Análise de convergência dos retornos das ações de empresas do setor financeiro,brasileiro

Abstract

OBJECTIVE The general objective is to question whether it is possible to identify convergent and divergent behavior in the temporal evolution of real earnings accumulated these shares during a period of economic stability. More specifically, the objective is to demonstrate the validity or not of the hypothesis of common growth trend in the evolution of retained earnings 31 shares listed on the BM&FBovespa 18 major Brazilian financial institutions during the period from the January 2000 to June 2007. METHODOLOGY Our study use the semiparametric framework proposed by Phillips and Sul (2007). This methodology enables the identification of a common trend of accumulated returns, allowing, however, a heterogeneous behavior of the observed variables over time, which could be an attractive front good to competitive and dynamic characteristics of the Brazilian financial sector. The spread of this vis- à-vis a graphical analysis of evolution of time series technique in question is the ability to make inferences robust statistics associated with grouping of shares, whose the behavior is very dynamic, even without imposing premises strong in view of the series are very volatile accumulated returns. RESULTS AND CONCLUSIONS The use of this convergence technique allows us to infer that the traditional and relevant Brazilian financial system. Although we have high and standardized levels of regulation and supervision, institutional transparency and competitiveness, this markets has an unusual pattern of divergence in terms of actual gain accumulated the shares of its main institutions. The largest gain levels appear to be associated with gran -des multiple banks offering high levels of outperformance weighted for risk, moderate kurtosis and high levels of payout and return on equity. PRACTICAL IMPLICATIONS This article aims to enter the discussion about Brazilian banking sector, under the fundamental assumption that the actions of the companies in this sector should reflect the macroeconomic aspects, besides sectorial and idiosyncratic variables. Betting in these multiple large banks in the composition of diversified portfolios, as well as in terms of global financial post-crisis recovery is supported by the results as an interesting investment strategy. On the other hand, multiple public medium banks, and financial and general insurance companies are companies whose shares do not indicate resilience in post-crisis periods.