Publicação
The relationship between changes in debt levels and firms’ stock returns within emerging markets. Evidence from Brazil
| Resumo: | I document a positive effect of both, positive and negative changes, of a firm’s leverage ratio on its stock returns for the Brazilian emerging market for the period of ranging from 2000 to 2016. I find positive alphas which indicates the existence of abnormal returns and try to explain them using asset pricing models. Additionally, I use the Event study methodology to quantify both the abnormal and cumulative abnormal returns. Furthermore, I run time series regressions for each company in the Brazilian index with available data to test the CAPM and Fama French 3 factor models and include other variables to possibly explain the abnormal returns. |
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| Autores principais: | Sattar, Sohebe |
| Assunto: | Capital structure Leverage change Stock returns Abnormal return |
| Ano: | 2019 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | Universidade Nova de Lisboa |
| Idioma: | inglês |
| Origem: | Repositório Institucional da UNL |
| Resumo: | I document a positive effect of both, positive and negative changes, of a firm’s leverage ratio on its stock returns for the Brazilian emerging market for the period of ranging from 2000 to 2016. I find positive alphas which indicates the existence of abnormal returns and try to explain them using asset pricing models. Additionally, I use the Event study methodology to quantify both the abnormal and cumulative abnormal returns. Furthermore, I run time series regressions for each company in the Brazilian index with available data to test the CAPM and Fama French 3 factor models and include other variables to possibly explain the abnormal returns. |
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