Notre travail s’inscrivant dans le cadre de la psychologie de la santé s’intéresse aux effets de l’annonce d’un diagnostic de trouble démentiel sur la qualité de vie de la personne âgée, au sein d’un service de consultation mémoire à Bourg-en-Bresse (France). Nous posons le postulat que la manière d’annoncer un diagnostic pourrait conditionner le vécu de la maladie. Notre étude traite des réactions des patients à la suite de cette annonce.Nous avons constitué plusieurs groupes de patients permettant d’étudier les effets de l’annonce selon différents critères : le niveau d’atteinte cognitive, le type d’attachement, le type d’annonce faite par le médecin, le temps de l’annonce. Ainsi, un groupe a été constitué de personnes âgées dites transversales (c’est-à-dire rencontré une fois au début, lors de leur annonce ou au cours de leur suivi médical), puis un autre groupe dit longitudinal (rencontré depuis leur annonce puis tous les 3 mois pendant presque 2 ans pour les suivis les plus longs) , et enfin un groupe contrôle , nous permettant de servir de référence afin de comprendre les réactions des patients. Afin de compléter nos données issues des précédents groupes, nous avons également rencontré les aidants de certaines personnes âgées impliquées dans le processus diagnostic afin d’étudier leur réaction face à l’annonce et enfin, avons rencontré 3 groupes de personnes gravitant autour de l’annonce (médecins généralistes, gériatres et un groupe de famille) afin d’étudier leur discours et représentations de l’annonce diagnostic.Les résultats nous montrent:- Au niveau statistique: seules les réactions des aidants sont significatives dans leur utilisation plus prononcée du coping actif : planification et dans l’utilisation de mécanisme défense mature.- D’un point de vue statistique descriptif et qualitatif, on observe que des indicateurs de processus résilients (estime de soi et qualité de vie) sont présents chez nos sujets ayant reçu un diagnostic de trouble démentiel lorsque leur déclin cognitif était mesuré au-dessus de 24/30 au MMS et que leur déclin cognitif n’est pas trop rapide. Nos sujets longitudinaux nous apprennent qu’il est important pour développer un processus résilient après une annonce diagnostique d’un trouble démentiel de pouvoir avoir :- La perception de se sentir utile pouvant être reliée en partie au regard que perçoit la personne de ‘l’autre sur son trouble démentiel.Le couple aidant patient nous apporte l’information qu’il est important d’accompagner les remaniements d’attachement qui peuvent s’effectuer à la suite de l’annonce et au cours de l’évolution de la maladie afin de sécuriser l’aidant, ce qui aidera à sécuriser le patientNotre étude conclut qu’un parcours résilient est possible malgré le trouble démentiel et peut être entravé ou favorisé par le parcours diagnostic. L’éducation thérapeutique ( ETP) qui se développe depuis quelques années dans le cadre des maladies chroniques comme le diabète et de manière plus timide et peu structurée, dans le domaine des troubles démentiels ; pourrait au regard des indicateurs de résilience identifiés dans notre étude , servir de tuteur de résilience au couple patient-aidant. L’ETP par un accompagnement multidisciplinaire, permettrait de développer une autonomie relative du patient face à sa maladie en le rendant plus acteur de son parcours et cela offrirait un cadre sécurisant pour les différents acteurs du processus diagnostic et pour l’aidant. / Our work in the field of health psychology focuses on the effects of the announcement of a diagnosis of dementia on the quality of life of the elderly in Bourg en Bresse ( France). We postulate that the manner in which announcement is made,could influence people’sexperience of the disease. Our study tries to examine the reactions of patients following this announcement.Several patient groups were developed for the study the effects of the announcement based on several criteria : cognitive impairment levels, attachment type, physician announcement style, timing of the announcement.Thus, a first group consisted of elderly people, referred to as the cross-sectional group ( that is to say, they were met once at the beginning at the time of their announcement or during their medical follow-up). A second group was the longitudinal group ( met at their announcement and then met every 3 months for almost 2 years for the longest follow-up) and the final control group, serving as a reference in order to understand the reactions of the patients.In order to complement the data from the previous groups, we also the caregivers of certain elderly people involved in the diagnostic process in order to study their reactions facing the announcement. Finally, we met with 3 groups of people also implicated in the announcement ( general practitioners, geriatricians and a family group) to study their language and impressions concerning the diagnostic announcement.The results show :- From a statistical point of vie, only the reactions of caregivers are significant in their more prevalent use of active coping : planning and in the use of mature defense mechanisms- Frome a statistical, descriptive and qualitative point of view, we observe that resilience indicators ( self-esteem and quality of life) are present in our subjects diagnosed with dementia when their cognitive decline is measured above 24/30 on the MMS and their cognitive decline is not too rapid.- Our longitudinal subjects show us that in order to be able to develop resilience after a diagnostic announcement of dementia, it is important to have :- A feeling of usefulness which can be linked, in part, to the way the person thinks other perceive his or her dementia disorder.

