Análise do modelo de valor presente entre preços das ações e dividendos para o mercado financeiro no Brasil: evidência baseada nos dados em painel dinâmico

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dc.contributor.advisorMartin, Diógenes Manoel Leivapt_BR
dc.contributor.advisor1Latteshttp://lattes.cnpq.br/5645659189161082por
dc.contributor.authorAlmeida, Patrícia Marília Ricomini ept_BR
dc.creator.Latteshttp://lattes.cnpq.br/4541911526212047por
dc.date.accessioned2016-03-15T19:31:20Z
dc.date.accessioned2020-05-28T18:02:54Z
dc.date.available2011-01-26pt_BR
dc.date.available2020-05-28T18:02:54Z
dc.date.issued2010-03-08pt_BR
dc.description.abstractThe concept of efficient market hypothesis has been the focus of finances for a long time, with the development of powerful theoretical reasons to explain why the hypothesis should remain. Since the beginning of 1930, the first papers about the analysis of securities were in evidence, it s been emerging the idea that the fundamental value of any security should be equal to the discounted cash flow from it and prices would vary around their fundamental values. Despite of security s present value beeing the best indicator to reflect their true value, this model covers expectations about future income, discount rate and people s racionality, becoming dificult the aplication of this model uses. As consequence, Campbell e Shiller (1987) developed the cointegration model, a powerful framewoork for testing expectations and racionality in financial markets. In this context, the literature about panel with unit roots and cointegration have been extended in a fast way. In part, this is happening due to the complex nature of interactions and dependences that, generally, ocurrs during the time and between individual units in the panel. The major recent concern of econometric literature, related to the cointegration tests and the unit roots of the dynamic panels, has been the development of tests that control the cross sectional dependence. In such case, an econometric model was adopted based on the application of the unit roots and the cointegration tests in panel, with the firm beeing the unit of analysis. To deal with the serial correlation, problems of nonstationary series as well as problems of small sample, recent techniques were applied in this study: panel dynamic OLS (DOLS) and fully modified OLS (FMOLS). Nine stocks, that compose the São Paulo Stock Exchange Index, have been analyzed throughout the period between 1994 and 2008. Summarizing, in spite of some conflicting results, it s possible to prove that there is a cointegration process between the prices of equities traded at BM&FBOVESPA and the dividends. The results obtained in this study allow the partial validation of the present value model at the firm level. However, the prices seemed not to reflect the expectation of dividends for the brazillian market. Therein, the prices of equities are over valued in relation to the payment of the dividends. Future researchs about the present value model for the brazillian market should be done.eng
dc.description.sponsorshipFundo Mackenzie de Pesquisapt_BR
dc.formatapplication/pdfpor
dc.identifier.urihttp://dspace.mackenzie.br/handle/10899/23261
dc.languageporpor
dc.publisherUniversidade Presbiteriana Mackenziepor
dc.rightsAcesso Abertopor
dc.subjecteficiência de mercadopor
dc.subjectmodelo de valor presentepor
dc.subjecttestes de cointegração em painéis dinâmicospor
dc.subjectefficient marketeng
dc.subjectpresent value modeleng
dc.subjecttests of cointegration in dynamic panelseng
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOpor
dc.thumbnail.urlhttp://tede.mackenzie.br/jspui/retrieve/3123/Patricia%20Marilia%20Ricomini%20e%20Almeida.pdf.jpg*
dc.titleAnálise do modelo de valor presente entre preços das ações e dividendos para o mercado financeiro no Brasil: evidência baseada nos dados em painel dinâmicopor
dc.typeTesepor
local.contributor.board1Marçal, Emerson Fernandespt_BR
local.contributor.board1Latteshttp://lattes.cnpq.br/2362482510747681por
local.contributor.board2Basso, Leonardo Fernando Cruzpt_BR
local.contributor.board2Latteshttp://lattes.cnpq.br/1866154361601651por
local.contributor.board3Silva, Dirceu dapt_BR
local.contributor.board3Latteshttp://lattes.cnpq.br/9583759917108842por
local.contributor.board4Ribeiro, Kárem Cristina de Sousapt_BR
local.contributor.board4Latteshttp://lattes.cnpq.br/4700574397199469por
local.publisher.countryBRpor
local.publisher.departmentAdministraçãopor
local.publisher.initialsUPMpor
local.publisher.programAdministração de Empresaspor
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