Resiliência das ações top-5 brasileiras ao longo de 13 anos de eventos político-econômicos

Souza e Silva, Suelle Cariele de; Wickboldt, Leandro Araújo; Miranda, Kléber Formiga

Acessibilidade / Reportar erro

Brasil

RAM. Revista de Administração Mackenzie

Español English

Brasil

Español English

sumário « anterior atual seguinte »

Sumário

Human and Social Management • RAM, Rev. Adm. Mackenzie 25 (5) • 2024 • https://doi.org/10.1590/1678-6971/eRAMG240075 copiar

Resiliência das ações top-5 brasileiras ao longo de 13 anos de eventos político-econômicos

Autoria SCIMAGO INSTITUTIONS RANKINGS

RESUMO

Objetivo:

Este artigo visa analisar como os eventos político-econômicos afetaram o mercado de capitais brasileiro ao longo de 13 anos, avaliando os retornos anormais das cinco ações mais líquidas (Top-5).

Originalidade/valor:

Este estudo avança sobre pesquisas anteriores ao analisar vários eventos político-econômicos ocorridos ao longo de 13 anos que impactaram, em alguma medida, os preços de empresas listadas na Bolsa de Valores Brasileira. Considerando evidências favoráveis e contrárias à Hipótese de Eficiência de Mercado (HEM), esta pesquisa oferece um teste original e robusto para avaliar a eficiência de mercado, considerando diversos eventos e empresas.

Design/metodologia/abordagem:

Utilizamos a técnica de estudo de eventos para medir o impacto de cada evento nos preços das ações utilizando o dia que precede e que sucede o evento analisado. A análise do retorno anormal das empresas foi realizada por meio de estimações do modelo de precificação de ativos de capital (CAPM) com 110 observações anteriores ao evento. Os testes das hipóteses de pesquisa foram realizados por meio do teste de médias do retorno anormal em torno do evento (Janela – 1,1).

Resultados:

Verificamos que as cinco principais empresas do mercado acionário brasileiro foram eficientes na forma semiforte da HEM diante de 13 anos de eventos extremos. Seus retornos não sofreram mudanças significativas após os eventos, diferenciando-se de estudos que questionam a eficiência do mercado. Diante dos resultados encontrados, participantes do mercado não devem esperar retornos anormais diante de eventos similares.

PALAVRAS-CHAVE:
crises; eventos extremos; liquidez; eficiência de mercado; estudo de eventos

Event description	Date	Type	Source
Lehman Brothers Crash – subprime crisis	2008-09-15	bad	external
Brazil becomes a creditor of the IMF	2009-04-10	good	internal
Adoption of IFRS standards in Brazil	2010-01-04	good	internal
Denial of loan to Greece – eurozone crisis	2010-05-03	bad	external
Brazil rises to the sixth-largest world economy	2011-12-26	good	internal
New retirement regime – FUNPRESP	2013-02-04	good	internal
Commencement of the Lava Jato Operation	2014-03-17	bad	internal
Recession in Brazil – 3 negative GDP growth quarters	2014-09-01	bad	internal
Implementation of a new retirement rule – Rule 85/95	2015-06-18	good	internal
Impeachment of President Dilma Rousseff	2016-08-31	bad	internal
Government’s spending ceiling – PEC 241/2016	2016-10-10	good	internal
The leak of the conversation between Joesley Batista and Michel Temer President – Joesley Day	2017-05-18	bad	internal
Implementation of labor reform in Brazil	2017-07-13	good	internal
Declaration of Pandemic by the WHO	2020-03-11	bad	external
Election of Joe Biden as President of the US	2020-11-09	good	external
Initiation of COVID-19 vaccination in the UK	2020-12-08	good	external

Name (code)	Proportion Ibovespa (%)	Series beginning	Institutional (proportion > 5%)	Individual investors
Vale (VALE3)	16.01	1986-01-02	BlackRock Inc. (6,33%) Mitsui & Co., Ltd. (5,99%) Capital World Investors (6,69%)	510,874
Itaú Unibanco (ITUB4)	6.06	1986-01-02	GQG Partners LLC (2,59%) BlackRock.INC (3,57%)	458,530
Petrobras (PETR4)	5.94	1986-01-02	BlackRock Inc (2,01%) GQG Partners LLC (5,45%)	858,992
Bradesco (BBDC4)	3.61	1986-01-02	Cidade de Deus Cia Cial Participações (22,95%)	798,152
Ambev (ABEV3)	2.99	1986-06-03	Interbrew International BV (53,60%)	354,893
Sum	34.61			2,981,441

Period	BVSP	VALE 3	PETR4	ITUB4	BBDC4	ABEV3
2008-2020	90%	140%	-13%	246%	68%	402%
Yearly	5.07%	6.96%	-1.08%	10.01%	4.06%	13.21%