由於經濟發展以致公司壯大，科技發展以致資訊流通，國際化及財務學術的發展以致公司財務操作技術提昇，自由化的發展以致金融工具多樣化及商業銀行競爭加劇。因此，以往公司資金融通主要透過商業銀行等中介機構的間接金融之情況逐漸改變；而由公司直接向投資人取得資金的直接融資則日益重要。 而公司發行證券來進行直接融資時，是否能在現金增資、純粹債券或轉換公司債等證券中作適當的選擇，對於公司的存續與發展，以及投資人的財富都有十分重要的影響。 但國內融資工具選擇模型的相關研究多只侷限於現金增資與債券的比較，並未將債券區分為純粹債券及轉換公司債。此外，對於台灣地區宣告發行現金增資時股價反應較純粹債券為佳，迴異於美國純粹債券宣告效果較現金增資為佳的情形，以往國內研究亦一直缺乏理論性的解釋。 有鑑於上述原因，本研究擬利用成長價值與營運風險的觀點所建立的融資工具選擇理論模型，來探討台灣現金增資宣告股市反應較佳的可能原因。並以此一選擇模型為基礎，利用一致性的分析方法進一步對現金增資及轉換公司債這兩種融資工具的適用情況加以分析。藉由理論模式的設定與推導，提出以下三項命題：(一)當具成長價值且營運風險較低的公司，宣告發行債券時，股價會有正面的反應；(二)當具成長價值且營運風險較高的公司，宣告發行權益證券時，股價會有正面的反應；(三)具有成長價值的公司，若宣告發行轉換公司債來融資，會放射出其未來成長價值較高及營運風險較小的訊息，所以股價會有正面的反應。 本研究在實證研究方面，對由三項命題所發展出來的三項研究假說加以驗證。以民國82年至民國89年間上市公司首次發行現金增資、純粹債券或轉換公司債的融資宣告事件為研究對象。實證結果多與三項假說的預期相符合，只是有些結果未達統計的顯著水準；顯示營運風險與成長價值應是上市公司融資選擇決策時所需考量的重要因素，而且，這兩個因素也會影響到投資人對融資宣告的反應。 根據本研究的研究結論與研究限制，除對證券主管機關提出加強查核內線交易與資金用途，以及應要求上市公司提供及時且正確的重大資訊等建議外，亦提出對上市公司及後續研究的建議。 第壹章 緒論…………………………………………….. 1 第一節 研究動機與目的………………………………… 3 第二節 研究範圍與限制………………………………… 6 第三節 論文架構………………………………………… 9 第貳章 文獻探討與個案訪談………………….....… 13 第一節 融資選擇與股價關聯性的理論文獻………..… 14 第二節 融資選擇與股價關聯性的實證文獻………..… 24 第三節 成長機會與營運風險的相關文獻…………….. 31 第四節 個案公司探討及對本研究的涵義…………..… 41 第參章 理論模式…………………………………….... 47 第一節 模式背景說明……………………………….… 49 第二節 負債融資或權益融資的選擇……………….… 54 第三節 現金增資或轉換公司債的選擇…………….… 63 第四節 台灣股市特徵與融資選擇………………….… 70 第肆章 研究設計…………………………………...… 75 第一節 實證架構與研究假說……………………….… 76 第二節 資料來源與樣本選擇……………………….… 82 第三節 研究變數操作性定義……………………….… 95 第四節 實證研究分析方法………………………….… 101 第伍章 實證結果分析……………………………..... 113 第一節 單變量分析……………………………………. 114 第二節 迴歸分析…………………………………….… 136 第三節 實證結果彙總與分析……………………….… 155 第陸章 結論與建議………………………………...… 161 第一節 結論………………………………………..…… 162 第二節 建議………………………………………….… 164 參考文獻……………………………………………..… 169 附錄一 個案訪談內容………………...…………….. 179 附錄二 繪圖表示的累積異常報酬率.……......…… 205 / Because of the developments in economics, technologies, internationalization, liberalization and financial academies, many listing firms change their way of raising capitals from indirect financing into direct financing. The popular securities the listing firms used in direct financing includes stocks, straight bonds, and convertible bonds. Which security should be the most appropriate one is a very important decision affected the future of the firm and the wealth of the investors deeply. The related domestic studies on the security choices issue have two holes. One is treating the straight bonds and convertible bonds as same securities, the other is lacking in providing theoretical explanations of the different stock price responses in Taiwan and in American on the financing announcement. In this study, we built up a theoretical model to analyze the relations between securities choices and stock price responses from the perspectives of growth values and operation risks. Three propositions were derived from the theoretical model, and in return three hypotheses were developed. After that, we use event study and regression analysis to test the hypotheses. The empirical results are same as the hypotheses anticipated, though some of them are insignificant statistically.

