Splits - ineficiência no mercado de ações

Leite, Jaci Corrêa

doi:10.1590/S0034-75901994000500006

Split; capital market; stock market; market efficiency

Bonificação; eficiência de mercado; mercado de ações; mercado de capitais; split

ARTIGOS

Splits - ineficiência no mercado de ações

Jaci Corrêa Leite

Professor do Departamento de Informática e Métodos Quantitativos da EAESP/FGV

Palavras-chave: Bonificação, eficiência de mercado, mercado de ações, mercado de capitais, split.

Key words: Split, capital market, stock market, market efficiency.

Texto completo disponível apenas em PDF.

Full text available only in PDF format.

Artigo recebido pela Redação da RAE em outubro/92, avaliado em abril/92, dezembro/92, agosto/93, abril/94, aprovado em junho/94.

1. SANVICENTE,.Antonio Zoratto. Administração financeira. 3. ed., São Paulo: Atlas, 1987.

2. CHOTTINER, Sherman, Young, Allan. A test of AICPA differentiation between stock dividends and stock splits. Journal of Accounting Research, n. 9, p. 367-74, 1971.

3. FAMA, Eugene F. Efficient capital markets: a review of theory and empirical work. The Journal of Finance, v. XXV, n. 2, p. 384-417, May 1970.

4. COPELAND, Thomas E., WESTON, J. Fred. Financial theory and corporate policy. 2. ed. Massachussets: AddisonWesley, Reading, 1983; SOLOMON, Ezra, PRINGLE, John J. Introdução à administração financeira. São Paulo: Atlas, 1981; OLIVEIRA, Miguel Delmar Barbosa de (org.). Introdução ao mercado de ações. Rio de Janeiro: Comissão Nacional de Bolsas de Valores, 1985. LEITE; Hélio de Paula. Introdução à administração financeira. São Paulo: Atlas, 1985.

5. BARKER, C. Austin. Effective stock splits. Harvard Business Review, p. 101-6, Jan./Feb. 1956.

6. FAMA, Eugene F., FISHER, Lawrence, JENSEN, Michael C., ROLL, Richard. The adjustment of stock prices to new information. lnternational Economic Review, v. 10, n. 1, p. 1-21, Feb.1969.

7. COPELAND, Thomas E., WESTON, J. Fred. Op. cit.

8. HAUSMAN. W. H., WEST, R, R., LARGAY, J. A. Stock splits, price changes and trading profits: a synthesis. The Journal of Business, p, 69-77, Jan. 1971.

9. BARKER, C. Austin. Op cit.; BAKER, H. Kent, GALLAGHER, Patricia L. Management's view of stock splits. Financial Management. n. 9. p. 73-7. 1980.

10. COPELAND, Thomas E. Liquidity changes following stock splits. The Journal of Finance, n. 34, p. 115·41, Mar. 1979,

11. LAKONISHOK, Josef, LEV, Baruch. Stock splits and stock dividends: why, who and when. The Journal of Finance, n. 42, p. 913-31, Sep. 1987.

12. GRINBLATT, Mark S., MASULIS, Ronald W., TITMAN, Sheridan. The valuation effects of stock splits and stock dividends. Journal of Financial Economics, n. 13, p. 461-90, 1984. ·

13. HARRIS, Ellie. Stock splits: a signalling model based on reputation. Unpublished paper. Department of Finance, NorthWestern University. p. 1·38, Dec.1984,

14. JOHNSON, Keith B. Stock splits and price changes. The Journal of Finance, V. XXI, p. 675-86, Dec. 1966.

15. WONNACOTT. Thomas H., WONNACOTT. Ronald R. Introdução à Estatística. Rio de Janeiro: Livros Técnicos e Científicos, 1980.

16. FAMA, Eugene F. Risk, return and equilibrium: some clarifying comments. The Journal of Finance, v. XXIII, n. 2 p. 29-41, Mar. 1968.

17. LEITE, Hélio de Paula. Op. cit.

18. OHLSON, James A., PENMAN, Stephen A. Volatility increases subsequent to stock splits: an empirical aberration. Journal of Financial Economics, n.14, p. 251-66, 1985.

19. BAR-YOSEF, Sasson, BROWN, Lawrence D A reexamination of stock splits using moving betas. The Journal of Finance, v. XXXII, n. 4, p. 1069-8

20. CHAREST, Guy. Split information, stock returns and market efficiency, I and II. Journal of Financial Economics, n. 6, p. 265-96, 297-330, 1978.

21. SCHOLES, Myron, WILLIANS, Joseph. Estimating betas from non-synchronous data. Journal of Financial Economics, n. 5, p. 309-27, 1977.

