Determinantes da rendibilidade das ações: um estudo de empresas cotadas na Euronext Lisbon

Maria Elisabete Duarte Neves, Mara Sousa, Carlos Barbosa


O presente trabalho tem por objetivo estudar os determinantes da rendibilidade das ações no mercado de capitais português. Para alcançar o objetivo proposto foi utilizada a metodologia de dados em painel para 33 empresas cotadas na Euronext Lisbon no período compreendido entre 2007 e 2015. As variáveis utilizadas dividem-se em dois grupos, internas e externas à empresa, de acordo com a literatura proposta. O primeiro grupo inclui variáveis contabilísticas/financeiras e variáveis de Corporate Governance e o segundo grupo inclui variáveis macroeconómicas e uma proxy que capta o sentimento do investidor.

Os resultados do modelo, sugerem que as variáveis contabilísticas/financeiras assim como as de Corporate Governance são determinantes na explicação da rendibilidade das ações portuguesas. Da mesma forma, tanto o Produto Interno Bruto como o sentimento dos investidores podem contribuir para a rendibilidade das ações do mercado Português.


Rendibilidade das ações; determinantes internos, de corporate governance e externos; Euronext Lisbon.

Full Text:



Acikalin, S., Rafet, A., & Seyfettin, U. (2008). Relationships between stock markets and macroeconomic variables: an empirical analysis of the Istanbul Stock Exchange. Investment Management and Financial Innovations, 5(1), 8-16.

Adami, R., Gough, O., Muradoglu, Y. G., & Sivaprasad, S. (2015). How does a Firm’s Capital Structure affect Stock Performance? Frontiers in Finance and Economics, 12(1), 1-31.

Adams, R., & Mehran, H. (2003). Is Corporate Governance Different For Bank Holding Companies? Economic Policy Review (19320426), 9(1), 123.

Arellano, M. & Bond, S. (1991). Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations, Review of Economic Studies 58, pp. 277-297

Baker, M., & Wurgler, J. (2007). Investor sentiment in the stock market. Journal of Economic Perspectives, 21, 129-151.

Banz, R. W. (1981). The relationship between return and market value of common stocks. Journal of Financial Economics, 9(1), 3-18.

Barber, B., & Lyon, J. (1996). Detecting abnormal operating performance: The empirical power and specification of test statistics. Journal of Financial Economics, 41, 359-399.

Bennedsen, M., Kongsted, H., Nielsen, K. (2008). The Causal Effect of Board Size in the Performance of Small and Medium-Sized Firms. Journal of Banking & Finance, 32(6), 1098-1109.

Ben-Rephael, A., Kandel, S., & Wohl. A. (2012). Measuring investor sentiment with mutual fund flows. Journal of Financial Economics, 104, 363-382.

Bhandari, L. C. (1988). Debt/Equity ratio and expected common stock returns: Empirical Evidence. The Journal of Finance, 43(2), 507-528.

Black, B. S., Carvalho, A. G., D., & Gorga, E. (2012). What Matters and for Which Firms for Corporate Governance in Emerging Markets? Evidence from Brazil (and Other BRIK Countries). Journal of Corporate Finance, 18(4), 934-952.

Blundell, R. & Bond, S. (1998), Initial conditions and Moment Restrictions in Dynamic Panel Data Models, Journal of Econometrics 87, pp.115-144.

Boone, A. L., Field, L. C., Karpoff, J. M., & Raheja, C. G. (2007). The Determinants of Corporate Board Size and Composition: An Empirical Analysis. Journal of Financial Economics, 85(1), 66-101.

Brealey, R. A., Myers, S. C., & Allen, F. (2006). Corporate Finance. Nova Iorque: McGraw-Hill.

Brown, G., & Cliff, M. (2004). Investor Sentiment and the near-term Stock Market. Journal of Empirical Finance, 1(2), 1–27.

Brown, G., & Cliff, M. (2005). Investor sentiment and asset valuation, Journal of Business 78, 405–440.

Brown, L. D., & Caylor, L. M. (2004). Corporate Governance and Firm Performance. Journal of Corporate Finance, 22(7), 1-52.

Chen, C., Guo, W., & Mande, V. (2003). Managerial ownership and firm valuation: Evidence from Japanese firms. Pacific-Basin Finance Journal, 11(3), 267–283.

Chiang, H. (2005). Na Empirical Study of Corporate Governance and Corporate Performance. Journal of American Academy of Business, Cambridge, 6(1), 95-101.

Coles, J. L., Daniel, N. D., & Naveen, L. (2008). Boards: Does One Size Fit All? Journal of Financial Economics, 87(82), 329-356.

Conyon, M., & Peck, S. (1998). Board Control, Remuneration Committees, and Top Management Compensation. Academy of Management Journal, 41(2), 146-157.

