Índices de rentabilidade e valorização de suas ações das empresas participantes do IBrX-100

Abstract

The present work had as general objective to analyze the relation between the profitability indices presented by the companies participating in the theoretical portfolio of the IBrX-100 and the gains earned from these actions. As shows Malta and U (2016), although there is a whole theoretical and empirical evidence obtained through financial statements and relationships between indices and economic and financial indicators, there is still no consensus about which indicators, in particular those of profitability, have greater predictive power compared to the returns of stocks, so we sought to check which one prevails in the Brazilian stock market to analyze the portfolio with the 100 most traded shares of B3 (IBrX-100). To reach the objective, it was estimated a multiple regression model with dependent variable the return of the shares, understood as the average annual return over the period under examination, and alternating the three indices of profitability as variables independent (ROA, ROE and ROI), in addition to the control variables, General liquidity, degree of indebtedness, participation of third party capital, EBIT margin, gross margin, dividend yield, price for profit, earnings per share, market to book. The results showed statistical significance at the 5% level for the ROA and ROI and marginal statistical significance at the 10% level for the ROE, indicating a negative relationship between all indexes of profitability (ROA, ROE and ROI) when compared with the return of the action. As for the other variables, only showed statistical significance at the 5% level General liquidity, participation of third party capital, dividend yield and market to book. Thus, it was concluded that it is useful for investors who want greater appreciation of their investments, in general actions, closely examine the indexes of profitability (ROA, ROE and ROI) and fundamentalist variables mentioned above, because these present greater predictive value in the valuation of the action.