Banca de QUALIFICAÇÃO: CLÁUDIO VINICIUS DA SILVA BARBOSA BONDEZAN

Uma banca de QUALIFICAÇÃO de MESTRADO foi cadastrada pelo programa.
DISCENTE : CLÁUDIO VINICIUS DA SILVA BARBOSA BONDEZAN
DATA : 26/09/2023
HORA: 15:00
LOCAL: Video Conferência
TÍTULO:

APPLICATION OF THE COUNTING MODEL FOR EXCESS VARIABLE INCOME RETURN

PALAVRAS-CHAVES:

Excess Return, IBOVESPA, Counting Model, Financial Assets

PÁGINAS: 13
GRANDE ÁREA: Ciências Sociais Aplicadas
ÁREA: Economia
RESUMO:

Knowledge about asset returns is of great relevance and interest for investors in the financial market. This study has the general objective of verifying which positive events arise from the excess positive returns of a set of financial assets, using the IBOVESPA historical series for the year 2022. The selected assets refer to the following companies: Vale do Rio Doce (VALE3), Banco do Brasil (BBAS3), Petrobras (PTR4), Bradesco (BBDC4) and Itaú (ITUB4), which were configured as the most liquid shares in 2022. In this way, the aim is to estimate the excess return of these assets, traded in the national financial system. Such analysis is important in view of empirical investigations, for example, Mangram (2013) on the simplified perspective of portfolio theory, which highlights the importance of calculating risk measures and returns on assets that help agents in the process of choosing and taking of decision. The methodological strategy consists of using counting models based on the Poisson distribution,
according to Woldrige (2017), which allows verifying the excess positive return on selected assets based on macroeconomic variables such as the interest rate (SELIC), exchange rate and inflation for the selected period. Once excesses are verified, they will be counted in order to estimate a counting model identifying scenarios and characteristics that lead to positive events.

MEMBROS DA BANCA:
Interno - 3803 - FÁBIO LÚCIO RODRIGUES
Presidente - 056.549.504-60 - LUCAS LÚCIO GODEIRO - UFERSA
Interna - 3295 - MARIA ELZA DE ANDRADE