Informação endógena, caracterização do risco e retornos de ações variantes no tempo Outros Idiomas

ID:
8609
Resumo:
Neste artigo, oferecemos um novo tipo de caracterizacão do risco da previsibilidade de dois conhecidos padrões anormais dos retornos médios das ações: momento e reversões. O objetivo é ilustrar a importância relativa dos fatores comuns de risco e da informação endógena para explicar a variabilidade no tempo dos retornos de momento e reversão. Nossos resultados demonstram que, mesmo na presença de carteiras de investimento nulo, os spreads dos retornos médios de momento e reversão correspondem aos spreads dos coeficientes angulares da informação endógena. Os resultados empíricos corroboram a  perspectiva de que várias classes de empresas reagem de forma diferente ao risco de volatilidade e, tanto o tamanho quanto a relação valor patrimonial – valor de mercado da ação médios das empresas, contém, em conjunto, importantes fontes de risco potencial. Tomados em conjunto, nossos resultados sugerem que os retornos são influenciados pelo fluxo endógeno de informações aleatórias, que é assimétrico por natureza e que pode ser usado como fator de atribuição de desempenho. Quando não se incorporam as informações endógenas assimétricas existentes, escondidas no comportamento histórico, qualquer tentativa de explorar a previsibilidade da média do retorno das ações estará sujeita a um viés de especificação não quantificado.
Citação ABNT:
SIMLAI, P.Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns. Revista Brasileira de Finanças, v. 10, n. 3, p. 291-315, 2012.
Citação APA:
Simlai, P.(2012). Endogenous Information, Risk Characterization, and the Predictability of Average Stock Returns. Revista Brasileira de Finanças, 10(3), 291-315.
Link Permanente:
http://www.spell.org.br/documentos/ver/8609/informacao--endogena--caracterizacao-do-risco-e-retornos-de-acoes-variantes-no-tempo/i/pt-br
Tipo de documento:
Artigo
Idioma:
Inglês
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