Resumo
Este artigo avalia o impacto do anúncio de incorporações no valor de mercado de empresas brasileiras adquirentes com base em 31 transações que ocorreram entre 2004 e 2019 e nas quais o valor de mercado da companhia adquirida era pelo menos 10% do valor de mercado da empresa adquirente. As estimativas do modelo BEKK, que estende o modelo de mercado para incorporar betas com variação temporal e clusters de volatilidade, sugerem que os retornos anormais auferidos pelos acionistas das adquirentes em uma janela de 15 dias em torno do anúncio da fusão são estatística e economicamente significativos, no valor de 5.3584%. Indicadores financeiros e contábeis dos adquirentes antes e depois da fusão não eliminam a possibilidade de que esses retornos de curto prazo reflitam uma avaliação errônea dos participantes do mercado do valor criado pelas fusões.
Palavras-chave:
Anúncio de incorporação; Estudo de evento; Retornos anormais; Modelo BEKK
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This figure exhibits the evolution of cumulative average daily returns of 31 acquiring firms in 2004-2019 and of the Ibovespa cumulative average daily return over a 21-day window around the merger announcement. The cumulative return on the i-th acquiring company and the corresponding cumulative return on the Ibovespa between days -10 and τ2 are calculated, respectively, as and as , where and denote the corresponding continuously compounded daily return of the i-th acquirer and of the benchmark at time t, as defined in Section 4. The cumulative average daily returns on acquirers and on the Ibovespa depicted in the figure are simple arithmetic averages of these individual cumulative returns over i.
This figure shows the evolution of Itaú’s beta estimate from the asymmetric BEKK model with Student-t errors over the period from October 27, 2003 to October 22, 2008 based on a sample of 1,237 observations preceding the 15-day event window centered on the announcement of the merger on November 3, 2008. The time-varying beta is calculated as the ratio of and , where and denote, respectively, the estimated conditional covariance of the errors in the bivariate model of Itaú and Ibovespa returns and the model estimated conditional variance of the errors of the Ibovespa return.
This figure exhibits the evolution of the cumulative average abnormal daily return of the 31 acquiring firms in the sample over a 15-day window around the merger announcement. The abnormal compounded daily return for the i-th acquirer at any time t over the event window is computed as , where and denote, respectively, the observed and the predicted returns of the i-th acquirer at time t. is estimated using the formula . The cumulative abnormal return for the i-th acquirer between times τ1 = -7 and τ2 is calculated as and the average cumulative abnormal return for acquirers is simply an arithmetic average of the individual cumulative abnormal returns.