A reação do mercado de capitais brasileiro às decisões de investimento das empresas: um estudo empírico de evento

Abstract

The purpose in this work is to investigate the impact of Brazilian companies investment decisions, released by means of announcements, in the value of its stocks negotiated in São Paulo Stock Exchange over the period 1996 through 2003. The study was conducted based on two theoretical axles. The first one consisted of the traditional model of corporate valuation, suggested by Modigliani & Miller (1961), whose auxiliary hypothesis is the argument that managers seek to maximize the market value of the firm in making their corporate investment decisions. The second one was based on Tobin s Q ratio considered as an important index for valuable corporate investment opportunities. Assuming the existing link between the stock market and companies investment decisions, an event study was carried out in order to verify the existence of statistically significant abnormal returns around the dates on which firms publicly announced their future capital expenditure plans. The results have shown that managers do reveal information that is relevant to the valuation of their firms by means of announcements about the firm s capital expenditure plans and that stock market usually reacts consistently with the joint predictions of the market maximization hypothesis and the traditional model of corporate valuation. In this research, Tobin s Q ratio did not appear as an important variable in the revaluation of the investors' expectations when a corporate capital expenditure decision is released.