Avaliação empírica do modelo de Burgstahler e Dichev no mercado brasileiro

Daphnis Theodoro da Silva, Alexsandro Broedel Lopes and Luiz João Corrar

RAC - Revista de Administração Contemporânea (Journal of Contemporary Administration), 2007, vol. 11, issue spe2, 145-161

Abstract: Recent studies indicate that earnings and book values are important factors in explaining stock prices. This paper uses the work of Burgstahler and Dichev (1997), which used a model based on option pricing theory and concluded that stock prices are convex functions of profits when book values are kept constant and stock prices are a convex function of book values when earnings are constant. Using an adapted methodology and applying on a sample of stocks traded on the Brazilian market, the tests realized through a comparison of two portfolios with high and low price-to-book ratio supported the hypothesis, as expected.

Date: 2007
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