Uma contribuição ao mercado de capitais considerando a análise da intensidade da racionalidade no intraday: estudo de casos e eventos do Itaú Unibanco

Detalhes bibliográficos
Ano de defesa: 2018
Autor(a) principal: Pereira, Jose Everardo Alves lattes
Orientador(a): Santos, José Odálio dos
Banca de defesa: Não Informado pela instituição
Tipo de documento: Dissertação
Tipo de acesso: Acesso aberto
Idioma: por
Instituição de defesa: Pontifícia Universidade Católica de São Paulo
Programa de Pós-Graduação: Programa de Estudos Pós-Graduados em Ciências Contábeis e Atuariais
Departamento: Faculdade de Economia, Administração, Contábeis e Atuariais
País: Brasil
Palavras-chave em Português:
Palavras-chave em Inglês:
Área do conhecimento CNPq:
Link de acesso: https://tede2.pucsp.br/handle/handle/21791
Resumo: The present research tests the Efficient Market Hypothesis (HME) and Behavioral Finance, analyzing the shares of Itaú Unibanco, a company listed on the São Paulo Stock Exchange (Bolsa, Brasil, Balcão - B3), after the announcement of relevant facts together the Brazilian Securities and Exchange Commission (CVM), based on intraday data that involve trading the company's common shares in an attempt to capture the intensity of rationality, investors' behavior at the beginning of the first trading session after the announcement and the level of efficiency and understanding of new or symmetric information. In order to do so, through the Study of Events methodology described by Mackinlay (1997), the volume traded, the volatility and the return of the company's shares were observed, and with all theoretical framework the events were treated as dynamic and static, rationality in the first moments, and seeking balance over time in the very short term. It was found that the Market takes some time to arrive at the rationality actually described in the HME by Fama (1970). Another aspect is behavioral finance, which is characterized in this research in an attempt to explain the lower intensity of rationality in relation to events at the first moment after the disclosure of the relevant facts, believing that the decision-making of investors is not based only on rationality, but rather on the fact that there are other aspects as described in the various ideas that make up the behavioral framework in Finance. The methodology used was empirical-analytical, through linear regression, the results were confirmed by the p value