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Previous issue date: 2010-09-20 / The financial crisis that occurred between the years 2007 and 2008, known as the
subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To
monitor the financial risk, quantitative tools of risk management were created in the 1990s,
after several financial disasters. The market turmoil has also led companies to invest in the
development and use of information, which are applied as tools to support process control and
decision making. Numerous empirical studies on informational efficiency of the market have
been made inside and outside Brazil, revealing whether the prices reflect the information
available instantly. The creation of different levels of corporate governance on BOVESPA, in
2000, made the firms had greater impairment in relation to its shareholders with greater
transparency in their information. The purpose of this study is to analyze how the subprime
financial crisis has affected, between January 2007 and December 2009, the volatility of stock
returns in the BM&BOVESPA of companies with greater liquidity at different levels of
corporate governance. From studies of time series and through the studies of events,
econometric tests were performed by the EVIEWS, and through the results obtained it became
evident that the adoption of good practices of corporate governance affect the volatility of
returns of companies / A crise financeira ocorrida entre os anos de 2007 e 2008, conhecida como crise do
subprime, colocou em evid?ncia a governan?a das empresas no Brasil e no mundo. Para
monitorar o risco financeiro, ferramentas quantitativas de gest?o de risco foram criadas na
d?cada de 1990, ap?s v?rios desastres financeiros. A turbul?ncia do mercado tamb?m tem
levado as empresas a investirem no desenvolvimento e utiliza??o de informa??es, que s?o
aplicadas como ferramentas de apoio aos processos de controle e tomada de decis?o.
In?meros estudos emp?ricos sobre efici?ncia informacional do mercado t?m sido efetuados
dentro e fora do Brasil, revelando se os pre?os refletem instantaneamente as informa??es
dispon?veis. A cria??o de n?veis diferenciados de governan?a corporativa na BOVESPA, em
2000, fez com que empresas tivessem maior comprometimento em rela??o aos seus
acionistas, com maior n?vel de transpar?ncia em suas informa??es. A proposta desse trabalho
? analisar como a crise financeira do subprime afetou, entre janeiro de 2007 e dezembro de
2009, a volatilidade do retorno das a??es na BM&FBOVESPA de empresas com maior
liquidez em diferentes n?veis de governan?a corporativa. A partir de estudos das s?ries
temporais e, atrav?s de estudos de eventos, foram realizados testes econom?tricos, atrav?s do
EVIEWS, e pelos resultados apresentados tornou-se evidente que a ado??o de boas pr?ticas de
governan?a corporativa influenciam a volatilidade dos retornos das empresas
| Identifer | oai:union.ndltd.org:IBICT/oai:repositorio.ufrn.br:123456789/12182 |
| Date | 20 September 2010 |
| Creators | Silva, Raimunda Maria da Luz |
| Contributors | CPF:03040553607, http://lattes.cnpq.br/4968429773311336, Almeida, Vin?cio de Souza e, CPF:83906762300, http://lattes.cnpq.br/5861723290897089, Leone, Rodrigo Jos? Guerra, CPF:76912107468, M?l, Anderson Luiz Rezende |
| Publisher | Universidade Federal do Rio Grande do Norte, Programa de P?s-Gradua??o em Administra??o, UFRN, BR, Pol?ticas e Gest?o P?blicas; Gest?o Organizacional |
| Source Sets | IBICT Brazilian ETDs |
| Language | Portuguese |
| Detected Language | English |
| Type | info:eu-repo/semantics/publishedVersion, info:eu-repo/semantics/masterThesis |
| Format | application/pdf |
| Source | reponame:Repositório Institucional da UFRN, instname:Universidade Federal do Rio Grande do Norte, instacron:UFRN |
| Rights | info:eu-repo/semantics/openAccess |
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