Efficient market hypothesis of the Brazilian stock market after Plano Real: a event-study of mergers and acquisitions announcements
DOI:
https://doi.org/10.1590/S0080-21072006000100005Keywords:
market efficiency, event-study, trade-to-trade procedure, mergers and acquisitions, arbitrage, informational assimetry, Brasilian capital marketAbstract
The Hypothesis of Market Efficiency is being a paradigm of the Finance since 1960s, when it was revived and structured. It is based on the premise that important information is incorporated in an immediate and precise way to the prices of the financial assets, being - the average price - the best estimative of the price of a title. Roberts (1967) and Fama (1970), in the operationalization of the concept of market informational efficiency, defined it in three forms: weak, semi-strong and strong. Through an Event-Study of the announcements of mergers and acquisitions of firms negotiated on BOVESPA, among July 1994 and July 2002, the present article investigated if the Brazilian capital market started to present, after the Real Plan, the semi-strong form of informational efficiency. In the calculation of the abnormal returns, the Market Model, adapted by the procedure trade-to-trade, was then, employed. Therefore, one can conclude that in spite of the progresses, the Brazilian capital market didn.t perform in an efficient informational way during the analyzed period, in what refers to the semi-strong form. A fact, which, added to the other analyzed researches, bears evidence support contrary to the market efficiency model characteristic of that form.Downloads
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Published
2006-03-01
Issue
Section
Approach & Economy of Companies
How to Cite
Efficient market hypothesis of the Brazilian stock market after Plano Real: a event-study of mergers and acquisitions announcements. (2006). Revista De Administração, 41(1), 59-68. https://doi.org/10.1590/S0080-21072006000100005