This thesis is focused on testing the weak effectiveness of the US, Japanese, German and Czech market in the period 1995 - 2015. The first part contains a theoretical basis for the theory of efficient markets, the conditions, characteristics and models. Further test methods of weak market efficiency are presented and semistrong and strong effectiveness mentioned. The practical part deals with the introduction of tested stock exchange indices and by testing the weak effectiveness of these markets through tests of randomness, variance ratio test and serial correlation.

Submitted by Luis Fernando Schumaher (luis_schumaher@yahoo.com.br) on 2018-02-23T21:21:10Z No. of bitstreams: 1 Dissertacao MPA - Estudo de Eventos_Impairment - Luis Schumaher (2).pdf: 561762 bytes, checksum: 64c63a7f28492d392db0a5d797e778ba (MD5) / Approved for entry into archive by Mayara Costa de Sousa (mayara.sousa@fgv.br) on 2018-02-27T17:46:27Z (GMT) No. of bitstreams: 1 Dissertacao MPA - Estudo de Eventos_Impairment - Luis Schumaher (2).pdf: 561762 bytes, checksum: 64c63a7f28492d392db0a5d797e778ba (MD5) / Made available in DSpace on 2018-02-27T20:20:16Z (GMT). No. of bitstreams: 1 Dissertacao MPA - Estudo de Eventos_Impairment - Luis Schumaher (2).pdf: 561762 bytes, checksum: 64c63a7f28492d392db0a5d797e778ba (MD5) Previous issue date: 2018-01-05 / A capacidade informacional das demonstrações contábeis, sobretudo após a incorporação da International Financial Reporting Standars (IFRS), é objeto de estudos empíricos ao redor do mundo. Fama (1970, 1991) descreve a Hipótese de Eficiência do Mercado (HEM), em sua forma semiforte, que informações corporativas relevantes são incorporadas instantaneamente pelo mercado na forma de variações dos preços das ações. Assim, este estudo tem como objetivo verificar, através de um Estudo de Eventos, os impactos da divulgação de demonstrações financeiras com contabilizações de reavaliação de ativos tangíveis e intangíveis – impairment. Foram estudadas as 50 maiores empresas brasileiras (receita líquida) de capital aberto na Bolsa de Valores de São Paulo, de acordo com a classificação da revista Valor® 1000 (VALOR ECONÔMICO, 2016), no período compreendido entre o primeiro trimestre de 2010 e o quarto trimestre de 2016. Observou- se que publicações de demonstrações financeiras com reconhecimento de impairment dos ativos tangíveis e intangíveis, previstos pelas International Financial Reporting Standards (IFRS), causaram impactos nas expectativas dos acionistas, representadas pela variação nos retornos das ações. Além disso, o mercado se comportou de maneira eficiente, em sua forma semiforte. As principais conclusões do presente estudo são: i) os anúncios impairment de ativos tangíveis e intangíveis apresentam conteúdo informacional relevante para a precificação das ações no mercado; e ii) o mercado brasileiro se comportou de maneira eficiente na forma semiforte pois, a HEM foi atestada em conjunto para os eventos de impairment estudados. / The informational capacity of the financial statements, especially after the incorporation of the International Financial Reporting Standards (IFRS), is the subject of empirical studies around the world. Fama (1970, 1991) describes the Theory of Efficient Markets, in its semistrong form, that relevant corporate information is instantly incorporated by the market in the form of stock price changes. Thus, this study aims to verify, through a Study of Events, the impacts of the disclosure of financial statements with revaluation of tangible and intangible assets - impairment. The 50 largest Brazilian companies (net revenue) were studied on the São Paulo Stock Exchange, according to the magazine Valor® 1000 (ECONOMIC VALUE, 2016), in the period from the first quarter of 2010 to the fourth quarter of 2016. It was noted that financial statement publications with recognition of impairment of tangible and intangible assets, as predicted by the International Financial Reporting Standards (IFRS), had an impact on shareholders' expectations, represented by the variation in stock returns. However, the market did behave efficiently, in its semifortex form. The main conclusions of the present study are: i) the announcements of impairment of tangible and intangible assets present informative content relevant to the pricing of shares in the market; and ii) the Brazilian market did behave efficiently in the semistrong form, since HEM was not jointly tested for the impairment events studied.

This work focuses on the Czech stock market. Work is focused on the application of the theory of efficient markets, which is one of the theories explaining the evolution of prices of securities, the stock market in the Czech Republic from 2000 to 2008. Efficient market theory represents a random walk, which is used as a tool to describe the phenomenon where the future price changes are random divergence from past prices. The thesis is divided into several parts. The first part presents an actual stock market in the Czech Republic. Because most of the work deals with the analysis yields the PX stock index was that in the next section in detail described and analyzed. Furthermore, the Czech stock market has been analyzed in terms of structure and trading volume. The next section has described the theory of efficient markets. Was described briefly the history of this theory. Another part of this work can be described as a purely practical. First, the work focuses on the market in the one year time series of returns. In second part were analyzed medium-long term consisting of three year time series of returns. The last analyzed period was long term, consisting of eight-year time series of returns from 2000 to 2008.

In my diploma I analyzed the USA capital market. I concentrated on 5 representative branches of this market - the biotechnology, the food industry, the car industry, the mining and the finances. 12 companies, which quote their share of stocks in the american capital market, were choosed. I tested the efficiency of this capital market and tried to establish the rate of this market´s efficiency. Later the best strategy was added to the rate of capital market´s efficiency. I counted the average decree, the standard deviation, the variation coefficient, the {$\alpha$} coefficient and {$\beta$} coefficient at the choosed share of stocks. I accomplished the correlative and the runs testing, which were supposed to certify the efficiency of market. The certain anomalies as The Day of the Week Effect, The January Effect and The Size Effect were investigated in more detail. Further I was considering if either the active or the passive strategy should have been used. I concluded that the active strategy is better for investors in times of the financial crisis. I also analyzed P/E ratio at choosed companies. The performated testing shows that the american market of shares is effective, it has the form of low efficiency peak-form efficient markets hypothesis.