrA in the period from 2005 to 2016. With the R statistical software, the Fundamental Valuation Index (FVI) was calculated for each sample share and each year. From the FVI index, the undervalued shares were identified, indicating that the sales price does not reflect their economic fundamentals, and portfolio simulations were carried out for investment over three months or the next year. The results indicate the possible existence of overreaction and behavioral biases in the Brazilian stock market, which lead to the possibility of higher abnormal returns than those of the Ibovespa. Similar to the US market, at the end of the 2006-2016 period simulated portfolios yielded more than 274%, while the Ibovespa yielded approximately 80%. The robustness tests attest to the effectiveness of the model. The various investment portfolios, simulated over different time horizons, yielded more than the Ibovespa on average. The study also confirmed the assumptions of Gokhale, Tremblay, and Tremblay (2015) regarding the model's inadequacy for short-term strategies.

show abstract

Section: Misvaluation and Behavioral Biasmentioning

confidence: 99%

Misvaluation and behavioral bias in the Brazilian stock market

Júnior

Medeiros

Caldas

et al. 2019

Rev. contab. finanç.

View full text Add to dashboard Cite

show abstract

“…Other studies analyze the relevance of annual earnings and cash flow to market agents. For instance, Pimentel and Lima (2015) and Pimentel (2015) show that the way market agents recognize earnings persistence depends on the time series assumption adopted in the research design and this relationship is also affected by extreme (non-linear) effect of earnings and risk.…”

Section: The Relevance Of Quarterly Data Analysis and Emerging Marketmentioning

confidence: 99%

Quarterly Earnings, Operating Cash Flow, and Accruals in Future Performance Assessment

Pimentel

Malacrida

2020

BAR, Braz. Adm. Rev.

View full text Add to dashboard Cite

This paper analyzes the informative content of quarterly earnings, operating cash flows, and accruals to assess future performance. The empirical analysis is based on 270 Brazilian nonfinancial firms listed on B3 from 2005 to 2018. Autoregressive models and variance decomposition were performed. Overall, results show that accounting earnings and accruals have incremental information content over operating cash flows in accessing future financial performance. Firstly, earnings have higher persistence parameters and capture a longer-term perspective showing that earnings, under the accrual regime, are more predictable than cash flows when using their past information. Secondly, the magnitude of accruals positively affects the persistence of earnings. Thirdly, as a component of earnings, operating cash flows are more persistent than the accruals component. Fourthly, high accrual levels are associated with lower future earnings. Finally, earnings have incremental informative power to explain future operating cash flows. This study contributes to the literature by providing evidence of the information content of quarterly performance measures with specific controls for accounting accruals processes, which is useful for financial performance forecasts in markets with low analyst coverage and restricted enforcement mechanisms.

show abstract

“…Accordingly, liquidity risk arises from the difficulty or inability of the financial institution to fulfill its liquidity obligations in a timely manner and at a reasonable cost. Liquidity risk can also extend to financial institutions' inability to take advantage of employment opportunities and maintain growth expectations in their strategic plan (strategic risks) due to lack of liquidity or difficulty in obtaining affordable financing (Pimentel, 2015).…”

Section: Literature Reviewmentioning

confidence: 99%

The Effect of Liquidity Risks on the Relationship between Earnings and Stock Return on Jordanian Public Shareholding Industrial Companies

Shakatreh¹

2020

JAFEB

View full text Add to dashboard Cite

The objectives of this study are threefold: 1) to identify the concepts of earnings, stock return and liquidity risks on public shareholding industrial companies listed in the Amman Stock Exchange, 2) to investigate the relationship between earnings, stock return, strength and direction of this relationship, and 3) to find out the effect of liquidity risks at stock return and the effect of liquidity risks on the relationship between earnings and stock return on Jordanian public shareholding industrial companies. To achieve the objectives, an analytical descriptive approach was used. As the data on the public shareholding industrial companies listed in the Amman Stock Exchange were accredited by 52 companies for the period between 2014-2019, data validation tests and their suitability for analysis were considered. A linear regression test was used to test the study hypotheses on the statistical analysis program. The results show that there is a positive and significant correlation at significance level between the earnings and stock return. The results of the study also showed that there is a statistically significant negative effect at significance level of liquidity risk on stock return. In addition, it was demonstrated that liquidity risks have significant negative effects on the relationship between earnings and stock returns.

show abstract

Lucros Inesperados, Retorno das Ações e Risco no Mercado de Capitais Brasileiro

Cited by 12 publications

References 36 publications

Misvaluation and behavioral bias in the Brazilian stock market

Misvaluation and behavioral bias in the Brazilian stock market

Quarterly Earnings, Operating Cash Flow, and Accruals in Future Performance Assessment

The Effect of Liquidity Risks on the Relationship between Earnings and Stock Return on Jordanian Public Shareholding Industrial Companies

Contact Info

Product

Resources

About