Desenvolvimento de um modelo de regressão linear para análise da variação dos preços de ações de empresas de construção civil com base no indicador de retorno sobre o patrimônio líquido

Abstract

This paper presents a study that seeks to determine the role that a fundamentalist indicator, Return On Equity (ROE), has to predict the results of valuation of shares in the Brazilian market in the segment of Construction. Through this study, a prediction model will be developed, if this indicator give indications that have a significant importance in determining the valuation of the shares in the Brazilian market. It has been used basically three steps to achieve the goals. First data was collected using the BM&FBovespa site as a source, after that a visual subjective analysis has been done to find the best way to use the available information and, finally, the linear model was developed by following a procedure that certifies their suitability to data collected. Then it was found that it is possible to develop a linear model whose input is the return on equity and the output to the variation of the action. However, the model was only consistent with the use of the average of these indicators, proving it would be very difficult to develop a model, at least minimally reliable for the short term. Moreover, mathematical transformations are necessary to reduce the variation of data, making them closer to linearity. The errors obtained in the test of the model are acceptable, given the high volatility displayed by the stock market.