民國89年6月我國立法院通過公司買回本公司股份法案，庫藏股制度正式實施，本論文之主要目的在利用市場資料，探析我國上市（櫃）公司買回庫藏股之市場反應及其資訊內涵。本研究以民國89年8月至90年2月間公告買回庫藏股之公司，及依同產業及相似買回比率配對之公司組成研究樣本，首先採事件研究法探討庫藏股法令制定與修正之相關事件日市場反應，以及宣告買回庫藏股之市場反應及其影響因素，並以關聯性研究法實證宣告買回庫藏股市場反應之資訊內涵及買回目的之影響因素。 　　在市場反應議題之主要研究發現為：（1）在庫藏股立法初期、降低操作困難度及解除指撥特別盈餘公積規定等有助於庫藏股制度之推行:投資人有正面顯著之回應；（2）宣告買回樣本之股票累積異常報酬顯著高於未宣告買回之樣本；（3）維護股東權益買回目的者之股票累積異常報酬顯著高於轉讓與員工為目的者；（4）宣告買回比率愈多市場反應愈佳；及 （5）價格回升之公司其實際執行率較低。 　　在資訊內涵議題之主要實證結果顯示，我國宣告買回庫藏股之資訊本質顯著支持企業價值低估假說，公司價值被低估程度愈高，宣告買回庫藏股之市場反應愈大。至於自由現金流量假說、資本結構調整假說及剝奪債權人假說則無法解釋我國宣告買回庫藏股之資訊內涵。在買回庫藏股目的之實證結果顯示，高淨值市價比之公司偏向以維護股東權益為買回目的，而研發活動愈密集之公司傾向以轉讓與員工為買回目的。 / The enactment of Article 28-2 of the Securities and Exchange Act on June 30, 2000 allows firms listed in Taiwan Stock Exchange (TSE) and Over-The-Counter (OTC) to repurchase their owner shares under certain conditions. Based on the use of a control sample design and firms listed in TSE and OTC over the period of August 2000 to February 2001, this research examines the market reaction to various events including: (1) the enactment of the law and amendment of regulations with regard to share buyback, (2) the announcement of repurchase ratio and purpose, and (3) the disclosure of actual buyback ratio. In addition, this study tests hypotheses underlying market reaction around the announcement of share repurchases in the open market. 　　The empirical findings indicate that (1) market reacts favorably to establishment of stock repurchases system, (2) cumulative abnormal return (CAR) for the share buyback announcement sample is found to be greater than that for the control sample, (3) CAR for firms aimed at retaining the interests of equity shareholders as buyback purpose is found to be higher than that for transfer to employees as purpose, (4) the higher the announced buyback ratio, the greater the market reaction, and (5) the actual buyback ratio is less for firms with stock price recovery. 　　This study also finds undervaluation hypothesis explains the market reaction on the announcement date. With respect to the disclosure of share buyback purposes, the analysis indicates that firms with higher book-to-market ratio are more likely to announce protecting shareholders equity as the buyback purpose, whilst firms with higher demand for research & development activities are prone to announce transfer shares to their employees as the buyback purpose.

