Variáveis da análise fundamentalista e dinâmica e o retorno acionário de empresas brasileiras entre 2007 e 2014

Abstract

Despite the extensive theoretical and empirical evidence on the relationship between information and indicators extracted from the financial statements and the stock returns, there is still no consensus in national and international literature about what would be the metrics of stock returns prediction, useful to investors in planning investment strategies. This paper aims to identify variables of fundamental and dynamics analysis that explain stock returns of Brazilian companies listed on BM&FBovespa. Were analyzed quarterly panel data with fixed effects from the first quarter of 2007 (2007:1) to the fourth quarter of 2014 (2014:4), in a sample of 46 common shares and 21 preferred shares of non-financial companies’ components IBrX100. We found eight variables with power of the stock return explanation, all the fundamental analysis: share of debt (PCT), gross margin (MB), return on assets (ROA), return on equities (ROE) e return on investment (ROI), negotiability index (INEG), profit per share (EPS) and market-to-book ratio (MBR). This paper contributes to the analysis of the role of economic and financial indicators for predicting stock return.