Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro (2019)
- Authors:
- Autor USP: LAURINI, MARCIO POLETTI - FEARP
- Unidade: FEARP
- DOI: 10.5935/2319-0485/praticas.v7n2e12511
- Subjects: ECONOMETRIA; ÍNDICE DE PREÇOS; INDICADORES ECONÔMICOS; AÇÕES; CAPITALIZAÇÃO
- Keywords: Estabilidade de beta; Quebras estruturais; Ponto de mudança estrutural desconhecido; Testes econométricos avançados; Índice Ibovespa; Índice MSCI Brasil; Beta stability; Structural change; Unknown structural change point; Advanced econometric tests; Ibovespa index; MSCI Brazil index
- Language: Português
- Abstract: The purpose of the work is to test the beta coefficient stability of Brazilian stock market when the point of the structural break is not known. To do this, we applied the class of structural break tests proposed by Andrews (1993) and Andrews and Ploberger (1994) for samples of weekly and monthly of 92 stocks traded on BM&FBovespa, using the Ibovespa and MSCI Brasil indexes as market proxy. The methodology is quantitative based on advanced econometric tests aiming to analyze the stability of the beta in the time, which still persists controversial in the literature. Periods were chosen with several world crises that affected the Brazilian market. The tests of Andrews (1993) and Andrews and Ploberger (1994) applied in the evaluation of beta stability did not reject the hypothesis that the coefficient is stable over time. In addition, the article contributes with the financial literature when analyzing the stability of the Brazilian stock market coefficient for structural breaks and complements this literature by indicating that the use of sophisticated econometric tests to evaluate the traditional CAPM shows that betas is not as biased as previous studies pointed out. Although the beta stability analysis has been studied in the finance literature, it is still a controversial issue in the Brazilian stock market, which there are few studies that have evaluated the coefficient with divergent results. The beta is heavily used in asset pricing and calculating the firms’ cost of capital when evaluating investment projects. A biased beta could lead to mistaken decisions about accepting or rejecting projects, or inadequately analyzing portfolios. The study shows that, on the contrary to some domestic and international studies, the beta can be used as a good estimator of the future beta
- Imprenta:
- Source:
- Título: Práticas em Contabilidade e Gestão
- ISSN: 2319-0485
- Volume/Número/Paginação/Ano: v. 7, n. 2, p. 1-30, 2019
- Este periódico é de acesso aberto
- Este artigo NÃO é de acesso aberto
-
ABNT
DULTRA-DE-LIMA, Ronaldo Gomes e MINARDI, Andrea Maria Accioly Fonseca e LAURINI, Marcio Poletti. Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro. Práticas em Contabilidade e Gestão, v. 7, n. 2, p. 1-30, 2019Tradução . . Disponível em: https://doi.org/10.5935/2319-0485/praticas.v7n2e12511. Acesso em: 04 out. 2024. -
APA
Dultra-de-Lima, R. G., Minardi, A. M. A. F., & Laurini, M. P. (2019). Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro. Práticas em Contabilidade e Gestão, 7( 2), 1-30. doi:10.5935/2319-0485/praticas.v7n2e12511 -
NLM
Dultra-de-Lima RG, Minardi AMAF, Laurini MP. Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro [Internet]. Práticas em Contabilidade e Gestão. 2019 ; 7( 2): 1-30.[citado 2024 out. 04 ] Available from: https://doi.org/10.5935/2319-0485/praticas.v7n2e12511 -
Vancouver
Dultra-de-Lima RG, Minardi AMAF, Laurini MP. Teste de estabilidades dos coeficientes betas do mercado acionário brasileiro [Internet]. Práticas em Contabilidade e Gestão. 2019 ; 7( 2): 1-30.[citado 2024 out. 04 ] Available from: https://doi.org/10.5935/2319-0485/praticas.v7n2e12511 - Data cloning: maximum likelihood estimation of DSGE models
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Informações sobre o DOI: 10.5935/2319-0485/praticas.v7n2e12511 (Fonte: oaDOI API)
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