Capital gains overhang and irrelevant value characteristics of Brazilian companies

• Rodrigo Abbade da Silva ^[3] ; Newton da Costa Jr. ^[3] ; Pedro Piccoli ^[1] ; Manuel Rocha Armada ^[2]
  1. [1] Pontifícia Universidade Católica do Paraná

     Pontifícia Universidade Católica do Paraná

     Brasil

     
  2. [2] Universidade do Minho

     Universidade do Minho

     Braga (São José de São Lázaro), Portugal

     
  3. [3] Federal University of Santa Catarina, Florianopolis, Brazil

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• Localización: Contaduría y administración, ISSN 0186-1042, ISSN-e 2448-8410, Vol. 68, Nº. 4, 2023, págs. 287-316
• Idioma: inglés
• Títulos paralelos:
  • Ganancias de capital no realizadas y características de valor irrelevantes de las empresas Brasileñas
• Enlaces
  • Texto completo (pdf)
• Resumen
  • español

    Este estudio, basado en el trabajo de Ahmed (2017) para el mercado estadounidense, examina si los precios de las acciones negociadas en la bolsa de valores de un país en desarrollo, como Brasil, también pueden verse influenciados por noise traders que toman sus decisiones con base en información irrelevante. Utilizando datos de la bolsa de valores de Brasil entre enero de 2003 y septiembre de 2018, mostramos que las características irrelevantes de las empresas están asociadas con variaciones en las ganancias (o perdidas) de capital no realizadas (CGO), un proxy del sesgo del efecto disposición. Nuestros resultados son bastante similares a los encontrados por Ahmed (2017) para el mercado estadounidense.

    Sin embargo, los dos mercados muestran resultados diferentes para la relación entre CGO y liquidez de mercado y riesgo sistemático para todo el período de muestra. Además, encontramos que existe una relación inversa entre el sentimiento de los inversores y el CGO en momentos de movimiento alcista del mercado. En general, la influencia de las variables consideradas irrelevantes fue significativa en las comprobaciones de robustez. Estos resultados pueden implicar que los noise traders evalúan acciones y empresas en función de sus características irrelevantes, y este comportamiento, que no es compensado por inversores racionales, influye temporalmente en el mercado generando distorsiones de precios como el efecto disposición

  • English

    This study, based on Ahmed’s (2017) work for the US market, examines whether the prices of shares traded on the stock market of a developing country, such as Brazil, can also be influenced by noise traders who make their decisions based on irrelevant information. Using data from the Brazilian stock market between Jan/2003 and Sep/2018 we show that irrelevant firm characteristics are associated with variations in capital gains overhang (CGO), a proxy for the disposition effect bias. Our results are quite similar to those found by Ahmed (2017) for the US. However, the two markets show different results for the relationship between CGO and market liquidity and systematic risk for the entire sample period. Also, we find that there is an inverse relationship between investor sentiment and CGO at times of market upward movement. Overall, the influence of variables considered irrelevant was confirmed in robustness checks.

    These results may imply that noise traders evaluate stocks and companies based on their irrelevant characteristics, and this behavior, which is not compensated for by rational investors, temporarily influences the market by generating price distortions like the disposition effect.

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