Panel A. Vale
	mean	minimum	Q1	Q2	Q3	maximum
alfa	0.0000	-0.0020	-0.0011	-0.0002	0.0013	0.0030
beta	1.2063	0.7148	0.9030	1.1790	1.4524	1.8153

Panel B. Itaú Unibanco
	mean	minimum	Q1	Q2	Q3	maximum
alfa	0.0000	-0.0010	-0.0005	-0.0001	0.0006	0.0013
beta	1.0673	0.6305	0.9927	1.0746	1.1937	1.2607

Panel C. Petrobras
	mean	minimum	Q1	Q2	Q3	maximum
alfa	-0.0002	-0.0018	-0.0013	-0.0003	0.0006	0.0023
beta	1.4137	0.5240	1.1016	1.4241	1.7853	2.0775

Panel D. Bradesco
	mean	minimum	Q1	Q2	Q3	maximum
alfa	-0.0002	-0.0017	-0.0006	0.0000	0.0005	0.0009
beta	1.0495	0.6530	0.9034	1.0197	1.2524	1.3679

Panel E. Ambev
	mean	minimum	Q1	Q2	Q3	maximum
alfa	0.0006	-0.0019	-0.0006	0.0007	0.0011	0.0038
beta	0.5212	0.2684	0.3389	0.4651	0.6375	1.0574

event	mean 11	mean 33	CAR 11	CAR 33	type	source	expec 11	expec 33
2008-09-15	0.004	0.010**	0.013	0.073	bad	external
2009-04-10	0.018**	0.005	0.054	0.037	good	internal	yes	yes
2010-01-04	0.004	0.002	0.011	0.017	good	internal	yes	yes
2010-05-03	-0.015*	-0.003	-0.045	-0.018	bad	external	yes	yes
2011-12-26	-0.001	0.000	-0.002	-0.002	good	internal
2013-02-04	-0.004	0.003	-0.013	0.021	good	internal		yes
2014-03-17	0.001	-0.003	0.002	-0.021	bad	internal		yes
2014-09-01	-0.011*	-0.011	-0.033	-0.075	bad	internal	yes	yes
2015-06-18	0.011	-0.009	0.034	-0.063	good	internal	yes
2016-08-31	-0.007	-0.009	-0.021	-0.064	bad	internal	yes	yes
2016-10-10	0.012	-0.005	0.037	-0.038	good	internal	yes
2017-05-18	0.052	0.034	0.157	0.240	bad	internal
2017-07-13	-0.012	0.000	-0.036	0.000	good	internal		yes
2020-03-11	0.057	0.046**	0.172	0.320	bad	external
2020-11-09	-0.009	-0.010	-0.027	-0.070	good	external
2020-12-08	0.002	0.002	0.007	0.016	good	external	yes	yes
Sum	3	2	–	–	16	16	8	9

event	mean 11	mean 33	CAR 11	CAR 33	type	source	expec 11	expec 33
2008-09-15	-0.005	-0.004	-0.016	-0.027	bad	external	yes	yes
2009-04-10	-0.018	-0.005	-0.053	-0.037	good	internal
2010-01-04	0.012*	0.001	0.036	0.004	good	internal	yes	yes
2010-05-03	0.007**	0.007*	0.022	0.052	bad	external
2011-12-26	-0.003	0.001	-0.009	0.007	good	internal		yes
2013-02-04	0.000	-0.001	0.001	-0.009	good	internal	yes
2014-03-17	-0.001	-0.003	-0.003	-0.022	bad	internal	yes	yes
2014-09-01	0.004*	0.003	0.011	0.018	bad	internal
2015-06-18	-0.001	0.006	-0.003	0.044	good	internal		yes
2016-08-31	0.001	0.000	0.004	0.002	bad	internal
2016-10-10	0.000	0.003	-0.001	0.019	good	internal		yes
2017-05-18	-0.009	-0.006	-0.026	-0.039	bad	internal	yes	yes
2017-07-13	-0.005	-0.004**	-0.014	-0.026	good	internal
2020-03-11	-0.019	-0.003	-0.056	-0.021	bad	external	yes	yes
2020-11-09	0.025	0.012	0.074	0.081	good	external	yes	yes
2020-12-08	0.007	0.001	0.020	0.010	good	external	yes	yes
Sum	3	2	–	–	16	16	8	10

