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Master's Dissertation
DOI
10.11606/D.18.2017.tde-25092017-141341
Document
Author
Full name
Jéssica Eveline Arthuso
Institute/School/College
Knowledge Area
Date of Defense
Published
São Carlos, 2017
Supervisor
Committee
Kalatzis, Aquiles Elie Guimarães (President)
Laurini, Marcio Poletti
Sartoris Neto, Alexandre
Title in Portuguese
Impacto da avaliação equivocada dos preços das ações sobre o investimento das firmas: uma análise aplicada ao Brasil
Keywords in Portuguese
Mispricing
Decisões de investimento
Restrição financeira
Abstract in Portuguese
Utilizando informações financeiras de 226 firmas brasileiras nos anos de 2000 até 2015, este estudo buscou investigar se a mispricing (avaliação equivocada do preço das ações) presente no mercado financeiro possui influência nas decisões de investimento dessas firmas. A restrição financeira também foi incorporada ao modelo ao se utilizar os índices KZ, WW e SA na classificação das firmas: financeiramente restrito e financeiramente não restrito. Buscou-se evidenciar como firmas financeiramente restritas e irrestritas ajustam suas fontes de recursos financeiros em resposta à avaliação equivocado dos preços das ações. Estimou-se através do GMM-System um modelo de investimento dinâmico considerando as variáveis de investimento defasado e quadrático, fluxo de caixa, alavancagem, crescimentos das vendas, q de Tobin, e como proxy da mispricing, Accruals discricionárias e Composite Share Issuance. Os principais resultados apontaram que a mispricing atua de maneira positiva no nível de investimento das empresas brasileiras. Elevadas accruals e CSI contribuem para o que o investimento seja impulsionado em virtude da sobrevalorização dos preços das ações e consequente valoração de mercado das firmas. Essa sobrevalorização torna possível a captação de recursos via mercado e a implantação de novos projetos. Os efeitos da mispricing podem inclusive auxiliar na superação de questões de sub-investimentos e propiciar o aumento dos investimentos na economia, atuando como "relaxador" das restrições financeiras e incentivando a execução de projetos eficientes.
Title in English
Mispricing impact on firms investment decision: an analysis apllied to Brazil
Keywords in English
Financial constraints
Investment decisions
Mispricing
Abstract in English
Through financial information from 226 Brazilian firms between 2000 and 2015, this study investigated whether mispricing in the financial market influences the firm's investment decisions. The financial constraint was also incorporated in the study using the KZ, WW and SA indices to classify the firms into two groups: financially and non-financially constraint. It was expected to evidence how financially and non-financially constraint firms adjust their sources of resources in response to stock prices misjudgment. A dynamic investment model was estimated using the GMM-System, considering the lagged and quadratic investment variables, cash flow, leverage, sales growth, Tobin's q, and as a proxy for mispricing, discretionary accruals and Composite Share Issuance. The main results pointed out that mispricing acts positively on the level of investments of Brazilian companies. High accruals and CSI would contribute to the investment being boosted by the overvaluation of stock prices and the consequent market value of the firms. This overvaluation would allow the capture of resources via the market and the implementation of new projects. The mispricing effects could also indicate the issues of underinvestment and allow the increase of investments in the economy, presenting a "relaxing" effect of financial constraints and encouraging the execution of efficient projects.
 
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Publishing Date
2017-10-05
 
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