Brazilian Stock Market Research Articles

Mercado acionário e variáveis macroeconômicas: evidências para o Brasil

Este trabalho analisa a influência das variáveis macroeconômicas sobre o mercado acionário. Trata-se de uma temática importante a ser examinada no atual contexto econômico, que se destaca pela grave crise e pelo contínuo crescimento do mercado acionário. Dessa forma, cobre-se uma lacuna de pesquisa existente sobre os atuais movimentos do mercado acionário. Para alcançar esses objetivos foi aplicado o método dos mínimos quadrados generalizados com correção de prais-winsten, que visa a corrigir o problema autorregressivo de primeira ordem. Os resultados mostram que as variáveis macroeconômicas continuam exercendo influência sobre o Ibovespa, conforme preconiza a literatura. No entanto, a variável de estabilidade financeira do governo central não possui poder explicativo sobre o índice do mercado acionário nacional, estando de acordo com outros autores e convergindo com as observações empíricas presenciadas de 2016 a 2019, de desequilíbrio fiscal e crescimento do Ibovespa.

Eficiência informacional em anúncios de criação de joint-ventures no mercado acionário brasileiro

This study aimed to verify the presence of semi-strong efficiency in the Brazilian stock market when the creation of joint ventures was announced. The period analyzed in the study was from May 24, 2012 to May 24, 2017, with a sample of 12 announcements about the creation of new joint ventures, in which at least one of the shareholders was a publicly traded Brazilian company. Subsequently, the event study methodology was employed. Expected returns were estimated using the market model, and then abnormal returns (AR) and cumulative abnormal return (CAR) were calculated during the event window. Finally, statistical tests were performed for the average of the abnormal returns in order to verify if the values were significant. The results of the work showed a strong downward trend in the ARs throughout the event window, consequently the CAR was strongly negative, reaching a value of -4.17% at the end of the event window. This fact indicates that the creation of a joint venture was seen as negative by the market. Regarding the statistical significance of the results, it is noteworthy that, only in the two days prior to the announcement of the creation of the joint venture, the AR was significant, in the other days the market behaved efficiently, with the AR not being statistically different from zero. The result of this research is relevant to the decision of managers who evaluate the possibility of establishing a new joint venture, showing the impacts that this decision may have on their company's stocks.

Evidence of inefficiency of the Brazilian stock market: The IBOVESPA future contracts

We present some indications of inefficiency of the Brazilian stock market based on the existence of strong long-time cross-correlations with foreign markets and indices. Our results show a strong dependence on foreign markets indices as the S&P 500 and CAC 40, but not to the Shanghai SSE 180, indicating an intricate interdependence. We also show that the distribution of log-returns of the Brazilian BOVESPA index has a discrete fat tail in the time scale of a day, which is also a deviation of what is expected of an efficient equilibrated market. As a final argument of the inefficiency of the Brazilian stock market, we use a neural network approach to forecast the direction of movement of the value of the IBOVESPA future contracts, with an accuracy allowing financial returns over passive strategies.

IS COMMONALITY IN LIQUIDITY A PRICED RISK FACTOR?

ABSTRACT Purpose: Analyze if the commonality in liquidity is priced and its relation with the stock return in the Brazilian stock market. Originality/value: Due to the shortage of papers about the effects of commonality in liquidity in the Brazilian financial literature, this paper provides knowledge development about commonality in liquidity effect for the investor, investigating whether an investment strategy in the most sensitive assets to systematic variations of liquidity is attractive for investors, consistent with the risk-return trade off. Design/methodology/approach: In order to identify the effect of commonality to investors, we opted to use portfolios. Using companies listed on B3 as a sample, we estimated regressions developed in the time series from January 2007 to December 2015. Findings: We found that the commonality is a phenomenon present in the Brazilian stock market and their highest values were concentrated in periods of international financial crises. In addition, using portfolios, we observed a premium of 4.165% per month for the commonality in liquidity, although not statistically significant. Finally, we found that the commonality in liquidity is a priced risk factor and when we exposed it to other risk factors we found that the liquidity risk factor was able to partly capture it.

BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET

ABSTRACT Purpose: Explain the causes of inefficiencies in asset pricing on the Brazilian stock exchange through the behavioral finance hypothesis. Originality/value: Research made in the stock market over the last decades suggests that there is evidence of obtaining returns above the market average, through the purchase of undervalued assets, that is, when it has a low relation between the price and the fundamentals of the company. However, there is a notable discrepancy regarding the interpretation of causes among academics. The efficient markets hypothesis was presented, which is based on the premise of the strict rationality of economic agents. On the other hand, the behavioral finance theory was also discussed, which presents different assumptions. Design/methodology/approach: Using the historical quotes of the shares traded on B3, extracted from economática(r)'s database, the present work used the Magic Formula methodology to investigate the behavioral effect through the inefficiencies found in the pricing of these assets. Findings: The results suggest that the Brazilian stock market, in conformity with works of the same nature performed in markets in other countries, has inefficiencies in the pricing of assets, so that it is possible to obtain advantages from economic agents. The interpretation for the causes of such inefficiencies is based on the premises of behavioral finance, and points to the existence of a limitation in the rationalization of these agents.

The Dynamic Relationships between the Baltic Dry Index and the BRICS Stock Markets: A Wavelet Analysis

This paper studies the dynamic relationships between the Baltic Dry Index (BDI) and the BRICS stock markets by wavelet analysis for the period from January 1996 to March 2019. Compared to the causality based on linearity and the choosing of the period of lags, as well as given the significant evidence of nonlinearity, we used wavelet analysis to analyze the dynamic relationships between the two series in both time and frequency domains, which helped us to demonstrate the causality across different horizons. Due to wavelet analysis, we found that the BDI and the Brazilian stock market had a significantly positive relationship from 2002 to 2011 in the medium term and that the Brazilian stock market led the BDI from 2002 to 2004 and from 2009 to 2011. The wavelet analysis showed that the Russian and Indian stock markets dominated the BDI from 2005 to 2016 in the long term and from 2002 to 2011 in the medium term, respectively. The South African stock market and the BDI had a medium term, positive, and co-movement relationships. The empirical results of Brazil and South African indicated that commodity import- and export- related countries have similar interactions. Lastly, wavelet analysis revealed that the BDI lead the Chinese stock market from 1996 to 1998 in the medium term, while the Chinese stock market turned to dominate the BDI from 2001 to 2011, both in the medium and long term.

Novo olhar ao board interlocking: evidências a partir das redes sociais corporativas

Resumo Este estudo teve por objetivo avaliar as estruturas de interligações pelos membros do conselho de administração (CA) com expertise política e financeira de empresas listadas na B3. A amostra foi composta por 2.474 observações no período de 2010 a 2015. Por meio da Teoria da Agência, sugere-se que o board interlocking (BI) pela expertise financeira pode auxiliar o monitoramento corporativo e servir como mitigador dos conflitos da agência. Por outro lado, o BI pela expertise política pode maximizar o comportamento oportunista. Na visão da Teoria da Dependência de Recursos, o BI pela expertise financeira pode auxiliar as empresas na captação de recursos financeiros, enquanto o BI pela expertise política pode maximizar os resultados mediante contratos mais lucrativos e vantagens oferecidas pelos políticos. Conclui-se que a sistematização do BI pelos diferentes tipos de expertise pode ser utilizada em futuras pesquisas para explicar as estratégias, as decisões e os fenômenos corporativos, bem como para avaliar as causas e os efeitos de tais estruturas na gestão das organizações.

Determinantes da estrutura de um conselho de administração

Este artigo analisa as características empresariais que influenciam o número de membros do conselho de administração (CA), sua independência e a dualidade do diretor executivo (chief executive offi cer [CEO]). A amostra do estudo consiste em 162 empresas financeiras e não financeiras listadas na B3 no período entre 2010 e 2014. Observou-se que empresas maiores, menos endividadas e com perspectiva de crescimento apresentam um conselho formado por mais membros. Holdings, empresas mais antigas, menos lucrativas e com seu CEO compondo o conselho apresentavam menos membros independentes. Empresas mais endividadas, com seu CEO compondo o conselho e com conselhos maiores apresentaram mais membros externos. Por fi m, empresas menores, mais lucrativas e com menos oportunidades de crescimento tinham seu CEO também ocupando o cargo de presidente do CA (chairman).

