Empréstimo de ações no Brasil

• Ano de defesa: 2013
• Autor(a) principal: Fraga, João Batista
• Orientador(a): Eid Júnior, William
• Tipo de documento: Tese
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Empréstimo de ações; Venda a descoberto; Excesso de retorno; Eficiência de mercado; Regulação do mercado de capitais
• Palavras-chave em Inglês: Stock lending; Short selling; Excess return; Market efficiency; Regulation of capital markets
• Link de acesso: https://hdl.handle.net/10438/10738

This study investigates the activity of stock lending in Brazil and its connection with short selling. It describes the organization of the market, identifies factors that determine the level of short interest and analyzes the effects on the efficiency of the stock prices. It finds that short-sellers act as contrarians and that the activity is directly related to the trading volume and inversely related to the daily price range. Periods of lock up and stabilization, these after the IPOs, and periods prior to seasoned offers also influence the level of open interest, as well as tax arbitrage that occurs at the time of payment of interest on equity by companies and have disruptive effect on stock prices. Short-sellers position themselves to earn excess returns and prefer stocks with higher betas. It is also shown that the addition of long-short positions to existing investment portfolio would increase returns and reduce market risk. When it comes to market efficiency, the study shows that the prices of stocks with high levels of short interest react more quickly to market movements than those with lower level. The study also contributes with specific recommendations for changes in the regulation and in the operational organization of the activity in Brazil.