Inflação e retornos acionários

• Autor(a) principal: Chaves, Carlos Roberto Simões
• Data de Publicação: 2017
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
• Texto Completo: https://hdl.handle.net/10438/18748
• topic: Stock returns; Asset pricing; Inflation; Inflation expectations; Inflação; Retornos acionários; Precificação de ativos; Expectativas de inflação; Economia; Ações (Finanças); Taxa interna de retorno; Inflação; Mercado de ações - Previsão; Modelo de precificação de ativos

This paper examines the impact of expected inflation on stock returns and earnings per share projections for the next 12 months. We used the Ibovespa's weekly real returns and FOCUS survey for IPCA and Industrial Production growth. A one-percentage point increase in projected inflation over the next 12 months is associated with a decline of 0.56 percentage points in the weekly Ibovespa real change to a significance level of 1%. No statistically significant relationships were found between the expected inflation and the projections for Ibovespa's profits. It was verified that the Ibovespa's weekly returns also react negatively to the 5-year CDS oscillations and the VIX index.