Post-earnings announcement drift no mercado de ações brasileiro

• Ano de defesa: 2014
• Autor(a) principal: Santos, Alexandre Metello de Castro
• Orientador(a): Azevedo, Rafael Moura
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Eficiência de mercado; Estudo de evento; Retornos anormais; Retornos anormais acumulados; Teste de hipótese
• Palavras-chave em Inglês: Market efficiency; Event study; Abnormal returns; Cumulative abnormal returns; Hypotheses test; Post-earnings announcement drift
• Link de acesso: https://hdl.handle.net/10438/13718

This work seeks to test Brazilian stock market efficiency by identifying the existence of postearnings announcement drift, phenomenon already very well studied and reproduced in the US market. According to the existent literature about the subject, information contained in a firm’s earnings announcements is relevant for pricing of its stocks. Moreover, cumulative abnormal returns for stocks of firms that announce earnings with 'positive surprises' have positive tendency for some period after the earnings announcement. On the other hand, cumulative abnormal returns for stocks of firms that announce earnings with 'negative surprises' have negative tendency for some period after the earnings announcement. The identification of post-earnings announcement drift in the Brazilian stock market may be very useful for structuring of arbitrage strategies and portfolio management. After a theoretical review, the result is presented and shows itself partially consistent with the existent literature.