This dissertation investigates the relationship of competition and firms' price responses, by analyzing: i) whether new entry reduces price discrimination, ii) when incumbents reduce price discrimination preemptively in response to the threat of entry, and iii) how competition increases prices. The dissertation consists of three independent essays addressing each of the above questions. The first two essays present an empirical analysis of the airline industry and the third essay presents a theoretical analysis of the credit card industry. In the empirical study of the relationship between competition and firms' pricing in the airline industry, I emphasize the importance of distinguishing the equilibrium behaviors with respect to different market characteristics. Major airlines can price discriminate differently in a market where they compete with low-cost carriers comparing to in another market where they don't, and also they can respond dfferently to the threat of entry depending on whether they are certain about the rival's future entry. The study reveals that competition has a positive effect on price discrimination in the routes where major airlines compete against one anther. In these routes, competition reduces lower-end prices to a greater extent than upper-end prices. In contrast, an entry by low-cost carriers results in a significant negative relationship between competition and price discrimination. Thus, the opposite results in the literature are both evident in the airline industry, and it is very important to identify the different forces of competition on price discrimination. Firms can respond to potential competition as well as actual competition. So, I extend the study to the relationship of potential competition and price discrimination, specially in cases where major airlines compete against one another while facing Southwest's threat of entry. I also attempt to suggest major airlines' motives of reducing price discrimination preemptively. The results of the study suggest that incumbents reduce price dispersion when it is possible to deter the rival's entry and that the potential rival discourages incumbents from deterring entry by announcing before its beginning service. Finally, I examine when competition can increase prices in a market, by analyzing the issuing side of the credit card industry. This industry is characterized by a two-sided market with a platform. Under the no-surcharge rule that restricts merchants to set the same price for cash and card purchases, the equilibrium interchange fee increases with competition. This occurs because issuers can compensate losses from competing on the issuing side by collectively increasing the interchange fee. As a result, limiting competition may improve social welfare when the interchange fee is higher than the social optimal level. In contrast, in the absence of the no-surcharge rule, the analysis shows that competition always improves social welfare by lowering the price of the market.

我國庫藏股制度於民國八十九年開始實施，當上市櫃公司宣告買回庫藏股後，造成了公司資產的重分配，其股東、債權人等利害關係人會以預期心理來評估自身權益所受到的影響，並將其反應在所要求的必要報酬率上，因此公司對股東所負擔的權益資金成本及對債權人所負擔的負債資金成本都將產生變動。 當公司宣告買回庫藏股後，實證結果顯示：(1)其負債資金成本將上升，而權益資金成本將會下降。(2)預定買回股份佔資本比愈大時，其負債資金成本增加愈多。(3)買回前獲利能力之不同，並未發現其會對宣告買回公司之負債資金成本有顯著影響。(4)依目的三買回將使該公司負債資金成本增加數小於依目的一或目的二買回之負債資金成本增加數、並使權益資金成本減少數大於依目的一或目的二買回之權益資金成本減少數。(5)公司內部人持股比率於宣告前一年淨增加愈多則權益資金成本降低程度愈大。(6)資訊愈對稱的公司其權益資金成本下降的程度愈少。 / Share repurchase system was formally implemented in Taiwan in 2000 , when the TSEC & OTC listed companies announce that they will repurchase shares , it changes the composition of assets held by the firm , revising the ownership proportions of each of their shareholders and interests of each of their creditors. Thus, their cost of equity capital and debt capital may change . When companies announce to repurchase shares , results show that : (1)their cost of debt capital will increase and their cost of equity capital will decrease. (2)the more percentage of shares companies expect to repurchase , the more their cost of debt capital increase. (3)the different profitability before announcement has no significant effect to companies’ cost of debt capital. (4)repurchase in order to conserve companies’ credibility and shareholders’ equity will increase less cost of debt capital and decrease more cost of equity capital than that in order to reach other two purposes .(5) the more increase of percentage of shares companies’ insiders’ hold before announce, the more their cost of equity capital decrease. (6) the more symmetrical information companies obtain , the less their cost of equity capital decrease.

