Capital gains overhang and irrelevant value characteristics of Brazilian companies

Q3 Business, Management and Accounting Contaduria y Administracion Pub Date : 2023-05-25 DOI:10.22201/fca.24488410e.2023.4738

Rodrigo Abbade Da Silva, Newton Carneiro Affonso da Costa Jr, Pedro Piccoli, M. Rocha Armada

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Abstract

This study, based on Ahmed’s (2017) work for the US market, examines whether the prices of shares traded on the stock market of a developing country, such as Brazil, can also be influenced by noise traders who make their decisions based on irrelevant information. Using data from the Brazilian stock market between Jan/2003 and Sep/2018 we show that irrelevant firm characteristics are associated with variations in capital gains overhang (CGO), a proxy for the disposition effect bias. Our results are quite similar to those found by Ahmed (2017) for the US. However, the two markets show different results for the relationship between CGO and market liquidity and systematic risk for the entire sample period. Also, we find that there is an inverse relationship between investor sentiment and CGO at times of market upward movement. Overall, the influence of variables considered irrelevant was confirmed in robustness checks. These results may imply that noise traders evaluate stocks and companies based on their irrelevant characteristics, and this behavior, which is not compensated for by rational investors, temporarily influences the market by generating price distortions like the disposition effect.

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巴西公司的资本收益过剩和不相关的价值特征

这项研究基于Ahmed（2017）对美国市场的研究，考察了在巴西等发展中国家的股票市场上交易的股票价格是否也会受到噪音交易员的影响，他们根据无关信息做出决定。使用2003年1月至2018年9月期间巴西股市的数据，我们发现不相关的公司特征与资本收益悬置（CGO）的变化有关，资本收益悬悬置是处置效应偏差的代表。我们的结果与Ahmed（2017）在美国发现的结果非常相似。然而，在整个样本期内，两个市场对CGO与市场流动性和系统风险之间的关系显示出不同的结果。此外，我们发现，在市场上行时，投资者情绪和CGO之间存在反比关系。总体而言，稳健性检验证实了被认为不相关的变量的影响。这些结果可能意味着，噪音交易者根据股票和公司的无关特征来评估股票和公司，而这种行为没有得到理性投资者的补偿，而是通过产生价格扭曲（如处置效应）来暂时影响市场。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Contaduria y Administracion Business, Management and Accounting-Business, Management and Accounting (all)

CiteScore

0.90

自引率

0.00%

发文量

审稿时长

14 weeks

期刊介绍： Contaduría y Administración (Accounting and Management)is a quarterly journal aimed to the academic community. Being peer-reviewed by double blind process,seeks to contribute to the advancement of scientific and technical knowledge in the financial and administrative disciplines. This journal publishes original theoretical or applied research (No case studies, descriptive and exploratory) in Spanish and English on the following subjects: • Organization Management • Production Management and Operations • Human Resources Management • Management of Information Technology • Accounting and Auditing • Management and Leadership • Business Economics • Entrepreneurship • Business Environment • Finance • Operations Research • Innovation and Technological Change in Organizations • Marketing • Micro, Small and Medium Enterprises • Planning and Business Strategies • Management Theory • Financial Theory • Business Decisions Contaduría y Administración (Accounting and Management) also receives research papers on related areas to the above mentioned.