Searching for evidence of the asset growth effect in Ibovespa: an exploratory study
DOI:
https://doi.org/10.1590/S1519-70772010000300004Keywords:
Negative relationship, Asset growth, Asset return, Panel dataAbstract
The main objective of this study is to analyze, for Brazil, the existence of an intriguing question in the international literature: firms with lower growth in total assets observed superior returns compared to those with higher growth. Therefore, the Bovespa index was considered as a proxy for the Brazilian market. Among the companies in the index, non-financial firms were selected, for which data were available for the period from 2000 to 2009. In order to verify whether there is a negative relationship between total assets growth and stock returns, we first separated them into four portfolios, based on the weighted average growth of total assets, and the logarithmic returns were calculated. In addition to descriptive statistics, a correlation matrix, ADF unit root test, linear regressions and annual panel data were developed. Based on the results, we concluded that it is not possible to say that this relationship exists in Brazil as the tests were not statistically significant. One possible reason for these results is that Brazil has lines of funding from official bodies, with low interest rates, which influences the market to react even positively in view of a growth in total assets.Downloads
Downloads
Published
Issue
Section
License
The content of the article(s) published in the RC&F are of the entire liability of the authors, including with regard to the truth, updating and accuracy of data and information. The authors shall assign the rights in advance to the Department of Accounts and Actuarial Sciences of the FEA/USP, which shall permit the publication of extracts or of the whole, with prior permission, provided that the source is cited (Creative Commons – CCBY).
RC&F shall not charge a fee for the submission of articles. The submission of articles to RC&F shall imply that the author(s) authorizes/authorize its publication without the payment of author’s rights.
The submission of articles shall authorize the RC&F to adjust the text of the article(s) to their publication formats and if necessary, to make spelling, grammar and regulatory changes.