Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms

This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, an aggregate analysis was conducted.The partial effect of foreign p...

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Autores principales:	Tiago Loncan, João Frois Caldeira
Formato:	article
Lenguaje:	EN PT
Publicado:	Universidade de São Paulo 2015
Materias:	Fluxos estrangeiros de capital de portfólio Retornos das ações Arbitrage pricing theory Economics as a science HB71-74
Acceso en línea:	https://doaj.org/article/5334ad01a40e4bd1b006529a77b02935
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spelling	oai:doaj.org-article:5334ad01a40e4bd1b006529a77b029352021-11-24T16:03:17ZForeign portfolio capital flows and stock returns: a study of Brazilian listed firms0101-41611980-5357https://doaj.org/article/5334ad01a40e4bd1b006529a77b029352015-12-01T00:00:00Zhttps://www.revistas.usp.br/ee/article/view/84563https://doaj.org/toc/0101-4161https://doaj.org/toc/1980-5357 This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, an aggregate analysis was conducted.The partial effect of foreign portfolio capital flows on the IBOVESPA index’s returns was statistically significant and positive. Next, a disaggregate analysis was also implemented, in which portfolios of stocks were sorted by sector of economic activity, level of risk and level of corporate governance. Foreign portfolio capitals caused increases in returns especially for sectors related to commodities, industry and cyclical consumption. For the portfolios sorted by risk (in which the stocks’ betas were used as a risk parameter for sorting), foreign capitals increased the returns of mid-high and high beta portfolios, but decreased the returns of low and low-mid beta portfolios. For corporate governance portfolios, the firms listed on the Novo Mercado segment (according to BMF&Bovespa criteria) experienced a statistically significant revaluation effect. Overall, the results of the study provide support to the revaluation effect hypothesis. Tiago LoncanJoão Frois CaldeiraUniversidade de São PauloarticleFluxos estrangeiros de capital de portfólioRetornos das açõesArbitrage pricing theoryEconomics as a scienceHB71-74ENPTEstudos Econômicos, Vol 45, Iss 4 (2015)
institution	DOAJ
collection	DOAJ
language	EN PT
topic	Fluxos estrangeiros de capital de portfólio Retornos das ações Arbitrage pricing theory Economics as a science HB71-74
spellingShingle	Fluxos estrangeiros de capital de portfólio Retornos das ações Arbitrage pricing theory Economics as a science HB71-74 Tiago Loncan João Frois Caldeira Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms
description	This study analyzed the effect of foreign portfolio capital flows on stock returns of Brazilian listed firms through a 6-factors APT model, in which an additional risk factor for foreign portfolio capital flows was included. First, an aggregate analysis was conducted.The partial effect of foreign portfolio capital flows on the IBOVESPA index’s returns was statistically significant and positive. Next, a disaggregate analysis was also implemented, in which portfolios of stocks were sorted by sector of economic activity, level of risk and level of corporate governance. Foreign portfolio capitals caused increases in returns especially for sectors related to commodities, industry and cyclical consumption. For the portfolios sorted by risk (in which the stocks’ betas were used as a risk parameter for sorting), foreign capitals increased the returns of mid-high and high beta portfolios, but decreased the returns of low and low-mid beta portfolios. For corporate governance portfolios, the firms listed on the Novo Mercado segment (according to BMF&Bovespa criteria) experienced a statistically significant revaluation effect. Overall, the results of the study provide support to the revaluation effect hypothesis.
format	article
author	Tiago Loncan João Frois Caldeira
author_facet	Tiago Loncan João Frois Caldeira
author_sort	Tiago Loncan
title	Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms
title_short	Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms
title_full	Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms
title_fullStr	Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms
title_full_unstemmed	Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms
title_sort	foreign portfolio capital flows and stock returns: a study of brazilian listed firms
publisher	Universidade de São Paulo
publishDate	2015
url	https://doaj.org/article/5334ad01a40e4bd1b006529a77b02935
work_keys_str_mv	AT tiagoloncan foreignportfoliocapitalflowsandstockreturnsastudyofbrazilianlistedfirms AT joaofroiscaldeira foreignportfoliocapitalflowsandstockreturnsastudyofbrazilianlistedfirms
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Foreign portfolio capital flows and stock returns: a study of Brazilian listed firms

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