Fórmula de valoração racional (RVF) e variabilidade no tempo das taxas de retorno de ativos no Brasil

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dc.contributor.advisorMarçal, Emerson Fernandespt_BR
dc.contributor.advisor1Latteshttp://lattes.cnpq.br/2362482510747681por
dc.contributor.authorRipamonti, Alexandrept_BR
dc.creator.Latteshttp://lattes.cnpq.br/9872659204445371por
dc.date.accessioned2016-03-15T19:30:48Z
dc.date.accessioned2020-05-28T18:02:40Z
dc.date.available2012-01-23pt_BR
dc.date.available2020-05-28T18:02:40Z
dc.date.issued2011-08-22pt_BR
dc.description.abstractRational valuation formula and time varying cointegration are the main thesis´ concepts, under the Muth´s (MUTH, 1961) rational expectations and theory of price movements as underlying theory, and also testing the null of time invariant error correction mechanisms and another one of inequality of fundamental value and share´s price. The data were obtained from Brazilian listed companies for 1986 to 2010 and also from 1871 to 2010 US stock market. The Johansen´s maximum likelihood and trace models, combined to Chebyshev time polynomials, as proposed by Bierens and Martins (2010) were used in order to test the null. The finds have shown first null rejection and no rejection for the second null. These finds are consistent to Bierens e Martins (BIERENS e MARTINS, 2010) and non-consistent with Muth (MUTH, 1961)eng
dc.description.sponsorshipFundo Mackenzie de Pesquisapt_BR
dc.formatapplication/pdfpor
dc.identifier.urihttp://dspace.mackenzie.br/handle/10899/23184
dc.languageporpor
dc.publisherUniversidade Presbiteriana Mackenziepor
dc.rightsAcesso Abertopor
dc.subjectexpectativas racionaispor
dc.subjectcointegraçãopor
dc.subjectchebyshevpor
dc.subjectRVFpor
dc.subjectTV VECMpor
dc.subjectrational expectationeng
dc.subjectcointegrationeng
dc.subjectchebysheveng
dc.subjectRVFeng
dc.subjectTV VECMeng
dc.subject.cnpqCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOpor
dc.thumbnail.urlhttp://tede.mackenzie.br/jspui/retrieve/3005/Alexandre%20Ripamonti.pdf.jpg*
dc.titleFórmula de valoração racional (RVF) e variabilidade no tempo das taxas de retorno de ativos no Brasilpor
dc.typeTesepor
local.contributor.board1Basso, Leonardo Fernando Cruzpt_BR
local.contributor.board1Latteshttp://lattes.cnpq.br/1866154361601651por
local.contributor.board2Martin, Diógenes Manoel Leivapt_BR
local.contributor.board2Latteshttp://lattes.cnpq.br/5645659189161082por
local.contributor.board3Nishijima, Marisleipt_BR
local.contributor.board3Latteshttp://lattes.cnpq.br/5620359266790501por
local.contributor.board4Postali, Fernando Antonio Slaibept_BR
local.contributor.board4Latteshttp://lattes.cnpq.br/2233085582103202por
local.publisher.countryBRpor
local.publisher.departmentAdministraçãopor
local.publisher.initialsUPMpor
local.publisher.programAdministração de Empresaspor
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Administração de Empresas - Teses - CCSA Higienópolis