ABRA-TE, SÉSAMO! O setor financeiro brasileiro de portas abertas à inovação

O objetivo deste artigo é identificar as atuais estratégias de inovação em organizações de capital aberto do setor financeiro brasileiro, buscando descrever e discutir quais são as principais estratégias observadas à luz das teorias de inovação. Para tanto, foram selecionadas 6 organizações, sendo 3 bancos e 3 companhias do ramo de seguridade e efetuada pesquisa documental em informações divulgadas publicamente no período de 2016 a 2017. Trata-se de uma pesquisa exploratório-descritiva, de abordagem qualitativa, realizada por meio de estudo de múltiplos casos. A coleta de dados ocorreu por meio pesquisa documental, sendo a análise de conteúdo a técnica utilizada para tratamento e discussão dos dados obtidos. Identificou-se, dentre as diversas tipologias de estratégias de inovação, que as organizações lócus do estudo estão abertas à inovação, adotando a inovação como uma diretriz estratégica para alcançar seus objetivos. O estudo traz como contribuição a identificação da adoção da inovação aberta pelas organizações do setor financeiro brasileiro para fazer frente aos desafios de atuação em um setor altamente competitivo.

The relationship between oil prices and the Brazilian stock market

Crude oil remains a very important product not only because of its regular use, but also because it is a very important financial asset, influencing the economy as a whole. In this paper, we assess how WTI oil price shocks are related with the Brazilian economy as a whole, but also with each of the listed companies in Ibovespa, searching for the relationships with different economic activities. Based on the Detrended Cross-Correlation Analysis correlation coefficient, which allows us to analyse the impacts for different time scales, we conclude unsurprisingly that the most affected sectors are those most related with the use of oil. However, another important result is the significant correlation between oil price shocks and the returns of the financial sector, showing this particular sector’s exposure to oil, i.e., this is one of the sectors most correlated with oil returns. This is relevant not only for investors but also for authorities, because possible future oil shocks could have a high impact on the Brazilian financial sector

Attention and Biases: Evidence from Tax-Inattentive Investors

We first provide evidence of investor inattention to a very simple and well-known capital-gains tax exemption in the Brazilian stock market. We then show that tax-inattentive investors exhibit stronger behavioral biases and worse trading performance, even after controlling for several investor-level characteristics. The evidence is consistent with inattention being a common source of behavioral biases.

Does corporate governance matter for stock returns volatility in the Brazilian context?

PurposeThis paper aims to examine the Brazilian stock market behavior and volatility term structure of two portfolios that, theoretically, the companies that comprise them have different degrees of idiosyncratic risk: one portfolio consists of firms with good corporate governance and the other comprises firms with poor corporate governance.Design/methodology/approachThe sample comprises corporate firms listed in the Brazilian stock market during the period from January 2008 to December 2017. Generalized autoregressive conditional heteroskedasticity models were applied.FindingsThe results show that the portfolio of firms with good corporate governance practices presents fluctuations that are more often temporary and reactive, with trends’ persistence of shorter durations, when considering the punctual volatility of the parameters estimated. This opposed expectation that the portfolio comprised of companies with good governance practices are better protected from short-term movements. However, over time and with standard error measures in consideration, both portfolios’ volatilities behave in similar ways. These findings may be related to Brazilian market characteristics, such as ownership concentration, ineffective corporate boards and the ever-developing nature of the stock market in Brazil. Any one of these characteristics present challenges to effective enforcement of the corporate governance practices in the Brazilian context.Originality/valueThe findings are potentially to the interest of researchers and practitioners for several reasons. First, this paper contributes to the growing literature on the relationship between corporate governance and market volatility. Second, it informs that volatility in the Brazilian context is likely only partially, if at all, influenced by corporate governance practices. Third, longitudinally, both indices follow the same pattern and converge to the same place.

Comparison of VaR Models to the Brazilian Stock Market Under the Hypothesis of Serial Independence in Higher Orders: Are Garch Models Really Indispensable?

