Anomalias de valor e sentimento do investidor: evidências empíricas no mercado acionário brasileiro

• Ano de defesa: 2014
• Autor(a) principal: Xavier, Gustavo Correia
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Federal da Paraíba; Brasil; Administração; Programa de Pós-Graduação em Administração; UFPB
• Palavras-chave em Português: Índice de Sentimento do Investidor; Investor Sentiment Index; Anomalias de Valor; Estratégias Long- Short; Value Anomalies; Long-Short Strategies; CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
• Link de acesso: https://repositorio.ufpb.br/jspui/handle/tede/7527

This study aimed to analyze the influence of the investor sentiment in explaining the returns of anomalies, in Brazilian stock market. Additionally, we analyze whether the price differences caused by investor optimism bias are different from those caused by pessimistic investors. The sample included all companies listed on the BM & FBOVESPA. The data were collected in Economatica®. The calculation of returns were by monthly closing prices were used from June 2000 to June 2014 and from 1999 to 2013 annual financial data. To measure the aggregate investor sentiment index, was considered all issues of shares during the period January 1999 to June 2014 and the volume of trading and securities available in this period. The estimation of investor sentiment, was made use of multivariate technique of Principal Component Analysis to capture the common component in four different proxies for investor behavior. To check how investor sentiment relates to the deficiencies have been empirically tested with the number of returns of the portfolios of Long position, Short and Long-Short 12 anomalies-based strategies; and the sentiment index series built, and its variation from one month to the next. It was found that the measure sentiment index increased explanatory power for much of the anomalies only when included in the CAPM, but by controlling the three-factor model and four factors, the coefficient lost its statistical significance. When using the index change as an explanatory variable, there was a relationship with future returns, robust to all risk factors. Thus, it is possible to relate the investor sentiment index with returns of portfolios formed based on value anomalies. Analyzing the mean returns after periods of optimism and pessimism, there was no statistically significant values sufficient to infer a possible existence of restrictions on sales short, although much of the anomalies present the spread between the average returns after periods optimistic and pessimistic with the expected sign.