Análise estatística do efeito da crise financeira de 2007 no setor de veículos e transportes no Brasil

• Ano de defesa: 2012
• Autor(a) principal: Nobre, Francisco Osair Soares
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Palavras-chave em Português: Economia do Transporte; Crise financeira
• Link de acesso: http://www.repositorio.ufc.br/handle/riufc/5862

This article aims to measure and analyze potential impacts from the financial crisis of 2007 in the sector of transport and vehicles and in Brazil, whose growth in recent years surpassed many other sectors of the economy and the Brazilian Gross Domestic Product. To this end, it was made use of descriptive statistics associated with various forms of risk, and performance of the distributions of nominal daily return of companies that make up this sector, every six months, from 2005 to 2010 was used as benchmark some market and industry indexes. Due to some factors, among them, heavy subjection on credit for the sale of new vehicles and export profile associated with the most important companies in this sector, it was observed that the daily returns of the shares of individual companies, as well as the return of representative aggregated index of this sector, reacted to the crisis with accumulated expressive losses. Some shares have accumulated losses of more than 80% in value, as occurred with TPIS3, and fairly high standard deviation up to 12.66% for WISA4. Both the direction of change as the value of the shares were provided by outline micro founded given by the Capital Asset Pricing Model (CAPM). In the postcrisis period, the industry reacted to a greater extent more than it was expected by fundamentals and the returns of firms and the aggregate index of the sector exceeded all other indexes analyzed in this study. At the same time that the results exceeded the returns of other indices, statistical analyzes were favorable to the sector of transport vehicles and having smaller standard deviation and better indications of Sharpes, Sortino, Treynor and Calmar.