Análise de liquidez pós emissão de BDRs das companhias brasileiras listadas nos Estados Unidos.
Date
2023-01
Authors
Marcondes, Marianna de Almeida [UNIFESP]
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Ikeda, Ricardo Hirata [UNIFESP]
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Trabalho de conclusão de curso de graduação
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Abstract
A presente monografia tem por objetivo analisar através dos volumes negociados das companhias brasileiras listadas no Estados Unidos se a emissão de BDRs (Brazilian Depositary Receipts) impactou a liquidez dessas companhias. Para isso, o estudo contemplou uma amostra de duas companhias que realizaram tal processo, a Stone e a XP. Primeiro efetuou-se uma pesquisa teórica para entender o funcionamento do BDR e o porquê as companhias fazem esse tipo de emissão, e entender a relação entre volume e liquidez. Posteriormente foram aplicadas algumas etapas da metodologia de estudo de evento, como testes de tracking error para a definição das janelas de estimação e de evento; a medição de variação normal e anormal; cálculos de previsão, que foram realizados através da metodologia de médias móveis; e os procedimentos de estimativa, onde calculou-se variação anormal do volume negociado e variação anormal acumulada do volume negociado. Por fim, ao calcular a média da variação anormal dos volumes negociados e comparando-a com os limites do intervalo de confiança, que foi encontrado com o cálculo da média e desvio padrão da previsão, concluiu-se que a emissão dos BDRs impactou o volume negociado, bem como a liquidez, das companhias analisadas no estudo.
The main purpose of this paper is analyze through the trading volumes of Brazilian companies listed in the United States, whether the issuance of BDRs (Brazilian Depositary Receipts) impacted the liquidity of these companies. For this, the study look to a sample of two companies that carried out this process, Stone and XP. First, a theoretical research was carried out to understand BDR operation and why companies make this type of issuance and to understand the link between volume and liquidity. Subsequently, some event study methodology stages were applied, such as tracking error tests to define the estimation and event windows; the compute of normal and abnormal variation; prevision calculations, which were carried out through the moving averages methodology; and estimation procedures, Where abnormal variation in traded volume and accumulated abnormal variation in traded volume were calculated. Finally, by averaging the abnormal variation of traded volumes and comparing it to the confidence interval limits, which was the result by calculating the mean and standard deviate of the prevision, it was concluded the issuance of BDRs impacted the volume traded, as well as the liquidity, of the companies analyzed in the study.
The main purpose of this paper is analyze through the trading volumes of Brazilian companies listed in the United States, whether the issuance of BDRs (Brazilian Depositary Receipts) impacted the liquidity of these companies. For this, the study look to a sample of two companies that carried out this process, Stone and XP. First, a theoretical research was carried out to understand BDR operation and why companies make this type of issuance and to understand the link between volume and liquidity. Subsequently, some event study methodology stages were applied, such as tracking error tests to define the estimation and event windows; the compute of normal and abnormal variation; prevision calculations, which were carried out through the moving averages methodology; and estimation procedures, Where abnormal variation in traded volume and accumulated abnormal variation in traded volume were calculated. Finally, by averaging the abnormal variation of traded volumes and comparing it to the confidence interval limits, which was the result by calculating the mean and standard deviate of the prevision, it was concluded the issuance of BDRs impacted the volume traded, as well as the liquidity, of the companies analyzed in the study.
Description
Citation
MARCONDES, Marianna de Almeida. Análise de liquidez pós emissão de BDRs das companhias brasileiras listadas nos Estados Unidos. 2022. Trabalho de Conclusão de Curso (Bacharelado em Ciências Atuariais) -
Universidade Federal de São Paulo, Escola Paulista de Política, Economia e Negócios, Osasco, 2022.