Sazonalidade Mensal e o Efeito Passagem de Ano: Nova Evidência da Euronext Lisbon

Júlio Lobão, Carlos Lobo

Abstract


Neste artigo testamos os efeitos de sazonalidade mensal e o efeito passagem de ano nas ações cotadas na Euronext Lisbon recorrendo a modelos de regressões com variáveis binárias. O mercado parece ter produzido um prémio de risco insuficiente durante o mês de junho e um prémio de risco excessivo durante o mês de dezembro. Para além disso, reportamos pela primeira vez a existência de prémios de risco anormalmente elevados nas últimas 5 sessões de cada ano. Estes resultados não encontram justificação em fatores como a capitalização das ações ou em potenciais efeitos fiscais. A instabilidade seccional dos padrões de sazonalidade observados coloca em dúvida a capacidade dos investidores para os explorar e impede que se retirem implicações conclusivas quanto à eficiência do mercado.


Keywords


eficiência de mercado; anomalias financeiras; efeitos fiscais; sazonalidade mensal; efeito passagem de ano

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