Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector
DOI:
https://doi.org/10.21680/2176-9036.2024v16n1ID32104Keywords:
APT, Stock Exchange, CAPM, Covid-19, PetrobrasAbstract
Purpose: This article aims to elucidate whether the particularity of the high level of explanation of the relationship between the return on the market and the return on shares of companies in the oil sector in Brazil occurs similarly in other markets.
Methodology: The oil companies considered were listed as the main ones by Forbes, Fortune and Exame magazines. Their shares and market movement were obtained from their respective host countries stock exchanges, and other information on institutional websites (e.g: OPEC - Organization of the Petroleum Exporting Countries). As theoretical support, CAPM and APT metrics were applied between from January 2, 2015, to March 31, 2021.
Results: Considering the privileged position of the fuel sector for the movement of the level of economic activity of the countries, the result of this research confirmed that the particularity of the Brazilian scenario is observed in other countries with regard to the high level of explanation of the return of the superior market portfolio at 50%. The research observed that the Explanation Coefficient tends to capture in a more significant way the effects of crises that come from local economic contexts and impacts on the world economy, such as a possible reduction in the level of gross domestic product of countries such as the United States or the China. As for the unexpected event, such as Covid-19, the model, in principle, did not present the same result, which could be observed in the quarterly analyses.
Contributions of the Study: Research can help managers and investors, as by demonstrating similarities one can predict future events or assist in decision-making
Downloads
References
Berry, K.; Hasan, T., & O’Bryan, D. (1997). The value-relevance of reserve quantity disclosures conditioned on primary financial statement information. Journal of Energy Finance & Development, 2, 249-260.
Black, F.; Jensen, M., & Scholes, M. (1972) The capital asset pricing model: some empirical testes. In: Jensen, M. C. (Org.). Studies in the Theory of Capital Markets, New York: Praeger.
Bruni, A. L., & Fama, R. (1998). Eficiência, previsibilidade dos preços e anomalias em mercados de capitais: teoria e evidências. Caderno de Pesquisas em Administração, v. 1, n. 7, p. 71-85.
Carhart, M. M. (1997). On persistence in mutual fund performance. Journal of Finance, Chicago, American Finance Association, v. 52, n. 1, p.57-82.
Damodaran, A. (2004). Finanças corporativas: teoria e prática. 2a. ed. Porto Alegre: Bookman.
Domingues, J. C. A., Ribeiro, E. M. S. (2016). A relevância das informações contábeis e suplementares na avaliação de petrolíferas mundiais. Revista Base (Administração e Contabilidade) da UNISINOS, 13, 122-137.
Exame. (2018). As 15 maiores do setor de petróleo do mundo; Petrobras está na lista. Recuperado em https://exame.com/mercados/as-15-maiores-do-setor-de-petroleo-do-mundo-petrobras-esta-na-lista/.
Fama, E. F., & Malkiel, B. G. (1970). Efficient capital markets: A review of theory and empirical work. The journal of Finance, v. 25, n. 2, p. 383-417.
Fama, E. F., & Macbeth, J. D. (1973). Risk, return and equilibrium: empirical testes. Journal of Political Economy, Chicago, The University of Chicago Press, v. 81, n. 3, p. 607- 636.
Fama, E. F., & French, K. (1992). The cross-section of expected stock returns. Journal of Finance, Chicago, American Finance Association, v. 47, n. 2, p. 427-465.
Fama, E. F., & French, K. (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics, v. 33, n. 1, p. 3-56.
Fama, E. F., & French, K. (1996). Multifactor explanation of asset pricing anomalies. Journal of Finance, v. 56, n. 1, p. 55-84.
Fama, E. F., & French, K. (2004). The capital asset pricing model: theory and evidence. Journal of Economic Perspectives, v. 18, n. 3, p. 25-46.
Fama, E. F., & French, K. R. (2015). A five-factor asset pricing model. Journal of Financial Economics, v. 116, n. 1, p. 1-22.
