Co-assimetria e co-curtose na análise dos preços das ações no mercado financeiro nacional

Authors

  • Alexandre Silva de Oliveira Centro Universitário Franciscano
  • Luis Felipe Dias Lopes Universidade Federal de Santa Maria
  • Eduardo Botti Abbade Centro Universitário Franciscano

Keywords:

Mercado Financeiro, Preço de Ações, Administração, Co-Curtose, Co-Assimetria.

Abstract

The central issue of this research is to investigate and measure the stock price in the Brazilian financial market. It was investigated the influence of the third and fourth time in the pricing of assets, the influence of co-skewness in correlation with the proxy IBOV stocks, the influence of cokurtosis in correlation with the proxy IBOV stocks, the influence of co-skewness and co-kurtosis in the correlation between the proxy IBOV and stocks, its performance compared with the CAPM and the increase of the accuracy. Is was developed a literature review and a study of time series of the stocks that constituted the Ibovespa index in 30 May 2008, which was analyzed with the use of multiple regressions with the variables to systematic volatility, the systematic skewness and systematic kurtosis. As a result it was observed conclusively that co-skewness and co-kurtosis do not improve the performance of the model of pricing of assets.

Author Biographies

Alexandre Silva de Oliveira, Centro Universitário Franciscano

Possui Doutorado em Engenharia Agrícola, na Área de Mecanização Agrícola (2008); Mestrado em Administração, Área de Finanças (2008); Mestrado em Engenharia de Produção, Área de Planejamento Estratégico (2002); Especialização em Estatística e Modelagem Quantitativa, na Área de Séries Temporais (2009), Graduação em Engenharia Mecânica (2001), Graduação em Administração (2002) e Graduação em Ciências Contábeis (2006); todos pela Universidade Federal de Santa Maria (UFSM).

Luis Felipe Dias Lopes, Universidade Federal de Santa Maria

Possui graduação em Matemática Licenciatura Plena pela Faculdade Imaculada Conceição (1988), mestrado em Engenharia de Produção pela Universidade Federal de Santa Maria (1994) e doutorado em Engenharia de Produção pela Universidade Federal de Santa Catarina (2001). Atualmente é Professor Adjunto 4 da Universidade Federal de Santa Maria.

Eduardo Botti Abbade, Centro Universitário Franciscano

Possui graduação em Administração de Empresas pela Universidade Federal de Santa Maria - UFSM (2003) e mestrado em Administração pela Universidade Federal do Paraná – UFPR (2005). Atualmente é professor do Centro Universitário Franciscano - UNIFRA. Tem experiência e interesse de pesquisa nas áreas de Organizações, Estratégia e Marketing. Atua também como consultor de empresas e analista de mercado desenvolvendo estudos com ênfase em Pesquisa de Marketing, Análise Estratégica e Posicionamento de Mercado.

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Published

2009-11-04

Issue

Vol. 20 No. 1 (2009)

Section

Articles

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