Surpresas com relação à política monetária e o mercado de capitais: evidências do caso brasileiro

Gonçalves, Walter; Eid, William

doi:10.1590/s0101-31572011000300007

Cited by 6 publications

(1 citation statement)

References 14 publications

(8 reference statements)

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“…Thus, it is concluded that the market for higher education stocks was efficient in its semi-strong form for the event of issuance of debt securities, supporting the efficient market hypothesis that investors incorporate all available information into the pricing of the asset, with there being no abnormal gains derived from the release of resources for Fies. Comparing the results with other studies carried out within the scope of monetary policy, the results converge with those of Eid (2011) andZabot, Caetano, andCaldeira (2013), who did not find evidence of abnormalities in the stock returns before Monetary Policy Committee (Copom) announcements of an alteration in the interest rate.…”

Section: Events Studysupporting

confidence: 80%

Analysis of the impact of Fies on the stock returns from the higher education sector

Pinheiro

Serrano

2019

Rev. contab. finanç.

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This article aims to analyze if the issuance of Series E Treasury Bonds (CFT-Es) generates abnormal returns in a higher education stock portfolio and verify if the Brazilian higher education market is efficient in its semi-strong form. The main purpose of CFT-Es is to transfer funds to institutions with the aim of providing finance to students enrolled in private universities. These issuances have effects on the capital market, considering that after the program began, the first initial public offering (IPO) of a Brazilian university occurred. Moreover, according to the National Institute for Educational Studies and Research Anísio Teixeira/Ministry of Education and Culture (Inep/MEC), Brazil has the largest market for higher education in Latin America. Several studies have been conducted to analyze the relationship between monetary policy and financial markets, but this has not occurred within the scope of fiscal policy. Such research is appropriate, considering the discussion on the need to contain government spending, but at the same time stimulate the Brazilian economy. The main contribution of the study is it indicates that the higher education market has tended towards the efficiency hypothesis, considering that in the first analysis, H0 was not rejected for 82% of the windows of events, and in the second analysis, H0 was not rejected for any of the windows of events, with there being no evidence of abnormal gains due to funds being released for the Student Finance Fund (Fies). The event study methodology was used to test the hypotheses of abnormal returns obtained due to CFT-Es being issued through the release of ordinances. A portfolio composed of higher education stocks was elaborated, weighted by the quarterly amount receivable from Fies for each institution, and covering 2009 to 2017. The results show that the stocks of institutions benefiting from Fies tend to react efficiently to CFT-E issuances authorized by the National Treasury.

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Section: Events Studysupporting

confidence: 80%

Analysis of the impact of Fies on the stock returns from the higher education sector

Pinheiro

Serrano

2019

Rev. contab. finanç.

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Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case

Val

Klötzle

Pinto

et al. 2018

Emerging Markets Finance and Trade

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The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets

Santos

García

Medeiros

2016

Brazilian Review of Econometrics

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The estimation of the impact of macroeconomic announcements on the Brazilian futures markets is used to uncover the relationship between macroeconomic fundamentals and asset prices. Using intraday data from October 2008 to January 2011, we find that external macroeconomic announcements dominate price changes in the Foreign Exchange and Ibovespa markets, while the impact of the domestic ones is mainly restricted to interest rate contracts. We additionally propose an investment strategy based on the conditional price reaction of each market that achieved a success rate of 70% in an outof-sample study. Finally, we document the impact on volume and bid-ask spreads.

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Surpresas com relação à política monetária e o mercado de capitais: evidências do caso brasileiro

Cited by 6 publications

References 14 publications

Analysis of the impact of Fies on the stock returns from the higher education sector

Analysis of the impact of Fies on the stock returns from the higher education sector

Stock Market Reaction to Monetary Policy: An Event Study Analysis of the Brazilian Case

The High Frequency Impact of Macroeconomic Announcements in the Brazilian Futures Markets

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