Eficiência informacional e racionalidade do mercado: testes com ações de empresas que compõem o IGC no período 2003-2007

Abstract

This study tests the informational efficiency and Rationality of the stock market of companies that comprise the Corporate Governance Index (IGC). The analysis was based 41 stocks selected by the indicator of liquidity on the stock exchange. The research involved testing for weak-form and semistrong efficiency, anomalies and test Rationality. Those tests involved the following methods: i) test autocorrelation, which used the statistics of Ljung-Box (LB), ii) unit-root tests in which tests used the Augmented Dickey-Fuller (ADF), the Phillips-Perron test and the KPSS test (Kwiatkowski, Phillips, Schmidt, and Shin), iii) test of Johansen cointegration where, as a proxy of the international market, using the index Standard & Poor's 500 (S & P 500), iv) Study of events, v) multiple regression with dummy variables, and vi) test volatility. It was used daily data for tests of informational efficiency and effect day-toweek and monthly data for the test of Rationality and months of the year, in a period between January 2003 and December 2007. The results of the tests Random Walk indicate that, although some actions sho w is predictable about the prices, most of them points to unpredictability of prices, supporting the hypothesis of efficiency in weak form. In tests of market anomalies, no pattern was detected on the day of the week. Besides, were not detected abnormal returns in January. As for the study of events, abnormal returns were observed in previous days, which could mean a possible leak of information, and later, pointing to a delayed market reaction. The variables, size and return of the market were the main variables of Abnormal Returns accrued. These results indicate that the Brazilian market for companies with governance is efficient in the weak-form. Already in the test of volatility we found sufficient evidence to reject the hypothesis that prices accurately reflect the expectations of investors.