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Abstract(s)
A análise da performance de um portfólio e a procura de novos e mais completos modelos de avaliação de desempenho sempre foi um tema bastante cativante na literatura financeira e que, ainda hoje em dia, continua a ser alvo de estudo devido à grande procura sobre novas informações à cerca deste tema. O presente trabalho tem como objetivo explorar qual o impacto na performance de um portfólio de ações de empresas construído consoante a dimensão do conselho de administração de cada empresa. A amostra do estudo é constituída por todas as empresas que pertenceram ao índice financeiro STOXX Europe 600 entre os anos 2008 e 2018. Através da revisão de literatura foram destacados 4 diferentes modelos que têm por base diferentes variáveis explicativas, tais como o portfólio de mercado, a dimensão da empresa, o rácio book-to-market, o fator de momentum, o nível de investimento e a rentabilidade. A análise foi efetuada sob a forma de dados time-series através de um modelo de regressão linear. Os resultados obtidos sugerem que, embora a escolha de empresas consoante a dimensão do conselho de administração não apresente capacidades preditivas superiores no preço das ações, portfólios constituídos por conselhos de menor dimensão obtêm melhores resultados estatísticos quando avaliados pelo modelo CAPM e modelo de 3-fatores e resultados de igual significância estatística aos de portfólios constituídos por conselhos de maior dimensão, aquando estimados pelos modelos de 4 e 5-fatores.
The portfolio performance analysis and search about new pricing models has always been a captivating topic on the financial literature and still today continues to be an important topic of study due to the continuous research for new information about this issue. This empirical work aims to explore the impact on the performance of a portfolio that was created depending on the board size of a company. The sample of this study represents all of the companies that belonged in the financial index STOXX Europe 600, between the years 2008 and 2018. While during the literature review there were pointed out 4 different models, each one selecting different explanatory variables, for example, the market portfolio, the size of the firm, the book-to-market ratio, momentum factor, level of investment and profitability. This analysis was performed in the form of time-series data and the method adopted was the linear regression. The results suggest that although the choice of companies depending on their board size does not reflect manager's forecasting ability it seems that, when evaluated by CAPM model and the 3-factor model, portfolios composed by companies with smaller boards obtain better statistical results. Also, when evaluated by the 4-factor and 5-factor model, portfolios composed by smaller boards have the same statistical significance as portfolios composed by larger boards.
The portfolio performance analysis and search about new pricing models has always been a captivating topic on the financial literature and still today continues to be an important topic of study due to the continuous research for new information about this issue. This empirical work aims to explore the impact on the performance of a portfolio that was created depending on the board size of a company. The sample of this study represents all of the companies that belonged in the financial index STOXX Europe 600, between the years 2008 and 2018. While during the literature review there were pointed out 4 different models, each one selecting different explanatory variables, for example, the market portfolio, the size of the firm, the book-to-market ratio, momentum factor, level of investment and profitability. This analysis was performed in the form of time-series data and the method adopted was the linear regression. The results suggest that although the choice of companies depending on their board size does not reflect manager's forecasting ability it seems that, when evaluated by CAPM model and the 3-factor model, portfolios composed by companies with smaller boards obtain better statistical results. Also, when evaluated by the 4-factor and 5-factor model, portfolios composed by smaller boards have the same statistical significance as portfolios composed by larger boards.
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Keywords
Portfólio performance Conselho de administração STOXX Europe 600 Board size