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Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L)
[Initial Public Offer of stocks in Brazil: an analysis of returns from stocks with low Price/earnings ratio]

Author

Listed:
  • Saturnino, Odilon
  • Saturnino, Valéria
  • Lucena, Pierre
  • Caetano, Marcelino
  • Florencio dos Santos, Josete

Abstract

The Brazilian capital market has been in the last 10 years a attractive space for negotiations and opening of company’s capital. The early studies of market anomalies that are looking for evidence on reasons of understatement and overstatement at the time of the IPO in Brazil date back to decade of 1970, from the perspective of the assumptions of hypothesis market’s efficiency. This study had as objective analyze the performance of the stocks of companies which opened their capital in BOVESPA between 2002 and 2010, seeking to identify those to obtain extraordinary returns by evaluating the multiple price / future earnings of these companies, the industry and the trading volume, as a basis for measuring the performance of stocks, reapplying the methodology proposed by Casotti and Motta (2008). We used 82 stocks of companies that have done IPO, to compare its performance with the sector through hypothesis tests for comparison of means and correlation analysis, as well as ross section regression. The results corroborate those found by authors above cited, that can’t be statistically confirmed an stock that has its ratio of price / earnings and future price / earnings ratio of sector less than one, characterizing it as an undervalued share, bring returns abnormal in the short or long term. Furthermore, the regression results significantly show that the lower the offer price stock, the greater is your risk premium in the third and fourth years.

Suggested Citation

  • Saturnino, Odilon & Saturnino, Valéria & Lucena, Pierre & Caetano, Marcelino & Florencio dos Santos, Josete, 2012. "Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L) [Initial Public Offer of stocks in Brazil: an analysis of returns from s," MPRA Paper 48106, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:48106
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    References listed on IDEAS

    as
    1. Fama, Eugene F & French, Kenneth R, 1996. "Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
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    More about this item

    Keywords

    IPO; Cross-Section; Price Earnings Index;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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