Market rationality after disclosure of relevant data: a Brazilian company case

Authors

  • Carlos Elder Maciel de Aquino
  • José Everardo Alves Pereira
  • José Odálio dos Santos
  • Alexandre Franco de Godoi
  • Fernando de Almeida Santos

Keywords:

Event study, Intraday, Efficient market hypothesis

Abstract

The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (EMH) and Behavioral Finance theories were tested through the Event Study methodology. The research is empirical-analytical in nature, with a quantitative and descriptive approach in relation to the proposed objective. The statistical inferences were built by correlation analysis, linear regression tests and the results were evaluated based on the p-values obtained in the tests. The results indicate that events classified as static and dynamic in the research tend to lead to a higher trading volume and a greater volatility in the
share price at the beginning of the first negotiation session after the relevant fact announcement, with adjustments along the day and further negotiations sessions. This evidences investors’ irrational behavior in the first two hours of negotiations.

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Author Biographies

Carlos Elder Maciel de Aquino

Pontifícia Universidade Católica de São Paulo, Rua Ministro de Godoy, 969, São Paulo, BRASIL

José Everardo Alves Pereira

Pontifícia Universidade Católica de São Paulo, Rua Ministro de Godoy, 969, São Paulo, BRASIL

José Odálio dos Santos

Pontifícia Universidade Católica de São Paulo, Rua Ministro de Godoy, 969, São Paulo, BRASIL

Alexandre Franco de Godoi

Pontifícia Universidade Católica de São Paulo, Rua Ministro de Godoy, 969, São Paulo, BRASIL

Fernando de Almeida Santos

Pontifícia Universidade Católica de São Paulo, Rua Ministro de Godoy, 969, São Paulo, BRASIL

Published

2020-11-11

How to Cite

Maciel de Aquino, C. E. ., Alves Pereira, J. E. ., Odálio dos Santos, J. ., Franco de Godoi, A. ., & de Almeida Santos, F. . (2020). Market rationality after disclosure of relevant data: a Brazilian company case. RAN - Revista Academia & Negocios, 5(2), 29-42. Retrieved from https://revistas.udec.cl/index.php/ran/article/view/2614

Issue

Section

Research Article

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