Market Reaction and Volatility in the Brazilian Stock Market
AbstractWe perform an event study to investigate stock returns associated to the announcement of equity issues by Brazilian firms between 1992 and 2003 aiming to determine the market reaction before, during, and after the issue announcement. After measuring abnormal returns by OLS, we used ARCH and GARCH models over 70% of the sample. The results show signs of insider information, negative abnormal returns around the announcement, and persistent negative abnormal returns in the long-term after the issue. The results are consistent with the extant empirical literature and show that ARCH/GARCH estimation of abnormal returns is superior to OLS estimation.
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Bibliographic InfoPaper provided by EconWPA in its series Finance with number 0412020.
Length: 13 pages
Date of creation: 15 Dec 2004
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Brazilian stock market; event study; market reaction; GARCH;
Find related papers by JEL classification:
- G - Financial Economics
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-12-20 (All new papers)
- NEP-CFN-2004-12-20 (Corporate Finance)
- NEP-FIN-2004-12-20 (Finance)
- NEP-FIN-2004-12-22 (Finance)
- NEP-FMK-2004-12-20 (Financial Markets)
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