Our objective in this article was to verify which models for the Value at Risk (VaR), among those that do not consider conditional volatility (Extreme Values Theory and the traditional Historical Simulation), and those that do consider it (GARCH and IGARCH), are adequate for the main index of the Brazilian stock market, the IBOVESPA. For this purpose, backtesting of adherence and the independence of first and higher orders were implemented for the four models mentioned, over forecast horizons of 1 and 10 days. The contribution is based on a the more rigorous criteria than those used in the literature for validating VaR models, as we performed backtesting for violation independence of higher orders on forecast horizons of 10 days. The results show that only GARCH family models were adequate. Thus, it is recommended to entities of the National Financial System that keep relevant positions in the Brazilian stock market, the utilization of internal risk models based on conditional volatility, in order to minimize the occurrence of violation clusters.

Analyzing the Brazilian Financial Market through Portuguese Sentiment Analysis in Social Media

ABSTRACTAccording to the Efficient Market Hypothesis, financial market movements are dependent on news and external events that have a significant impact on the market value of companies. Thus, a great amount of applications has arisen to explore this knowledge through automatic sentiment and opinion extraction. The technique known as Sentiment Analysis (SA) aims to analyze opinions, sentiments, and emotions present in unstructured data, leading many papers to address the impact of news and social media publications on the financial market. However, the literature lacks works considering the effects of sentiment available on social media and its impacts on the Brazilian stock market. This work aims to conduct a study of the Brazilian stock market movement through SA in Twitter considering tree perspectives: (i) absolute number of tweet sentiments; (ii) tweets sentiments weighted by favorites; and (iii) tweets sentiments weighted by retweets. The analyzed period was the Brazilian electoral period of 2018 (01-Oct-2018 to 31-Dec-2018). In this paper, we first developed a comparison study with SA Machine Learning techniques (Naive Bayes, Support Vector Machines, Maximum Entropy, and Multilayer Perceptron) and then applied the best algorithm to establish the relations between sentiments and the Brazilian stock market movement considering different time frames (windows sizes). Results indicate that Multilayer Perceptron was the best technique to perform SA in Portuguese. In addition, we observed that the predominant sentiment in social media relates to the stock market movement, improving accuracy as long as windows sizes are increased.

Portfolio theory, information theory and Tsallis statistics

We developed a strategic of optimal portfolio based on information theory and Tsallis statistics. The growth rate of a stock market is defined by using q-deformed functions and we find that the wealth after n days with the optimal portfolio is given by a q-exponential function. In this context, the asymptotic optimality is investigated on causal portfolios, showing advantages of the optimal portfolio over an arbitrary choice of causal portfolios. Finally, we apply the formulation in a small number of stocks in brazilian stock market [B]3 and analyzed the results.

Efeitos do pregão eletrônico sobre a eficiência e a volatilidade condicional no mercado de ações brasileiro

A automatização das Bolsas de Valores consiste em uma das principais reestruturações realizadas nos mercados de capitais globais nas últimas décadas, caracterizada pela substituição de sistemas viva voz de pregão por sistemas eletrônicos. Este artigo avalia os efeitos da automatização da B3, que passou a adotar um sistema totalmente eletrônico de pregão a partir de outubro de 2005, sobre a eficiência e sobre a volatilidade condicional dos retornos do IBOVESPA, o principal índice do mercado acionário brasileiro. A análise empírica indicou a rejeição da hipótese de passeio aleatório para os períodos anterior e posterior da adoção do sistema eletrônico de pregão na B3, assim como a presença de regimes distintos de volatilidade. Após a automatização da Bolsa, verificou-se um aumento na dependência linear dos retornos do IBOVESPA, o que sugere um efeito negativo sobre a eficiência informacional do mercado de ações brasileiro. Por outro lado, nesse mesmo período, é evidenciada uma redução na persistência de longo prazo da volatilidade condicional em resposta a choques nos retornos.

The behavior of Brazilian companies shares return under social responsibility

Several scientific studies seek to establish a relationship between the adoption of corporate social responsibility practices and financial and/or economic performance of companies. There are no definitive answers to this question. Compared performance of ISE – Índice de Sustentabilidade Empresarial (Index of Corporate Sustainability) and Ibovespa index, both from Brazilian stock market, is often used to characterize the influence of good business practices in this area. This work investigated this question in an innovative prism. Instead of using directly that index returns series, we constructed a portfolio composed only of companies that remained in ISE portfolio over the five years from 2012 to 2016, and compared their performance with a portfolio of an equal number of companies, taken among the most liquid ones that continuously participated in the Ibovespa portfolio in same period. For this purpose, we used Mann-Whitney averages comparison test, return series stationarity tests – Augumented Dickey-Fuller and Phillips-Perron - and Engle-Granger cointegration test. The results showed higher average returns for portfolio of socially responsible companies, indicating a growth of their returns compared to portfolio of conventional companies, and showed, however, a tendency to balance in long term run.

