| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 422.32 KB | Adobe PDF |
Advisor(s)
Abstract(s)
Este trabalho tem como objectivo central, procurar analisar o impacto
que as declarações e acções levadas a cabo pelo mais alto cargo de uma das
instituições mais relevantes na Europa (Banco Central Europeu) – Mario Draghi
têm sobre a valorização dos títulos financeiros europeus.
O estudo do impacto acerca da divulgação de um determinado evento no
preço dos títulos financeiros, é feito recorrendo àmetodologia de estudo de
eventos (event studies), procurando testar a hipótese da existência de
rendibilidades anormais à volta do dia do evento em análise.
Definiu-se uma amostra que inclui empresas de mercados distintos
(Alemanha, Espanha, França, Grécia, Irlanda e Portugal) com o objectivo de
avaliar o impacto do evento em diferentes contextos.
Posteriormente, procedeu-se à escolha dos eventos para análise e assim
às datas dos acontecimentos respectivos. Por forma a captar as eventuais
reacções quer antecipadas quer posteriores do mercado, utilizou-se um período
temporal para análise de 3 dias antes da data do evento e de 2 dias depois do
mesmo.
Deste modo, com a amostra definida, efectuou-se o cálculo das
rendibilidades das empresas respectivas para posteriormente se determinar a
rendibilidade anormal de cada empresa que corresponde à diferença entre a
rendibilidade efectiva e a rendibilidade esperada e por sua vez, determinar-se
os retornos anormais acumulados para cada situação.
Assim, com o objectivo de avaliar o impacto que as declarações de Mario
Draghi exercem na valorização dos títulos financeiros europeus, concluiu-se
que de um modo geral os investidores já reflectem nas suas decisões de
investimento as suas expectativas acerca das possíveis intervenções do
presidente do Banco Central Europeu.
This work has as main goal, try to analyze the impact that the statements and actions taken by the highest position of one of the most important institutions in Europe (ECB) - Mario Draghi have on the valuation of European financial securities. The study of the impact about the dissemination of a particular event in the price of financial securities is done using the famous methodology of the event study looking to test the hypothesis of the existence of abnormal returns around the day of the event. Initially set up a sample with concern to include different markets (Greece, Ireland, Portugal, Spain, France and Germany) with the objective of evaluating the impact of the event in different contexts companies. Subsequently proceeded to select the events for analysis and thus the timing of respective events. In order to capture any reactions either early or later, in the market was used a time period of 3 days before the event date, and after 2 days of it. Therefore with the defined sample, was carried out the calculation of the returns of the respective companies to further determine the abnormal return of each company which is the difference between actual returns and expected returns and in turn, we determined the abnormal returns accumulated for each situation. Thus, with the aim of evaluating the impact that the statements of Mario Draghi engaged in the valuation of European financial securities, it was concluded generally that investors already reflected in their investment decisions, their expectations about possible intervention of the President of European Central Bank.
This work has as main goal, try to analyze the impact that the statements and actions taken by the highest position of one of the most important institutions in Europe (ECB) - Mario Draghi have on the valuation of European financial securities. The study of the impact about the dissemination of a particular event in the price of financial securities is done using the famous methodology of the event study looking to test the hypothesis of the existence of abnormal returns around the day of the event. Initially set up a sample with concern to include different markets (Greece, Ireland, Portugal, Spain, France and Germany) with the objective of evaluating the impact of the event in different contexts companies. Subsequently proceeded to select the events for analysis and thus the timing of respective events. In order to capture any reactions either early or later, in the market was used a time period of 3 days before the event date, and after 2 days of it. Therefore with the defined sample, was carried out the calculation of the returns of the respective companies to further determine the abnormal return of each company which is the difference between actual returns and expected returns and in turn, we determined the abnormal returns accumulated for each situation. Thus, with the aim of evaluating the impact that the statements of Mario Draghi engaged in the valuation of European financial securities, it was concluded generally that investors already reflected in their investment decisions, their expectations about possible intervention of the President of European Central Bank.