Dependent Variable |
Share Efficiency (SEF) |
Measure of Efficiency and predictability of the stock market share that varies between -0.5 and + 0.5 (Tzouras et al., 2015Tzouras, S., Anagnostopoulos, C., & McCoy, E. (2015). Financial time series modeling using the Hurst exponent. Physica A: Statistical Mechanics and its Applications, 425, 50-68. https://doi.org/10.1016/j.physa.2015.01.031 https://doi.org/10.1016/j.physa.2015.01....
). |
Historical Data of Securities Traded in B3 (https://economatica.com/) |
Independent Variables |
Economic Policy Uncertainty (EPU) |
Frequency of information regarding the economic uncertainty of policies (Baker et al., 2016Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The quarterly journal of economics, 131(4), 1593-1636. https://doi.org/10.1093/qje/qjw024 https://doi.org/10.1093/qje/qjw024...
). |
Annual Average of Monthly Historical Data of Brazil (https://policyuncertainty.com) |
Leverage (LEV) |
Index that represents the relationship between Equity and Total Assets (PL/AT). |
Accounting Variables Data (https://economatica.com/) |
Profitability (PROF) |
Index that represents the relationship between Net Profit and Net Revenue (LL/RL). |
Accounting Variables Data (https://economatica.com/) |
Rentability (RENT) |
Index that represents the relationship between Net Income and Total Assets (RL/AT). |
Accounting Variables Data (https://economatica.com/) |
Current Liquidity (CL) |
Index that represents the relationship between Current Assets and Current Liabilities (AC/PC). |
Accounting Variables Data (https://economatica.com/) |
Gross Domestic Product per capita (GDP) |
Represents the average GDP growth of Brazil in the study periods (Santos, 2018Santos, M. A. D. (2018). Hipótese de Mercados Adaptativos e Fatores Econômico-Institucionais: Uma Abordagem Multinível (Doctoral Dissertation). Universidade de São Paulo). https://teses.usp.br/teses/disponiveis/12/12136/tde-10072018-170405/publico/originalmarco.pdf https://teses.usp.br/teses/disponiveis/1...
). |
IBGE data (https://www.ibge.gov.br/explica/pib.php) |
Basic Interest Rate (SELIC) |
It represents the Brazilian economy's basic interest rate and is the primary monetary policy instrument used by the Central Bank to control inflation (BACEN, 2019BACEN - Banco Central do Brasil. (2019). Taxa Selic. Brasília. Recuperado de: https://www.bcb.gov.br/controleinflacao/taxaselic https://www.bcb.gov.br/controleinflacao/...
). |
BACEN data (https://www.bcb.gov.br/controleinflacao/historicotaxasjuros) |
Control Variables |
Size (SZ) |
Logarithm of Total Assets of Companies. |
Accounting Variables Data (https://economatica.com/) |
Stock Liquidity (SL) |
Liquidity of shares traded in volume at B3. |
Stock Data (https://economatica.com/) |
Sectors (IG, COM, CC, NCC, BM, OG, HEA, TEC, PU) |
Dummy receives 1 if the company belongs to one of the mentioned sectors: Industrial Goods, Communications, Cyclic Consumption, Non-cyclic Consumption, Basic Materials, Oil and Gas, Health, Technology, and Public Utilities; and 0 otherwise. |
Platform Data (https://economatica.com/) |