Daily, C. M., Dalton, D. R. & Cannella, A. A. (2003). Corporate Governance: Decades of dialogue and data. The academy of Management Review, 3, 371-382.

Drew, M., Naughton, T., & Madhu, V. (2003). Firm-size, book-to-market equity and security returns: Evidence from the Shanghai Stock Exchange. Australian Journal of Management, 28(2), 119-140.

Drobetz, W., Schillhofer, A., & Zimmermann., H. (2004). Corporate Governance and expected stock returns: Evidence from Germany. European Financial Management, 10(2), 267-293.

Duca, G. (2007). The Relationship Between the Stock Market and the Economy: Experience from International Financial Markets. Bank of Valletta Review, 36, 1-12.

Dutta, A., Bandopadhyay, G., & Sengupta, S. (2012). Prediction of stock performance in the Indian Stock Market using logistic regression. International Journal of Business and Information, 7(1), 105-136.

Easterday, K.E., Sen, P. K., & Stephan, J. (2009). The persistence of the small firm/January effect: Is it consistent with investors learning and arbitrage efforts? The Quarterly Review of Economics and Finance, 49(3), 1172-1193.

Eisenberg, T., Sundgren, S., & Wells, M. (1998). Larger Board Size and Decreasing Firm Value in Small Firms. Journal of Financial Economics, 48, 35-54.

Faccio, M., & Lasfer, M. (1999). Managerial ownership, board structure and firm value: The U.K. evidence. SSRN Working Paper.

Fama, E. F. (1981). Stock returns, real activity, inflation and money. American Economic Review, 71(4), 545–565.

Fama, E., (1970). Efficient Capital Markets: A Review of Theory and Empirical Work, The Journal of Finance, 25(2), 383-417.

Fama, E., & French, K. (1992). The cross section of expected stock returns. The Journal of Finance, 47(2), 427-465.

Farinha, J. (2003). Corporate Governance: A survey of the Literature. Universidade do Porto, Faculdade de Economia Discussion Paper.

Fernandes, C., Gama, P., & Vieira, E. (2013). Does sentiment matter for stock market returns? Evidence from a small European market. Journal of Behavioral Finance, 14, 253-267.

Fernández, C., & Arrondo, R. (2005). Alternative internal controls as substitutes of the Board of Directors. Corporate Governance: An Internacional Review, 13 (6), 856-866.

Fisher, K.L. & Statman, M. (2000). Investor sentiment and stock returns, Financial Analysts Journal 56, 16–23.

Gan, C., Lee, M., Yong, H. H. A., & Zhang, J. (2006). Macroeconomic variables and stock market interactions: New Zealand evidence. Investment Management and Financial Innovations, 3(4), 89-101.

George, T. J., & Hwang, C. Y. (2010). A Resolution of the Distress Risk and Leverage Puzzles in the Cross Section of Stock Returns. The Journal of Financial Economics, 96(1), 56-79.

Gunsel, N., & Cukur, S. (2007). The effects of macroeconomic factors on the London Stock returns: a sectoral approach. International Research Journal of Finance and Economics, 10, 140-152.

Hermalin, B. E., & Weisbach, M. S. (2003). Boards of directors as an endogenously determined institution: A survey of the economic literature. FRBNY Economic Policy Review, 9(1), 7-26.

Icke, B., Icke, M.A., & Ayturk, Y. (2011). Corporate Governance and stock returns in Istanbul Stock Exchange. Journal of Accounting and Finance, 11(2), 128-138.

Jansen, W. J., & Nahuis, N. J. (2003). The stock market and consumer confidence: European evidence. Economic Letters, 79, 89-98.

Jensen, M. (1993). The Modern Industrial Revolution, Exit and Failure of Internal Control System. Journal of Finance, 48(3), 831-880.

Jensen, M. C., & Meckling, W. H. (1976). Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure. Journal of Financial Economics, 3(4), 305-360.

Kaul, G. (1987). Stock returns and inflation: The role of monetary sector. Journal of Financial Economics, 18(2), 253–276.

Keasey K., & Wright, M. (1998). Corporate Governance, responsabilities, risks and remuneration. Managerial Auditing Journal,13(6),390.

Keim, D. B. (1983). Size-related anomalies and stock return seasonality: Further empirical evidence. Journal of Financial Economics, 12(1), 13-32.

Klapper, L. F., & Love, I. (2003). Corporate governance, investor protection, and performance in emerging markets. Journal of Corporate Finance, 195, 1-26.

Kühl, M., Cherobim, A., & Santos, A. (2008). Contabilidade gerencial e mercado de capitais. O preço das ações em mercado é mais bem explicado por indicadores internos da empresa ou por indicadores externos? Revista Capital Científico, 6(1), 145-164.