22. FONSECA, Jairo Simon, MARTINS, Gilberto de Andrade. Curso de Estatística. 3. ed. São Paulo: Atlas,1984.

23. WONNACOTT, Thomas H., WONNACOTT, Ronald R. Op. cit.

24. WEINSTEIN, Mark I. The effect of a rating change announcement on bond price. Journal of Financial Economics, n. 5. p.329-50, 1977.

25. WONNACOTT, Thomas H., WONNACOTT, Ronald R. Op.cit.

26. GRINBLATT. Mark S. et al. Op.cit.

1. SANVICENTE,.Antonio Zoratto. Administração financeira. 3. ed., São Paulo: Atlas, 1987.
2. CHOTTINER, Sherman, Young, Allan. A test of AICPA differentiation between stock dividends and stock splits. Journal of Accounting Research, n. 9, p. 367-74, 1971.
3. FAMA, Eugene F. Efficient capital markets: a review of theory and empirical work. The Journal of Finance, v. XXV, n. 2, p. 384-417, May 1970.
4. COPELAND, Thomas E., WESTON, J. Fred. Financial theory and corporate policy. 2. ed. Massachussets: AddisonWesley, Reading, 1983;
SOLOMON, Ezra, PRINGLE, John J. Introdução à administração financeira. São Paulo: Atlas, 1981;
OLIVEIRA, Miguel Delmar Barbosa de (org.). Introdução ao mercado de ações. Rio de Janeiro: Comissão Nacional de Bolsas de Valores, 1985.
LEITE; Hélio de Paula. Introdução à administração financeira. São Paulo: Atlas, 1985.
5. BARKER, C. Austin. Effective stock splits. Harvard Business Review, p. 101-6, Jan./Feb. 1956.
6. FAMA, Eugene F., FISHER, Lawrence, JENSEN, Michael C., ROLL, Richard. The adjustment of stock prices to new information. lnternational Economic Review, v. 10, n. 1, p. 1-21, Feb.1969.
8. HAUSMAN. W. H., WEST, R, R., LARGAY, J. A. Stock splits, price changes and trading profits: a synthesis. The Journal of Business, p, 69-77, Jan. 1971.
9. BARKER, C. Austin. Op cit.; BAKER, H. Kent, GALLAGHER, Patricia L. Management's view of stock splits. Financial Management. n. 9. p. 73-7. 1980.
10. COPELAND, Thomas E. Liquidity changes following stock splits. The Journal of Finance, n. 34, p. 115ˇ41, Mar. 1979,
11. LAKONISHOK, Josef, LEV, Baruch. Stock splits and stock dividends: why, who and when. The Journal of Finance, n. 42, p. 913-31, Sep. 1987.
12. GRINBLATT, Mark S., MASULIS, Ronald W., TITMAN, Sheridan. The valuation effects of stock splits and stock dividends. Journal of Financial Economics, n. 13, p. 461-90, 1984.
13. HARRIS, Ellie. Stock splits: a signalling model based on reputation. Unpublished paper. Department of Finance, NorthWestern University. p. 1ˇ38, Dec.1984,
14. JOHNSON, Keith B. Stock splits and price changes. The Journal of Finance, V. XXI, p. 675-86, Dec. 1966.
15. WONNACOTT. Thomas H., WONNACOTT. Ronald R. Introdução à Estatística. Rio de Janeiro: Livros Técnicos e Científicos, 1980.
16. FAMA, Eugene F. Risk, return and equilibrium: some clarifying comments. The Journal of Finance, v. XXIII, n. 2 p. 29-41, Mar. 1968.
18. OHLSON, James A., PENMAN, Stephen A. Volatility increases subsequent to stock splits: an empirical aberration. Journal of Financial Economics, n.14, p. 251-66, 1985.
19. BAR-YOSEF, Sasson, BROWN, Lawrence D A reexamination of stock splits using moving betas. The Journal of Finance, v. XXXII, n. 4, p. 1069-8
20. CHAREST, Guy. Split information, stock returns and market efficiency, I and II. Journal of Financial Economics, n. 6, p. 265-96, 297-330, 1978.
21. SCHOLES, Myron, WILLIANS, Joseph. Estimating betas from non-synchronous data. Journal of Financial Economics, n. 5, p. 309-27, 1977.
22. FONSECA, Jairo Simon, MARTINS, Gilberto de Andrade. Curso de Estatística. 3. ed. São Paulo: Atlas,1984.
24. WEINSTEIN, Mark I. The effect of a rating change announcement on bond price. Journal of Financial Economics, n. 5. p.329-50, 1977.

