Title Portuguese:
Determinantes dos Custos de Transação no Mercado de Ações no Brasil
Abstract:
The Lesmond (2005) method for estimating transactions costs, based on a limited-dependent
variable model, is used in order to test for the significance of plausible explanations
for cross sectional cost differences. Variables such as liquidity, volatility, firm size, quality
of corporate governance and participation in ADR programs are considered, in addition to
the possible impact of the 2008 crisis. Daily data for 1999-2009 are used, covering at least
250 securities each year. The average total transaction cost declined from 2.95% in 1999 to
1.22% in 2009. Stock volatility and quality of corporate governance appear to be the most
relevant factors associated with the measure of transactions cost.
Abstract Portuguese:
Este artigo aplica a estimativa de custos de transação de Lesmond
(20055) no mercado brasileiro de ações, apoiada num modelo de variável
dependente limitada. O objetivo é testar hipóteses sobre fatores
determinantes dos custos de transação no mercado secundário (liquidez,
volatilidade, tamanho, governança corporativa diferenciada, participação
em programa de ADRs), bem como o impacto da crise de 2008. Utilizam-se
dados diários do período de 1999 a 2009, em média com mais de 250 ações
por ano. É observado que o custo total médio de transação sofreu redução
substancial e continuada em cada ano do período, indo de 2,95% em 1999 a
1,22% em 2009. É verificado que a volatilidade da ação e a participação
em níveis de governança corporativa diferenciada são as variáveis
explicativas mais importantes.
ABNT Citation:
SANVICENTE, A. Z.Determinants of Transactions Costs in the Brazilian Stock Market. Revista Brasileira de Finanças, v. 10, n. 2, p. 179-196, 2012.
APA Citation:
Sanvicente, A. Z.(2012). Determinants of Transactions Costs in the Brazilian Stock Market. Revista Brasileira de Finanças, 10(2), 179-196.
Permalink:
https://www.spell.org.br/documentos/ver/7382/determinants-of-transactions-costs-in-the-brazilian-stock-market/i/en
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