Painéis não estacionários e previsibilidade ao nível da empresa na presença de quebras estruturais e dependência nas seções transversais

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dc.contributor.advisorBasso, Leonardo Fernando Cruzpt_BR
dc.contributor.advisor1Latteshttp://lattes.cnpq.br/1866154361601651por
dc.contributor.authorRivera, Edward Bernard Bastiaan de Rivera Ypt_BR
dc.creator.Latteshttp://lattes.cnpq.br/9120903899286806por
dc.date.accessioned2016-03-15T19:31:02Z
dc.date.accessioned2020-05-28T18:02:46Z
dc.date.available2014-05-19pt_BR
dc.date.available2020-05-28T18:02:46Z
dc.date.issued2014-04-09pt_BR
dc.description.abstractThe contribution of this thesis is the application of a new perspective in the assessment of the rational expectations model at the enterprise level, conducted in Nasseh and Straus (2004), Goddard, McMillan and Wilson (2008) and Rivera Rivera, Martin, Marçal and Basso (2012). These works investigate micro efficiency hypothesis in the sense presented in Jung and Shiller (2005) and adopt the restrictive hypotheses of independence in the error terms of the sample companies, as well as the absence of structural breaks. Common movements in stock prices characterize the systematic risk from unobserved common factors and structural breaks, such as financial crises, induce shifts in the relationship between prices and fundamentals. The objective of this investigation is the analysis of the rational expectations model at the enterprise level with constant and time-varying returns under the presence of multiple structural breaks and cross-sectional dependence. Recent econometric procedures of panel unit root and cointegration that contain properties of structural breaks and dependences are applied to Sao Paulo Stock Exchange (Bovespa) and S&P100 companies quarterly data covering the period of 1994-2012. Considering a multifactor error structure, results indicate a failure in the rejection of a unit root in (log) prices and (log) dividends. Panel cointegration analysis allowing structural breaks and cross-sectional dependence controlling to the presence of bubbles indicate that established procedures might not detect present structural breaks or generate oscilating statistics in size and power depending on the panel dimensions. A computational extention is developed allowing for enterprise-level structural breaks and cross-sectional dependence through bootstrap techniques. Results fail to reject the rational expectations model at the enterprise level and are consistent with the statistical significance and break dates detected in time-series cointegration routines. Evidences favor rationality and unforecastability of returns, where investors cannot profit consistently through speculation and active portfolio management.eng
dc.description.sponsorshipCoordenação de Aperfeiçoamento de Pessoal de Nível Superiorpt_BR
dc.formatapplication/pdfpor
dc.identifier.citationRIVERA, Edward Bernard Bastiaan de Rivera Y. Painéis não estacionários e previsibilidade ao nível da empresa na presença de quebras estruturais e dependência nas seções transversais. 2014. 221 f. Tese (Doutorado em Administração) - Universidade Presbiteriana Mackenzie, São Paulo, 2014.por
dc.identifier.urihttp://dspace.mackenzie.br/handle/10899/23218
dc.languageporpor
dc.publisherUniversidade Presbiteriana Mackenziepor
dc.rightsAcesso Abertopor
dc.subjectmodelo de expectativas racionaispor
dc.subjectpainéis não estacionáriospor
dc.subjectquebras estruturaispor
dc.subjectdependência nas seções transversaispor
dc.subjectrational expectations modeleng
dc.subjectnonstationary panelseng
dc.subjectstructural breakseng
dc.subjectcrosssectional dependenceeng
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESASpor
dc.thumbnail.urlhttp://tede.mackenzie.br/jspui/retrieve/3075/Edward%20Bernard%20Bastiaan%20de%20Rivera%20y%20Rivera.pdf.jpg*
dc.titlePainéis não estacionários e previsibilidade ao nível da empresa na presença de quebras estruturais e dependência nas seções transversaispor
dc.typeTesepor
local.contributor.board1Forte, Denispt_BR
local.contributor.board1Latteshttp://lattes.cnpq.br/0075062531510292por
local.contributor.board2Kayo, Eduardo Kazuopt_BR
local.contributor.board2Latteshttp://lattes.cnpq.br/6629229841222438por
local.contributor.board3Nakamura, Wilson Toshiropt_BR
local.contributor.board3Latteshttp://lattes.cnpq.br/1327686935533816por
local.contributor.board4Kimura, Herbertpt_BR
local.contributor.board4Latteshttp://lattes.cnpq.br/2048706172366367por
local.publisher.countryBRpor
local.publisher.departmentAdministraçãopor
local.publisher.initialsUPMpor
local.publisher.programAdministração de Empresaspor
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Administração de Empresas - Teses - CCSA Higienópolis