AVALIAÇÃO DE DENSIDADES PARA A PREVISÃO DOS RETORNOS DAS AÇÕES DA PETROBRAS

Abstract

The primary issue of shares may be an important source of funding for the creation of productive capacity, particularly in an oligopolistic environment with limited bank credit. In addition to favoring the accumulation of capital of the company, with low monetary costs, it allows the reduction of corporate debt (expensive) with the banking sector. In the context of oil discoveries in the Brazil, and on the technological challenges and the need for new investment in fixed capital derived thereof, many primary issues were made and the stock market showed great volatility and unpredictability in the last decade . The objective was to test three densities of probability to predict the odds of daily stock returns (PETR4) Petrobras traded on BOVESPA, from the daily closing prices for the period 26.06.2000 to 17.04.2012. The candidate density functions were Normal, Logistic and Cauchy. The adherence test of Kolmogorov-Smirnov suggests that the Logistic density is the one that best describes the probability of stock returns of Petrobras. The results indicate that the trader can obtain a profitability daily positive probability 0.5130271 and a yield greater than 5% per month with a probability of 0.4698542.