4519

Thiago Rocha Fabris
Newton Carneiro Affonso da Costa Junior

Revista Brasileira de Finanças

Este artigo analisa o comportamento das séries temporais de lucros trimestrais (operacional e líquido) de uma amostra de 109 empresas brasileiras com ações negociadas em bolsa, durante o período de 1995 a 2008. Foram utilizados cinco modelos de previsão de séries de lucros já previamente estimados e consagrados na literatura internacional, denominados aqui de modelos predeterminados, bem como foi empregado o método de Box e Jenkins (BJ) para verificar a possibilidade de se encontrar um modelo mais adequado `as condições do mercado brasileiro. Verifica-se que somente o lucro operacional é passível de previsão, não sendo possível a aplicabilidade do método de BJ ao lucro líquido, pois este apresenta, na amostra estudada, um comportamento aleatório, descrito por um random walk com deslocamento. Conclui-se, também, que não existe um modelo ARIMA predeterminado que seja aplicável ao conjunto das empresas estudadas. Um modelo deve ser identificado individualmente para cada empresa.

lucros trimestrais, modelos ARIMA, previsão de lucros

FABRIS, T. R.; COSTA JUNIOR, N. C. A. Propriedades das séries temporais dos lucros trimestrais das empresas brasileiras negociadas em bolsa. Revista Brasileira de Finanças, v. 8, n. 3, art. 154, p. 351-376, 2010.

Fabris, T. R., & Costa Junior, N. C. A. (2010). Propriedades das séries temporais dos lucros trimestrais das empresas brasileiras negociadas em bolsa. Revista Brasileira de Finanças, 8(3), 351-376.

https://www.spell.org.br/documentos/ver/4519/propriedades-das-series-temporais-dos-lucros-trimestrais-das-empresas-brasileiras-negociadas-em-bolsa/i/pt-br

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