An Analysis of Stock Return Transmission in North and Latin America

This study empirically examines the return transmission effects between the four North and Latin American stock markets in the US, Canada, Brazil, and Mexico. More specifically, applying a standard vector autoregression (VAR) model, we obtain the following interesting findings. First, (1) the return transmission effects between the four North and Latin American stock markets became much tighter in our second subsample period. Second, (2) in particular, US and Mexican stock markets are strong return transmitters in the recent period. Furthermore, (3) both in our first and second subsample periods, Brazilian stock returns do not transmit to the other three stock returns, although the other three North and Latin American stock markets affect the Brazilian stock market.

Shareholding Interest in Companies Listed on B3 in 2018: A Study of Networks

ABSTRACT The shareholding structure of large companies interferes with market competition, as well as the financial stability thereof. Some international studies have analyzed the control network of companies in their corresponding countries, others have broadened such vision to transnational companies, conducting a world level analysis, with both aiming to describe the willingness of the main shareholders regarding the network structure. Thus, the challenge herein is to elaborate and analyze the network of shareholding in companies listed on B3 in 2018. This paper will be descriptive research that uses Network Analysis of data obtained from Economatica software. As a result, we find a network with a giant component comprised of 726 players and a shareholders’ network of low density, high modularity and with main players of high influence. The results contribute to understanding the current structure of the Brazilian stock market share and are expected to encourage new researches on the Brazilian financial market.

Foreign investors? The effects of the property structure and legal system as mechanisms of corporate governance in Brazilian regulated companies

PurposeThis paper aims to contribute to research on corporate governance in regulated sectors, with emphasis in the field of activity of foreign investors through the ownership structure and legal system that regulates companies in Brazil.Design/methodology/approachIn the first moment, the investigation had a quantitative approach of relational nature. Based on the data about the valuation of actions, statistical methods were applied to a secondary database containing measurable information provided by the organizations that operate the Brazilian stock-market and documentary evidence provided by the companies. In the second moment, a qualitative approach was adopted, resorting on the use of semi-structured interviews with investors and agents of the sector.FindingsThe results lead to two paths: presenting the perspective that foreign investors play a key role in improving governance practices because foreign ownership mitigates agency problems, provides adequate follow-up and optimizes the use of corporate resources; and evidencing the existence of a mitigation of operational risks in the face of the various obligations imposed by the concession contract with the regulatory agency, without direct interference under the ownership structure of regulated companies.Research limitations/implicationsThe literature portrays a distinct economic scenario in Brazil, where stock control is pulverized and mechanisms of corporate governance and scope of action of investors and regulated sectors are well-defined and implemented.Practical implicationsA great part of the studies from this field discusses the same object: the impact of the adoption of corporate governance mechanisms on selected efficiency indicators or on the value of the companies' actions. This investigation, on the other hand, targeted a differentiated approach so that its contribution would lie in the investigation under the influence of the regulation on the legal attributions and the performance of the investors how many conflicts between the other shareholder/regulatory body, as the control measures import by the regulatory agent the concessionaires of the Brazilian highways and transportation sector.Social implicationsThe identification of the presence of foreign investors as a determinant for: better performance of companies in Brazilian regulated sector in terms of market valuation; better mitigation of requirements with the regulatory framework for the agencies that regulate the concession sector, targeting a reduction in the asymmetry of information and transparency among all stakeholders.Originality/valueThe fact that Brazil is an emerging country that lacks a rigid legal system and corruption-control measures in corporate environments and public sectors, stresses the importance of the application of the “Best Codes of Corporate Governance Practices” in the main developed countries. This also stresses the need for effective supervisory bodies that contribute to a better financial performance of companies, guaranteeing investors the legal system.