Forbes (2019). Petrobras é a 10a maior petroleira do mundo em 2018. (2019). Recuperado em <https://forbes.com.br/negocios/2019/05/petrobras-e-a-10a-maior-petroleira-do-mundo-em-2018/>.
Fortune. (n.d). Pesquisa por setor. Recuperado em https://fortune.com/fortune500/2020/search/.
Gitman, L. (2010). Princípios de Administração Financeira. 10a. ed. São Paulo: Harbra.
Harris, T. S., Ohlson J. A. (1987). Accounting disclosures and the market’s valuation of oil and gas properties. The Accounting Review. n. 4, p. 651-670. oct.
Klare, M. T. (2008). Planeta sediento, recursos menguantes: La Nueva Geopolítica de la Energía. Ediciones Urano. Barcelona.
Lakonishok, J., & Shapiro, A. (1986). C. Systematic risk, total risk and size as determinants of stock market returns. Journal of Banking and Finance, v. 10, n. 1, p. 115-132.
Lintner, J. (1965). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Review of Economics and Statistics, 47, 1, p. 13-37.
Markowitz, H. M. (1952). Portfolio Selection. The Journal of Finance, v. VII, n. 1, mar.
Mossin, J.(1966). Equilibrium in a capital asset market. Econometrica, 34, 4, p.768-783. 1966.
Organización Mundial del Comercio (OMC). Estadísticas: Estadísticas del Comercio Internacional, 2014. El comercio y las cadenas de valor mundiales. Recuperado em <https://www.wto.org/spanish/res_s/statis_s/its2014_s/its14_trade_value_s.htm>.
Reuters (31/12/2019). Como se desenrolou a pandemia global de coronavirus. Compilado por Tiffany Wu e Leela de Kretser; Edição de Daniel Wallis em set., 2020. Recuperado em <https://www.reuters.com/article/health-coronavirus-timeline-idINKBN26K09Z>.
Ross, S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. Journal of Economic Theory n. 13, p. 341-360.
Ross, S. A., Westerfiled, R. W., Jaffe, J., & Lamb, R. (2015). Administração Financeira (Version Corporate Finance – 10th edition). MC.
Santos, J. O. (2019). Valuation – Um Guia Prático. 2a. ed. São Paulo: Ed. Saraiva.
Santos, M. I. C.; & Silva, M. S. (2009). Teoria de precificação por arbitragem: um estudo empírico no setor bancário brasileiro. Enfoque: Reflexão Contábil. v. 28, n. 1, p. 70-82.
Sharpe, W. F. (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance, Oxford, UK, v.19, n.3, p. 425-442, sept.
Silva, R. C., & Santos, O. M. (2019). Influência das oscilações do preço do barril de petróleo nas informações contábeis das empresas petrolíferas. Revista Contabilidade Vista & Revista, ISSN 0103-734X, Universidade Federal de Minas Gerais, Belo Horizonte, v. 30, n. 3, p. 1-17, set./dez.
Tobin, J. (1958). Liquidity preference as behavior toward risk. The Review of Economic Studies, Stockholm. Oxford University Press. v. 25, n. 2, p. 65-86.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2024 REVISTA AMBIENTE CONTÁBIL - Universidade Federal do Rio Grande do Norte
This work is licensed under a Creative Commons Attribution-NonCommercial-ShareAlike 4.0 International License.
Authors who publish in this magazine agree with the following terms:
Authors keep the copyrights and concede the right of its first publication to the magazine. The work piece must be simultaneously licensed on the Creative Commons Attribution Licence which allows the paper sharing, and preserves both the author identity and the right of first publication to this magazine.
Authors are authorized to assume additional contracts separately, to not-exclusively distribution of the paper version published in this magazine (e.g.: publish in institutional repository or as a book chapter), with the author identity recognition and its first publication in this magazine.
Authors are permitted and stimulated to publish and distribute their papers online (e.g.: in institutional repository or on their personal webpage), considering it can generate productive alterations, as well as increase the impact and the quotations of the published paper.
Creative Commons - Atribuição-NãoComercial-SemDerivações 4.0 Internacional.
Português (Brasil)
English
Español (España)
