Impacto da Recomendação de Analistas de Sell-Side Nos Preços das Ações

Liliam Sanchez Carrete; Ana Carolina Sayuri Yamaguchi; Rosana Tavares

doi:10.7444/188

Impacto da Recomendação de Analistas de Sell-Side Nos Preços das Ações

Liliam Sanchez Carrete, Ana Carolina Sayuri Yamaguchi, Rosana Tavares

Resumo

IMPACTO DA RECOMENDAÇÃO DE ANALISTAS DE SELL-SIDE NOS PREÇOS DAS AÇÕES

OBJETIVO
Esta pesquisa tem como objetivo investigar se as recomendações realizadas por parte dos analistas sell-side impactam o preço das ações no mercado brasileiro. Insere-se na teoria de Eficiência de Mercado onde os preços das ações refletem integralmente todas as informações relativas a um determinado ativo de forma que nenhum investidor é capaz de gerar retornos excedentes de forma consistente. Evidências de retornos anormais positivos a partir das recomendações de analistas sinalizam ineficiência de mercado nas formas semi-forte e forte.

METODOLOGIA
É utilizado um estudo de evento, baseado no retorno anormal das ações a partir de 952 recomendações de compra, de venda e neutra realizadas ao longo do ano de 2012. O mé-todo é baseado em estudo semelhante realizado por Womack (1996).

RESULTADOS E CONCLUSÕES
Os analistas sell-side impactam os preços das ações no mesmo dia, após um dia, após cinco dias, após quinze dias e após trinta dias que realizaram recomendações. Como es-perado, os impactos são no mesmo sentido da recomendação: recomendações negativas geram retornos negativos e vice-versa.

IMPLICAÇÕES PRÁTICAS
O estudo evidenciou que a atuação do analista de sell-side gera retornos anormais, o que é fundamental para aumentar a eficiência de mercado.

PALAVRAS-CHAVE
Retorno Anormal, Recomendação de Investimento, Cobertura de Analista, Eficiência de Mercado

EFFECT OF INVESTMENT RESEARCH SELL-SIDE REPORTS ON STOCK PRICES

OBJECTIVE
The objective of this research is investigate the effect of investiment research sell-side reports on stock prices listed at Sao Paulo Stock Exchange. As per Market Efficiency Hippothesis, stock prices reflect all information related to a specific asset and as a consequence no investor could obtain consistently abnormal returns. In case of presence of abnormal returns after sell-side analysts reports, this is an evidence that sell-side analysts are relevant to increment Market Efficiency.

METHODOLOGY
The methodology applied in the study is event study with 952 analysts reccomendation reports issued in 2012 based on Womack (1996).

RESULTS AND CONCLUSIONS
There is a negative abnormal return on the same day, the following day, five trading days, fifteen days and thirty days after a sell reccomendation. On the other side, buy reccomendations follows by positive abnormal returns on the same day, the following day, five trading days, fifteen days and thirty days after reccomendation report.

PRACTICAL IMPLICATIONS
This research presents evidences that sell-side analysts is important to increment Market Effciency and investor can achieve abnormal returns when following sell-side analyst reccomendations.

KEYWORDS
Abormal return, investment reccomendation, analyst coverage, market efficiency.

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