Kumar, N., & Singh, J. (2012). “Outside Directors, Corporate Governance and Firm Performance: Empirical Evidence from India”. Asian Journal of Finance & Accounting, 4(2), 39-55.

Lee, C.M.C., Shleifer, A. & Thaler, R.H. (1991). Investor sentiment and the closed-end fund puzzle, Journal of Finance 46, 75–109.

Lipton, M., & Lorsch, J. (1992). A Modest Proposal for Improved Corporate Governance. Business Lawyer, 48, 59-77.

Liu, M., & Shrestha, K. (2008). Analysis of the long-term relationship between macro-economic variables and the Chinese stock market using heteroscedastic cointegration. Journal of Managerial Finance, 34(11), 744-755.

Mak, Y., & Kusnadi, Y. (2005). Size Really Matters: Further Evidence on the Negative Relationship between Board Size and Firm Value. Pacific-Basin Finance Journal, 13(3), 301-318.

Masulis, R. (1983). The Impact of Capital Structure Change on Firms Value: Some Estimates. Journal of Finance, 38(1), 107-126.

Morck, R., Shleifer, A., & Vishny, R. (1988). Management ownership and market valuation: an empirical analysis. Journal of Financial Economics, 20 (12), 293-315.

Neves, E. (2018), Payout and firm’s catering, International Journal of Managerial Finance, 14 (1), pp.2-22.

Neves, E., Gonçalves, D., Ribeiro, M., Feiteira, P., & Viseu, C. (2016). Relação unidirecional entre confiança do consumidor e rendibilidade do PSI-20 – Influência do ciclo económico. Revista Contabilidade & Finanças - USP, 27(72), 363-377.

Pedersen, T., & Thomsen, S. (2000). The causal relationship between insider ownership, owner identity and market valuation among the largest European companies. Copenhagen Business School. Working Paper.

Penman, S. H., Richardson, S. A., & Tuna, İrem. (2007). The Book-to-price Effect in Stock Returns: Accounting for Leverage. Journal of Accounting Research, 45, 1-62.

Ramalho, E. A., Caleiro, A., & Dionfsio, A. (2011). Explaining consumer confidence in Portugal. Journal of Economic Psychology, 32(1), 25-32.

Reinganum, M. R. (1983). The anomalous stock market behavior of small firm in January: Empirical tests for tax-loss selling effects. Journal of Financial Economics, 4(2), 129-176.

Requejo, S. (2000). Determinantes fundamentales de la rentabilidad de las acciones. Revista Española e Financiación y Contabilidad, 29(106), 1015-1031.

Reyna, J., Vásquez, R., & Valdés, A. (2012). Corporate Governance, Ownership Structure and Performance in Mexico. International Business Research, 5 (11), 12-27.

Ribeiro, A., & Quesado, P. (2017). Fatores Explicativos da Rendibilidade Anormal Anual das Ações. European Journal of Applied Business and Management, Special Issue, 109-126.

Roll, R. (1983). The turn of year effect and the return premia of small firms. Journal of Portfolio Management, 9(2), 18-28.

Rutledge, W. R., & Karim, K. (2008). Is there a size effect in the pricing of stocks in the Chinese stock markets? The case of bull versus bear markets. Asia Pacific Finance Markets, 15, 117-133.

Sá, T. M., Neves, E. D., & Góis, C. G. (2017). The influence of corporate governance on changes in risk following the global financial crisis: evidence from the Portuguese stock market. Journal of Management & Governance, 21(4), 841-878.

Schmeling, M. (2009). Investor sentiment and stock returns: some international evidence. Journal of Empirical Finance, 16, 394-408.

Shah, H. C. (1989). Stock returns and anticipated aggregate real activity. Universidade de Chicago, Graduate School of Business.

Shefrin, H. (2001). Behavioral corporate finance. Journal of Applied Corporate Finance, 14(3), 113-126.

Shleifer, A., & Summers, L. (1990). The Noise Trader Approach to Finance. Journal of Economic Perspectives, 4(2), 19–33.

Vieira, E., Henriques, A., & Neves, E. (2018). Fatores Determinantes do Desempenho das Empresas Portuguesas. (XXVIII Jornadas Luso-espanholas de Gestão Científica-Guarda).

Vintilã, G., & Gherghina, S. (2012). An Empirical Examination of the Relationship between Corporate Governance Ratings and Listed Companies’ Performance. International Journal of Business and Management, 22 (7), 46-60.

Yermack, D. (1996). Higher Market Valuation of Companies with a Small Board of Directors. Journal of Financial Economics, 40(3), 185-211.


  • There are currently no refbacks.

Portuguese Journal of Finance, Management and Accounting

e-ISSN: 2183-3826

DOI: 10.54663/2183-3826

International Networks of Indexing: GOOGLE SCHOLAR, RCAAP, REBID, DRJI