The phenomenon of extraordinary returns resulting from stock inclusion in and exclusion from the theoretical market portfolio of the Bovespa index
DOI:
https://doi.org/10.1590/S1519-70772007000400007Keywords:
Extraordinary returns, Signaling, BenchmarkAbstract
This research aims to measure extraordinary returns of stocks due to their inclusion in and exclusion from the Theoretical Market Portfolio of the São Paulo Stock Exchange Index, using the "Event Study" methodology and the Capital Asset Pricing Model - CAPM - as a benchmark. It is concluded that the stocks on the São Paulo Stock Exchange which were affected by the recomposition of the Theoretical Portfolio gave evidence of price changes during the firsthalf of the 1990's.Downloads
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