| Journal: | BAR - Brazilian Administration Review |
| Database: | CLASE |
| System number: | 000415195 |
| ISSN: | 1807-7692 |
| Authors: | Yoshinaga, Claudia Emiko1 Castro-Junior, Francisco Henrique Figueiredo de2 |
| Institutions: | 1Fundacao Getulio Vargas, Escola de Administracao de Empresas, Sao Paulo. Brasil 2Fundacao Escola de Comercio Alvares Penteado, Sao Paulo. Brasil |
| Year: | 2012 |
| Season: | Abr-Jun |
| Volumen: | 9 |
| Number: | 2 |
| Pages: | 189-210 |
| Country: | Brasil |
| Language: | Inglés |
| Document type: | Revisión bibliográfica |
| Approach: | Analítico |
| English abstract | This article analyzes the relationship between market sentiment and future stock rates of return. We used a methodology based on principal component analysis to create a sentiment index for the Brazilian market with data from 1999 to 2008. The sample consisted of companies lis ted on BM&FBOVESPA which were grouped into quintiles, each representing a portfolio, according to the magnitude of the following characteristics: market value, total annualized risk and listing time on BM&FBOVESPA. Next, we calculated the average return of each portfolio for every quarter. The data for the first and last quintiles were analyzed via two - factor ANOVA, using sentiment index of the previous period (positive or negative) as the main factor and each characteristic as controlling factors. Finally, the sentiment index was included in a panel data pricing model. The results indicate a significant and negative relationship between the market sentiment index and the future rates of return. These findings suggest the existence of a reversion pattern in stock returns, meaning that after a positive sentiment period, the impact on subsequent stock returns is negative , and vice - versa |
| Disciplines: | Economía |
| Keyword: | Condiciones económicas, Empresas, Finanzas, Precios, Tasa de retorno, Bolsa de Valores de Sao Paulo, Portafolio, Mercado de valores, Brasil |
| Full text: | Texto completo (Ver PDF) |