本研究探討私募宣告事件之資訊內涵，以瞭解私募宣告事件對公司整體價值所造成之影響，進而探討影響私募宣告效果的可能因素，並比較具備投資機會組與不具備投資機會組之累積平均異常報酬。 實證結果發現以股東大會日為宣告日之私募股權宣告具有資訊內涵，而且宣告效果提早反應。影響私募宣告後累積異常報酬之因素包括價格壓力、投資機會、發行價格及資訊不對稱程度。股票流動性高、股價波動程度低、具備投資機會、發行價格高或資訊不對稱程度高時，私募宣告後之累積平均異常報酬會較高。在事件日前，無投資機會組比具備投資機會組有較高之累積平均異常報酬；在事件日之後，具投資機會組比無投資機會組有較高之累積平均異常報酬。 / This study examines the information content of private placement announcement to unveil its impact on firm value, explores the factors affecting the effect of private placement announcement, and compares the market performance of firms with investment opportunities and those without investment opportunities. The results indicate that the information content of private placement announcement exists with early information leakage. Firms with higher stock liquidity, lower stock price variation, more investment opportunity, higher subscribed price or higher degree of information asymmetry will have higher cumulative average abnormal returns after the announcement. The cumulative average abnormal returns of companies without investment opportunity are higher than those with investment opportunity before the announcement date.

本研究以2002年至2012年已開發國家食品產業跨國購併案為樣本，以事件研究法，比較已開發國家食品產業跨國購併已開發國家及開發中國家企業的購併宣告效果，去看在跨國購併的文獻議題上和實證結果是否相符。並以雀巢集團為收購公司之案例，比較其進軍已開發國家(美國惠氏營養品)及開發中國家(中國徐福記)的策略及收購後營運與財務績效，可否套用於產業研究結果，希望為後續食品產業購併提供研究參考。 本研究有以下三點發現：1.食品產業自已開發國家購併已開發國家對收購公司的股價宣告效果，較購併開發中國家對收購公司的股價宣告效果佳。2.已開發國家之食品產業收購與該產業相關性越高的企業，對其收購公司的股價宣告效果並無重大顯著之影響。3.無法將雀巢集團收購惠氏營養品之個案套用於產業研究結果，收購徐福記之個案則與實證結果相似，無正向顯著的宣告效果。此二個案皆著重搶攻新興國家市場，並以水平整合及策略互補方式，擴大市佔率及強化產品線，近五年之財務狀況，與同業相比有較佳之獲利表現，且繼續經營之價值。 已開發國家食品產業在選擇跨國購併對象時，可以已開發國家企業為主要收購對象，降低文化及地理距離帶來的資訊不對稱問題及取得策略性資產，投資人對其有較佳的預期，在選擇向前垂直整合策略時需留意，因零售通路需較大規模之經營整合，對於該市場需有更深入之了解，才適合投入至通路端。 / This paper treated cross-border Mergers and Acquisitions (M&A) cases of developed countries’ food industry over the period of 2002 to 2012 with event study. We compared the announcement effects of acquired companies following developed or developing countries M&A and to confirm that whether the empirical results are consistent with the literature. We used Nestle S.A. as acquiring company to compare its M&A’s strategies and performance when acquiring Wyeth Nutrition and Hsu Fu Chi. Hope to be the reference for the following food industry M&A research. The major research finding as follows. First, the announcement effects of developed countries’ food industry following developed countries M&A are better than developing countries M&A. Second, the results demonstrated that the announcement effect had no significant difference among different industrial relevance of target companies. Third, the case of Hsu Fu Chi acquisition is similar with the empirical results but Wyeth Nutrition acquisition cannot. Furthermore, both cases were focused on the emerging markets and complementary strategies. Developed countries’ food industry can chooses the developed countries’ firms as target companies to decrease asymmetric information which caused by cultural, economic and geographic distance and to acquire strategic assets. They also should have enough acquaintance of the markets before they invest in the channel.