event	mean 11	mean 33	CAR 11	CAR 33	type	source	expec 11	expec 33
2008-09-15	0.013	0.020	0.039	0.139	bad	external
2009-04-10	0.000	-0.007	-0.001	-0.050	good	internal
2010-01-04	-0.006	-0.003	-0.018	-0.024	good	internal
2010-05-03	-0.010	-0.002	-0.029	-0.015	bad	external	yes	yes
2011-12-26	-0.001	-0.004	-0.003	-0.026	good	internal
2013-02-04	0.004	-0.005	0.012	-0.035	good	internal	yes
2014-03-17	-0.009	0.003	-0.026	0.019	bad	internal	yes
2014-09-01	0.006	0.001	0.017	0.007	bad	internal
2015-06-18	-0.008	-0.005	-0.024	-0.032	good	internal
2016-08-31	0.005	0.003	0.016	0.023	bad	internal
2016-10-10	0.001	0.008*	0.002	0.059	good	internal	yes	yes
2017-05-18	0.003	0.002	0.009	0.011	bad	internal
2017-07-13	0.007	0.002	0.021	0.013	good	internal	yes	yes
2020-03-11	0.021	0.004	0.062	0.031	bad	external
2020-11-09	0.035	0.006	0.104	0.042	good	external	yes	yes
2020-12-08	-0.003	0.003	-0.010	0.020	good	external		yes
Sum	0	1	–	–	16	16	6	5

event	mean 11	mean 33	CAR 11	CAR 33	type	source	expec 11	expec 33
2008-09-15	-0.012	-0.007	-0.036	-0.046	bad	external	yes	yes
2009-04-10	-0.006	0.001	-0.019	0.007	good	internal		yes
2010-01-04	0.002	-0.001	0.007	-0.005	good	internal	yes
2010-05-03	0.015	0.007	0.044	0.051	bad	external
2011-12-26	-0.004*	0.000	-0.013	-0.003	good	internal
2013-02-04	-0.006	-0.001	-0.019	-0.007	good	internal
2014-03-17	0.002	0.002	0.006	0.011	bad	internal
2014-09-01	0.001	0.002	0.004	0.011	bad	internal
2015-06-18	0.000	0.005	0.000	0.038	good	internal		yes
2016-08-31	-0.001	0.001	-0.004	0.009	bad	internal	yes
2016-10-10	0.001	-0.003	0.003	-0.022	good	internal	yes
2017-05-18	-0.014	-0.010*	-0.043	-0.073	bad	internal	yes	yes
2017-07-13	0.001	0.001	0.003	0.006	good	internal	yes	yes
2020-03-11	-0.028***	-0.006	-0.083	-0.041	bad	external	yes	yes
2020-11-09	0.036	0.007	0.107	0.049	good	external	yes	yes
2020-12-08	0.003	-0.002	0.008	-0.013	good	external	yes
Sum	2	1	–	–	16	16	9	7

event	mean 11	mean 33	CAR 11	CAR 33	type	source	expec 11	expec 33
2008-09-15	-0.010	0.002	-0.030	0.014	bad	external	yes
2009-04-10	0.013	-0.006	0.038	-0.042	good	internal	yes
2010-01-04	0.000	0.005	0.001	0.032	good	internal	yes	yes
2010-05-03	0.009	0.006	0.028	0.039	bad	external
2011-12-26	0.000	-0.002	0.001	-0.014	good	internal	yes
2013-02-04	-0.003	-0.003	-0.009	-0.024	good	internal
2014-03-17	0.000	-0.004	-0.001	-0.026	bad	internal	yes	yes
2014-09-01	-0.011	-0.002	-0.032	-0.013	bad	internal	yes	yes
2015-06-18	0.001	0.000	0.004	0.000	good	internal	yes	yes
2016-08-31	0.008	0.003	0.024	0.021	bad	internal
2016-10-10	-0.004	-0.002	-0.012	-0.014	good	internal
2017-05-18	-0.005	0.000	-0.015	-0.002	bad	internal	yes	yes
2017-07-13	-0.001	0.001	-0.003	0.009	good	internal		yes
2020-03-11	-0.055	-0.025	-0.164	-0.172	bad	external	yes	yes
2020-11-09	0.032	0.012	0.097	0.082	good	external	yes	yes
2020-12-08	0.015*	0.002	0.046	0.013	good	external	yes	yes
Sum	1	0	–	–	16	16	11	9

Events (n)	mean 11	mean 33	CAR11	CAR33
Bad (35)	-0.029%	0.171%	-0.087%	1.196%
Good (45)	0.324%*	0.024%	0.972%*	0.166%

Editora Mackenzie; Universidade Presbiteriana Mackenzie Rua da Consolação, 896, Edifício Rev. Modesto Carvalhosa, Térreo - Coordenação da RAM, Consolação - São Paulo - SP - Brasil - cep 01302-907 - São Paulo - SP - Brazil
E-mail: revista.adm@mackenzie.br

Acompanhe os números deste periódico no seu leitor de RSS

[1] Correspondence concerning this article should be addressed to Suelle Cariele de Souza e Silva, Federal University of Paraíba, Campus I, Center for Applied Social Sciences, Administration’s Department, Castelo Branco, João Pessoa, Paraíba, Brazil, ZIP code 58051-900. Email: su.silva.prof@gmail.com