Avaliação empírica do modelo de Burgstahler e Dichev no mercado brasileiro
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Abstract
Recent studies indicate that earnings and book values are important factors in explaining stock prices. This paper uses the work of Burgstahler and Dichev (1997), which used a model based on option pricing theory and concluded that stock prices are convex functions of profits when book values are kept constant and stock prices are a convex function of book values when earnings are constant. Using an adapted methodology and applying on a sample of stocks traded on the Brazilian market, the tests realized through a comparison of two portfolios with high and low price-to-book ratio supported the hypothesis, as expected.
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How to Cite
Silva Jr., D. T. da, Lopes, A. B., & Corrar, L. J. (1). Avaliação empírica do modelo de Burgstahler e Dichev no mercado brasileiro. Journal of Contemporary Administration, 11(spe2), 145-161. https://doi.org/10.1590/S1415-65552007000600008
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