本研究主要探討台灣上市櫃公司從事首次現金增資之決策受何種公司特徵所影響，並進一步探討進行其首次現金增資的宣告效果影響因素。 本研究針對1981年至2010年共30年期間於台灣上市上櫃之公司其首次現金增資之情形做為探討對象，採用Cox-proportional Hazard Regression檢定影響上市櫃公司進行首次現金增資時程之公司特徵。實證結果顯示，營收成長率越高、規模越大且獲利能力較差的公司會傾向越快進行首次現金增資。同時也針對上市櫃年度其市場情形加以探討，發現於市場處於熱市時上市櫃的公司傾向越快進行首次現金增資，顯示市場時機也會影響公司進行首次現金增資的決策。此外，對其首次現金增資之宣告效果進行迴歸分析同時以Heckman Two-Stage Model方法考慮樣本選擇偏誤之修正，結果發現規模越大的公司宣告效果越差而負債比率較大的公司宣告效果越佳。然而上市櫃後進行首次現金增資之時程與其增資宣告效果間則無顯著關係。 / This study examines how fast companies have their first seasonal equity offerings after their IPOs and further analyses the announcement effects of first SEOs. First, we adopt Cox-proportional Hazard Regression Model to see what firm characteristics make IPO firms decide to conduct first SEOs shortly after their IPOs. Using a sample of IPO firms in Taiwan from 1981 to 2010, we find firms that are larger, less profitable and higher growth potential would conduct their first SEOs faster. Also, market timing plays an important role for SEO decisions. Moreover, the announcement effect of their first SEOs shows that elapsed time to conduct first SEOs after IPOs has no influence on the cumulated abnormal returns. By correcting sampling bias, Heckman Two-Stage Model is adopted to reveal better explanation of the results.

本研究探討台灣上市櫃公司發行可轉債及現金增資的決策議題。從發行公司的角度來看，利用錯誤評價及成長機會，同時輔以一些公司特徵變數以了解發行動機。後續並追蹤發行公司發行後資金運用情形，以了解發行公司發行動機及目的是否一致。另一方面，從投資人角度來看，觀察可轉債及現金增資公司宣告效果，並由後續資金配置驗證宣告效果之可靠性。 本研究採用Rhodes-Kropf, Robinson and Viswanathan(2005)提出的方法，將市值帳面比(M/B)拆解成錯誤評價與成長機會。以2001年至2011年台灣上市上櫃公司發行可轉債或現金增資為研究對象，發現無論是可轉債或現金增資，發行公司發行前錯誤評價及成長機會皆顯著較未發行公司高。接著，利用logit模型，發現可轉債發行公司之成長機會及代理問題為其主要發行動機，而現金增資公司則利用資訊不對稱擇時與調整資本結構為發行考量。本文進一步檢視發行後資金配置情況，發現成長機會越高之可轉債，後續資金用途顯著投資於資本支出與研發費用上，符合實質投資理論之觀點。另一方面，錯誤評價越高之現金增資，在前兩年有累積現金之現象，但不用於償還長期負債，且顯著運用於資本支出與研發費用上，僅部分符合行為理論之解釋。因此，本研究歸納現金增資公司發行動機除擇時外，亦有投資需求。最後，在宣告效果上，可轉債與現金增資均呈現負向宣告效果，且投資人給予現金增資較為負向的宣告效果，本文認為此乃投資人意識到公司利用資訊不對稱擇時，且後續資金配置不完全符合行為理論的預期造成的結果。 / This study examines the issuance of convertible bonds (CBs) and seasoned equity offerings (SEOs) for listed companies in TSE and OTC market in Taiwan. From the aspects of issuers, we use mispricing and growth opportunities along with other firm characteristics to understand the motivation of the issuance. We also track the use of post-issue proceeds and relate to the motivations of issuers. From the aspects of investors, we look at the announcement effects to examine appropriateness. We decompose market-to-book ratios into mispricing and growth option components through a methodology proposed by Rhodes-Kropf, Robinson and Viswanathan (2005). By using the samples of CB and SEO issuance between 2001 and 2011, we find that issuing firms of both types are overvalued and have greater growth opportunities relative to non-issuers. Next, we find that CB issuers show greater pre-issue growth opportunities and agency problems, while SEO issuers have greater pre-issue mispricing and tend to adjust capital structure implied by logit model. Furthermore, we examine the post-issue use of proceeds. For CB, firms with greater growth opportunities invest more in capital expenditures and R&D, consistent with