Datas de Publicação

Publicação nesta coleção
11 Jun 2013
Data do Fascículo
Out 1994

Histórico

Recebido
Out 1992
Aceito
Jun 1994

This work is licensed under a Creative Commons Attribution 4.0 International License.

[1] 1. SANVICENTE,.Antonio Zoratto. Administração financeira. 3. ed., São Paulo: Atlas, 1987.

[2] 2. CHOTTINER, Sherman, Young, Allan. A test of AICPA differentiation between stock dividends and stock splits. Journal of Accounting Research, n. 9, p. 367-74, 1971.

[3] 3. FAMA, Eugene F. Efficient capital markets: a review of theory and empirical work. The Journal of Finance, v. XXV, n. 2, p. 384-417, May 1970.

[4] 4. COPELAND, Thomas E., WESTON, J. Fred. Financial theory and corporate policy. 2. ed. Massachussets: AddisonWesley, Reading, 1983;

[5] SOLOMON, Ezra, PRINGLE, John J. Introdução à administração financeira. São Paulo: Atlas, 1981;

[6] OLIVEIRA, Miguel Delmar Barbosa de (org.). Introdução ao mercado de ações. Rio de Janeiro: Comissão Nacional de Bolsas de Valores, 1985.

[7] LEITE; Hélio de Paula. Introdução à administração financeira. São Paulo: Atlas, 1985.

[8] 5. BARKER, C. Austin. Effective stock splits. Harvard Business Review, p. 101-6, Jan./Feb. 1956.

[9] 6. FAMA, Eugene F., FISHER, Lawrence, JENSEN, Michael C., ROLL, Richard. The adjustment of stock prices to new information. lnternational Economic Review, v. 10, n. 1, p. 1-21, Feb.1969.

[10] 8. HAUSMAN. W. H., WEST, R, R., LARGAY, J. A. Stock splits, price changes and trading profits: a synthesis. The Journal of Business, p, 69-77, Jan. 1971.

[11] 9. BARKER, C. Austin. Op cit.; BAKER, H. Kent, GALLAGHER, Patricia L. Management's view of stock splits. Financial Management. n. 9. p. 73-7. 1980.

[12] 10. COPELAND, Thomas E. Liquidity changes following stock splits. The Journal of Finance, n. 34, p. 115ˇ41, Mar. 1979,

[13] 11. LAKONISHOK, Josef, LEV, Baruch. Stock splits and stock dividends: why, who and when. The Journal of Finance, n. 42, p. 913-31, Sep. 1987.

[14] 12. GRINBLATT, Mark S., MASULIS, Ronald W., TITMAN, Sheridan. The valuation effects of stock splits and stock dividends. Journal of Financial Economics, n. 13, p. 461-90, 1984.

[15] 13. HARRIS, Ellie. Stock splits: a signalling model based on reputation. Unpublished paper. Department of Finance, NorthWestern University. p. 1ˇ38, Dec.1984,

[16] 14. JOHNSON, Keith B. Stock splits and price changes. The Journal of Finance, V. XXI, p. 675-86, Dec. 1966.

[17] 15. WONNACOTT. Thomas H., WONNACOTT. Ronald R. Introdução à Estatística. Rio de Janeiro: Livros Técnicos e Científicos, 1980.

[18] 16. FAMA, Eugene F. Risk, return and equilibrium: some clarifying comments. The Journal of Finance, v. XXIII, n. 2 p. 29-41, Mar. 1968.

[19] 18. OHLSON, James A., PENMAN, Stephen A. Volatility increases subsequent to stock splits: an empirical aberration. Journal of Financial Economics, n.14, p. 251-66, 1985.

[20] 19. BAR-YOSEF, Sasson, BROWN, Lawrence D A reexamination of stock splits using moving betas. The Journal of Finance, v. XXXII, n. 4, p. 1069-8

[21] 20. CHAREST, Guy. Split information, stock returns and market efficiency, I and II. Journal of Financial Economics, n. 6, p. 265-96, 297-330, 1978.

[22] 21. SCHOLES, Myron, WILLIANS, Joseph. Estimating betas from non-synchronous data. Journal of Financial Economics, n. 5, p. 309-27, 1977.

[23] 22. FONSECA, Jairo Simon, MARTINS, Gilberto de Andrade. Curso de Estatística. 3. ed. São Paulo: Atlas,1984.

[24] 24. WEINSTEIN, Mark I. The effect of a rating change announcement on bond price. Journal of Financial Economics, n. 5. p.329-50, 1977.

Brasil

Brasil

Splits - ineficiência no mercado de ações

Datas de Publicação

Histórico