Racionalidade e previsibilidade no mercado brasileiro de ações: uma aplicação de modelos de valor presente

Abstract

This article tests Present Value Models for the Brazilian stock market using the Bovespa Index. These models relate the price of a stock to its expected discounted cash-flow using either a constant or a variable discount factor. To perform econometric testing we use mainly Wald tests in a Vector Autoregression framework, as well as alternative testing procedures. The empirical results support present-value theory for the Bovespa Index, since the optimal prediction of the long-run equilibrium spread is very similar to the actual data.