real investment explanations. On the other hand, for SEO, firms with greater mispricing stockpile cash in the first two years but don’t pay down long-term debt. They also invest in capital expenditures and R&D. Thus, we conclude that the motivation of SEO firms might be timing and investment needs, partly consistent with behavioral explanations. Finally, the announcement effect of SEO is more negative than CB. Judging from the evidence above, it seems that investors know something.

Submitted by Alexandre Metello (alexandremetello@gmail.com) on 2015-03-06T20:48:35Z No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-05-08T16:13:06Z (GMT) No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2015-05-20T15:46:27Z (GMT) No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) / Made available in DSpace on 2015-05-21T19:31:14Z (GMT). No. of bitstreams: 1 Post-Earnings Announcement Drift no Mercado de Ações Brasileiro.pdf: 1083829 bytes, checksum: 0cc672e25b9cd5a1eda673ccb616f70e (MD5) Previous issue date: 2014-12-23 / This work seeks to test Brazilian stock market efficiency by identifying the existence of postearnings announcement drift, phenomenon already very well studied and reproduced in the US market. According to the existent literature about the subject, information contained in a firm’s earnings announcements is relevant for pricing of its stocks. Moreover, cumulative abnormal returns for stocks of firms that announce earnings with 'positive surprises' have positive tendency for some period after the earnings announcement. On the other hand, cumulative abnormal returns for stocks of firms that announce earnings with 'negative surprises' have negative tendency for some period after the earnings announcement. The identification of post-earnings announcement drift in the Brazilian stock market may be very useful for structuring of arbitrage strategies and portfolio management. After a theoretical review, the result is presented and shows itself partially consistent with the existent literature. / Este trabalho busca testar a eficiência do mercado de ações brasileiro através da identificação da existência de post-earnings announcement drift, fenômeno já bastante estudado e reproduzido no mercado norte-americano. Segundo a literatura existente a respeito do assunto, a informação contida na divulgação de resultados de uma firma é relevante para a formação de preço de suas ações. Além disso, os retornos anormais acumulados de ações de firmas que divulgam resultados com 'surpresas positivas' possuem tendência positiva por algum tempo após a divulgação do resultado. Por outro lado, os retornos anormais acumulados de ações de empresas que divulgam resultados com 'surpresas negativas' possuem tendência negativa por algum tempo após a divulgação do resultado. A identificação de post-earnings announcement drift no mercado acionário brasileiro pode ser de grande utilidade para a estruturação de estratégias de arbitragem e gestão de portfólios. Após uma revisão teórica, o resultado é apresentado e se mostra parcialmente consistente com a literatura existente.