Resumo:
Este artigo investiga a relação entre os números contábeis e os retornos das ações no mercado brasileiro. Para isso baseia-se no modelo teórico desenvolvido por Zhang (2000) e no modelo empírico de Zhang e Chen (2007). Os modelos demonstram que o retorno das ações pode ser escrito como função das seguintes variáveis: lucro líquido, variação da rentabilidade, capital investido, variação da oportunidade de crescimento e taxa de desconto. De maneira geral os resultados empíricos encontrados no mercado brasileiro são condizentes com as relações descritas pelo modelo teórico, similarmente às relações encontradas no mercado norte-americano. A proximidade dos resultados e dos coeficientes estatísticos obtidos nos diferentes testes (pooled, Fama-Macbeth e dados em painel) suportam a robustez dos resultados.
Resumo Inglês:
This paper investigates how accounting variables explain cross-sectional stocks returns in Brazilian capital markets. The analysis is based on Zhang (2000) and Zhang and Chen (2007) models. These models predict that stock returns are a function of net income, change in profitability, invested capital, changes in opportunity growths and discount rate. Generally, the empirical results for the Brazilian capital market are consistent with the theoretical relations that models describe, similarly to the results found in the US. Using different empirical tests (pooled regressions, Fama-Macbeth and panel data) the results and coefficients remain similar, what support the robustness of our findings.
Citação ABNT:
GALDI, F. C.; LOPES, R. F. Avaliação de ações e números contábeis: aplicação dos modelos de Zhang (2000) e Zhang e Chen (2007) no mercado brasileiro. Revista Brasileira de Finanças, v. 9, n. 1, art. 95, p. 131-157, 2011.
Citação APA:
Galdi, F. C., & Lopes, R. F. (2011). Avaliação de ações e números contábeis: aplicação dos modelos de Zhang (2000) e Zhang e Chen (2007) no mercado brasileiro. Revista Brasileira de Finanças, 9(1), 131-157.
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