Finanças comportamentais: análise dos fatores do efeito manada em empresas listadas na [B]3- Brasil Bolsa Balcão

This work was based on the Prospect Theory (KAHNEMAN; TVERSKY, 1979), from the perspective of the heuristic of the herd effect, and its general objective was to investigate the relationship between the subprime crisis, news publishing and company size with The behavior of the 100 companies with the highest trading volumes listed in [B]3 Brazil Stock Exchange Counter, in the period from 2007 to 2016. In order to achieve this, it was used, as a methodology, initially, to identify the presence of the The cross-Sectional Absolute Deviation of Returns (CSAD) model, proposed by Chang, Cheng and Khorana (2004), was taken as a basis. The relationships among the variables were analyzed by regression of the panel data model with fixed effects and robust standard errors. In addition, the Variance Inflation Factor (VIF) and the tolerance value (1/VIF) were tested for multicollinearity; The Wooldridge autocorrelation; And those of White and Breusch Pagan heteroscedasticity. In general, the results found indicated a positive relationship between the herd behavior and the subprime crisis and the publication of good news, however, revealed a negative relation with the size of the company. For the variable Bad News the results did not show statistical significance (p-value> 0.26), so the hypothesis of a negative relationship between the herd effect and the bad news (H3) was rejected. Therefore, investors are influenced by the positive news about companies, and this tends to generate in them an investment behavior similar to that presented by the larger groups of investors, that is, the herd effect.

Grantor dc:publisher

Universidade Federal da Paraíba

Year dc:date.issued

2017

Author dc:creator

• Silva, Vanessa de Menêses

• Finanças comportamentais
• Heurística do comportamento manada
• Mercado financeiro
• Teoria do prospecto

Statement dc:rights

• Acesso aberto

Language dc:language

por

Repository record dc:identifier.uri

https://repositorio.ufpb.br/jspui/handle/123456789/1933

OAI identifier oai:identifier

oai:repositorio.ufpb.br:123456789/1933