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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

O impacto do risco de crédito sobre a diferença cross-section do retorno acionário brasileiro

Toledo, Eduardo Rietmann 31 May 2016 (has links)
Submitted by Eduardo Toledo (dudutol@hotmail.com) on 2016-09-15T14:15:58Z No. of bitstreams: 1 Dissertação Eduardo Rietmann Toledo - Final.pdf: 4612894 bytes, checksum: ab143894eec8b23502f2222a0b9a5a27 (MD5) / Approved for entry into archive by GILSON ROCHA MIRANDA (gilson.miranda@fgv.br) on 2016-09-21T14:12:18Z (GMT) No. of bitstreams: 1 Dissertação Eduardo Rietmann Toledo - Final.pdf: 4612894 bytes, checksum: ab143894eec8b23502f2222a0b9a5a27 (MD5) / Approved for entry into archive by Marcia Bacha (marcia.bacha@fgv.br) on 2016-09-23T12:48:52Z (GMT) No. of bitstreams: 1 Dissertação Eduardo Rietmann Toledo - Final.pdf: 4612894 bytes, checksum: ab143894eec8b23502f2222a0b9a5a27 (MD5) / Made available in DSpace on 2016-09-23T12:49:08Z (GMT). No. of bitstreams: 1 Dissertação Eduardo Rietmann Toledo - Final.pdf: 4612894 bytes, checksum: ab143894eec8b23502f2222a0b9a5a27 (MD5) Previous issue date: 2016-05-31 / The aim of this study is to assess the impact of credit risk in the Brazilian stock cross-section return, and evaluate if a strategy based on this feature is able to generate positive and significant alpha. To measure credit risk, credit ratings were used assigned to Brazilian companies by the american agency Standard and Poors in the period between 2009 and 2014. First we divided ali firms in portfolios according to their credit risk and after we analyzed monthly returns of their stocks. Empirically, we find an evidence that the credit risk has a positive correlation in stock returns. However, as the strategy to operate based on credit risk was not able to generate significant alpha, it was not possible to statistically validate this effect on return. / O objetivo deste estudo é verificar o impacto do risco de crédito no retorno cross-section acionário brasileiro e avaliar se uma estratégia baseada nesta característica é capaz de gerar alfa positivo e significativo. Para mensurar o risco de crédito, foram utilizadas as notas de crédito atribuídas às empresas brasileiras pela agência americana Standard and Poors no período entre 2009 e 2014. Dividimos as empresas em portfolios de acordo com seu risco de crédito e analisamos os retornos mensais de suas ações. Empiricamente, encontramos indícios que o risco de crédito possui uma correlação positiva com o retorno acionário. No entanto, como a estratégia para operar baseada no risco de crédito não foi capaz de gerar alfa significativo, não foi possível validar estatisticamente este efeito sobre o retorno.

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