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Avaliação empírica do modelo de Burgstahler e Dichev no mercado brasileiro

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  • Daphnis Theodoro da Silva Jr.
  • Alexsandro Broedel Lopes
  • Luiz João Corrar

Abstract

Recent studies indicate that earnings and book values are important factors in explaining stock prices. This paper uses the work of Burgstahler and Dichev (1997), which used a model based on option pricing theory and concluded that stock prices are convex functions of profits when book values are kept constant and stock prices are a convex function of book values when earnings are constant. Using an adapted methodology and applying on a sample of stocks traded on the Brazilian market, the tests realized through a comparison of two portfolios with high and low price-to-book ratio supported the hypothesis, as expected.

Suggested Citation

  • Daphnis Theodoro da Silva Jr. & Alexsandro Broedel Lopes & Luiz João Corrar, 2007. "Avaliação empírica do modelo de Burgstahler e Dichev no mercado brasileiro," RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), ANPAD - Associação Nacional de Pós-Graduação e Pesquisa em Administração, vol. 11(spe2), pages 145-161.
    • Handle: RePEc:abg:anprac:v:11:y:2007:i:spe2:581
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