A carregar...
Publicação
O efeito da descida do IRC na valorização bolsista das empresas do PSI
| Nome: | Descrição: | Tamanho: | Formato: | |
|---|---|---|---|---|
| 483.27 KB | Adobe PDF |
Autores
Orientador(es)
Resumo(s)
Esta dissertação analisa o impacto da política fiscal sobre o comportamento dos mercados financeiros, focando-se na reação dos investidores ao anúncio da redução da taxa nominal de Imposto sobre o Rendimento das Pessoas Coletivas (IRC) constante do Orçamento de Estado para 2015 em Portugal. Recorrendo a uma metodologia de estudo de eventos, no quadro da hipótese dos mercados eficientes em forma semiforte (Fama, 1970), procura-se aferir a existência de retornos anormais induzidos pela medida fiscal. A análise empírica apoia-se numa versão adaptada do modelo de três fatores de Fama e French (1993), que controla os efeitos do risco de mercado, dimensão das empresas e rácio valor contabilístico/valor de mercado. Aplicam-se dois modelos econométricos: um modelo agregado que estima o efeito médio da reforma fiscal sobre o universo de empresas cotadas, e uma especificação diferenciada por empresa que permite captar reações heterogéneas. Em contraste com a previsão teórica de valorização acionista associada à descida da carga fiscal, os resultados indicam a ausência de retornos anormais positivos de forma sistemática. Adicionalmente, empresas com maior nível de alavancagem financeira demonstram reações mais negativas, compatíveis com a perda relativa do tax shield. Os resultados sugerem que o efeito de reformas tributárias no mercado acionista dependem das caraterísticas estruturais das empresas, em particular da sua estrutura de capital, evidenciando a complexidade da relação entre fiscalidade e avaliação empresarial.
This dissertation examines the impact of corporate tax policy on stock market performance by analysing investor reactions to the announced reduction in the statutory corporate income tax rate (IRC) included in Portugal9s 2015 State Budget. Employing an event study methodology under the semi-strong form of the Efficient Market Hypothesis (Fama, 1970), the study seeks to identify abnormal returns associated with the policy announcement. The empirical framework is based on an adjusted version of the Fama-French three-factor model (1993), which controls for market risk, firm size, and book-to-market effects. A dual econometric approach is implemented: an aggregate model capturing the average effect across listed firms, and a disaggregated specification allowing for heterogeneous responses by firm. Contrary to theoretical expectations of enhanced firm value following a tax cut, the results indicate that, on average, the reform did not generate significantly positive abnormal returns. Furthermore, companies with higher leverage appear to have experienced negative reactions, consistent with a reduction in the value of the debt tax shield. These findings suggest that the capital market9s response to fiscal measures is contingent on firm-specific characteristics, particularly capital structure, and highlight the nuanced interplay between tax policy and corporate valuation dynamics.
This dissertation examines the impact of corporate tax policy on stock market performance by analysing investor reactions to the announced reduction in the statutory corporate income tax rate (IRC) included in Portugal9s 2015 State Budget. Employing an event study methodology under the semi-strong form of the Efficient Market Hypothesis (Fama, 1970), the study seeks to identify abnormal returns associated with the policy announcement. The empirical framework is based on an adjusted version of the Fama-French three-factor model (1993), which controls for market risk, firm size, and book-to-market effects. A dual econometric approach is implemented: an aggregate model capturing the average effect across listed firms, and a disaggregated specification allowing for heterogeneous responses by firm. Contrary to theoretical expectations of enhanced firm value following a tax cut, the results indicate that, on average, the reform did not generate significantly positive abnormal returns. Furthermore, companies with higher leverage appear to have experienced negative reactions, consistent with a reduction in the value of the debt tax shield. These findings suggest that the capital market9s response to fiscal measures is contingent on firm-specific characteristics, particularly capital structure, and highlight the nuanced interplay between tax policy and corporate valuation dynamics.
Descrição
Palavras-chave
Fiscalidade empresarial Retornos anormais Modelo Fama-French Reforma fiscal Estrutura de capital PSI IRC Corporate taxation Abnormal returns Fama-French models Tax reform Capital structure
Contexto Educativo
Citação
Editora
Licença CC
Sem licença CC