Made available in DSpace on 2016-03-15T19:26:28Z (GMT). No. of bitstreams: 1 Jose Matias Filho.pdf: 472539 bytes, checksum: b16566d14af94e4d158e78a2ec6bb9b3 (MD5) Previous issue date: 2006-04-11 / Innumerous studies have being searching to measure the risk component involved in the expected return for capital investments, remarking decades of hard work of many relevant Financial Theory authors worldwide, while being a common activity between analysts of financial institutions and other parts of the market. The object of this work is to contribute to this search, through the evaluation of alternative methodologies to calculate the CAPM (Capital Asset Pricing Model) when submitted to the Brazilian Stock Market conditions, through the application of four methodologies to determine the Beta, three methodologies to calculate the CAPM and eight distinct macroeconomics scenarios. The purpose is to determine equal relations between a group of distinct expected returns obtained and the effective behavior of the asset returns studied in many periods of measurement. It was used the statistic method known as test for differences in two means to compare many series of expected returns obtained and their respective effective returns, getting results that suggests the use of some methodologies and scenarios as valid tools to predict future returns to some financial assets of our market. / Inúmeros estudos têm sido feitos procurando mensurar o componente de risco envolvido no retorno esperado em investimentos de capital, cuja busca já remonta várias décadas e tem tido o envolvimento dos principais autores mundiais em teoria financeira, além de ser atividade obrigatória nas mesas de operações das instituições financeiras e demais participantes do mercado. O objetivo deste trabalho é de contribuir com essa busca, através da avaliação de metodologias alternativas de cálculo do CAPM (Capital Asset Pricing Model) quando submetidas às condições do mercado de ações brasileiro, através da aplicação de quatro metodologias de determinação do índice beta e três metodologias de cálculo do CAPM diferentes, em 8 cenários macro-econômicos distintos. Busca-se dessa forma determinar relações de igualdade entre o conjunto dos diversos retornos esperados obtidos e o efetivo comportamento de retornos dos ativos estudados em períodos diversos de medição. Foi utilizado o método estatístico conhecido como Teste de Hipóteses de Diferença de Médias para comparar as diversas séries de retornos esperados obtidos com os respectivos retornos efetivos, obtendo resultados que sugerem a indicação de algumas metodologias e cenários como ferramentas válidas na predição de retornos futuros de alguns ativos financeiros de nosso mercado.

Made available in DSpace on 2016-03-15T19:32:58Z (GMT). No. of bitstreams: 1 Peterson Nery Laurindo.pdf: 808755 bytes, checksum: 117488f1a33020cd6cedb85678dc027d (MD5) Previous issue date: 2010-02-11 / Fundo Mackenzie de Pesquisa / This research aimed to test empirically the efficiency of the Brazilian stock market represented by the São Paulo Stock Exchange portfolio - São Paulo Stock exchange in a global crisis period, performed the announcements dates of the events that are the ITR's - the quarterly financial statements of the first quarter of 2008 until as the second quarter of 2009, made by event study s methodology representing better the semi-strong efficiency, it verified if had significant alterations in the stock prices, had been measured by the AR abnormal return, caused by the event announcement, where the AR significance was measured by the sign test, and its expected return measured by the CAPM Capital Asset Pricing Model. Therefore, the empirical test lead the conclusion the announcements had caused significant alterations in the stock prices, given the CAR - accumulated average abnormal returns behavior, had reacted as the expected one, then the CAR had reacted in compliance with of the good news classifications where represented 20% of the net profits increase of the company in relation the same period of the previous year, and for the bad news 20% net profits decrease, and for the classification of no news the companies that they had had the net profits nor over and nor below of 20% deviation. Thus the CAR sign test got the statistical of -3,27, out of the critical value of 1,64 to -1,64 of the normal distribution, indicating the Brazilian stock market adjusts the stock prices around the quarterly financial statements in global period of crisis, also indicating the semi-strong form of the efficient market hypothesis. / Esta pesquisa visou testar empiricamente a eficiência do mercado acionário brasileiro representado pela carteira da Bovespa Bolsa de Valores de São Paulo em um período de crise, compreendido entre as datas dos anúncios dos eventos que são os ITR s - as demonstrações financeiras trimestrais do primeiro trimestre de 2008 até o segundo trimestre de 2009, viabilizado pela metodologia do estudo de eventos que melhor representa a eficiência semiforte, e que verificou se houve alterações significantes nos preços das ações, medidos pelo AR retorno anormal, causados pelo anúncio do evento, onde a significância do AR foi medida pelo teste dos sinais e seu retorno esperado medido pelo CAPM modelo de precificação de ativos. Portanto, de acordo com o teste empírico entende-se que os anúncios causaram alterações significantes nos preços das ações, dado o comportamento dos CAR retornos anormais acumulados médios, reagindo conforme o esperado. Desta forma, os CAR reagiram em conformidade com as classificações de notícias boas que representou 20% de aumento do lucro líquido da empresa em relação ao mesmo período do ano anterior, para as notícias ruins 20% de diminuição no lucro líquido, e para a classificação de sem notícias as empresas que tiveram o lucro líquido nem acima e nem abaixo de 20% de variação. Assim, o teste dos sinais do CAR obteve estatística de -3,27, fora do valor crítico de 1,64 a -1,64 da tabela de distribuição normal, indicando que o mercado acionário brasileiro ajusta os preços das ações ao redor das demonstrações financeiras trimestrais mesmo em período de crise, indicando também a forma semiforte da hipótese do mercado eficiente.

Since 1994 when the Warsaw Stock Exchange has been acknowledged as a full member of World Federation of Exchanges and became one of the fastest developing security markets in the region, it has been hard to find any studies relating to the assets price performance on this exchange. That is why I decided to write this paper in which the Nobel price winning theory namely the Capital Asset Pricing Model has been tested. The Capital Asset Pricing Model (or CAPM) is an equilibrium model which relates asset’s risk measured by beta to its returns. It states that in a competitive market the expected rate of return on an asset varies in direct proportion to its beta. In this paper the performance of 100 stocks traded continuously on the main market in the years 2002-2006 has been tested. I have performed three independent tests of the CAPM based on different methods and techniques to better check the validity of the theory and then compared the results. As in the case of many other studies of the Capital Asset Pricing Model, this one didn’t find a complete support for the model but couldn’t reject some of its features either.

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