Modelo de valor presente entre preços e dividendos com retornos esperados constantes e variantes no tempo: evidências ao nível de empresa a partir da aplicação de painéis não estacionários

ID:
8867
Resumo:
O Modelo de Valor Presente (MVP) – conceito de que os preços correntes dos títulos dependem do valor presente de dividendos futuros descontados, em que a taxa de desconto é equivalente à taxa requerida de retorno – é um dos conceitos da Teoria Financeira. O objetivo deste artigo é analisar a validade do MVP entre preços e dividendos ao nível da firma a partir de técnicas em painel aplicadas a processos não estacionários e potencialmente cointegrados para o mercado acionário brasileiro. Considerando-se o Modelo de Valor Presente com Retornos Constantes e Variantes no Tempo, a evidência de que (log de) preços reais e (log de) dividendos reais são não estacionários I(1) e que (log da) razão preço-dividendo é I(0) não pode ser rejeitada. Em relação aos estimadores FMOLS e DOLS para modelos cointegrados em painel, verificam-se que os preços das ações encontram-se sobreavaliados sob ambas as hipóteses de retornos constantes ou variantes no tempo.
Citação ABNT:
RIVERA, E. B. B. R.; MARTIN, D. M. L.; MARÇAL, E. F.; BASSO, L. F. C. Modelo de valor presente entre preços e dividendos com retornos esperados constantes e variantes no tempo: evidências ao nível de empresa a partir da aplicação de painéis não estacionários. Brazilian Business Review, v. 9, n. 4, p. 52-90, 2012.
Citação APA:
Rivera, E. B. B. R., Martin, D. M. L., Marçal, E. F., & Basso, L. F. C. (2012). Modelo de valor presente entre preços e dividendos com retornos esperados constantes e variantes no tempo: evidências ao nível de empresa a partir da aplicação de painéis não estacionários. Brazilian Business Review, 9(4), 52-90.
Link Permanente:
http://www.spell.org.br/documentos/ver/8867/modelo-de-valor-presente-entre-precos-e-dividendos-com-retornos-esperados-constantes-e-variantes-no-tempo--evidencias-ao-nivel-de-empresa-a-partir-da-aplicacao-de-paineis-nao-estacionarios/i/pt-br
Tipo de documento:
Artigo
Idioma:
Português
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