Dividendos e reação do mercado: uma análise sob o enfoque das teorias do fluxo de caixa livre e da sinalização

Abstract

The present research has the objective of analyzing the existing relationship of dividend policy of companies with shares traded in Brazil, Stock Exchange and Counter (B3) and the market reaction to the announcement of dividend payment with theories of signaling and free cash flow, during the period 1997 to 2017. The sample consisted of 750 announcements of the approval of the payment of dividends and interest on shareholders' equity of 53 companies listed in B3. Different methodologies were used to achieve the research objective. Firstly, an event study was conducted to identify accumulated abnormal returns (CARs) from -5 to +5 days around the date of the announcement of the payment of dividends and interest on equity. Then, in order to understand the theoretical explanation of the dividend policy in Brazil, the panel data regression technique was used to analyze the relation between the payout ratio and the free cash flow (FCF) and the expectation of future profitability (LF). The control variables employed to control the determinants of the dividend policy were represented by size, growth opportunities, indebtedness and risk. Regarding the results of the research, through the study of events, evidence of abnormal returns was found on the first and second day after the announcement of the dividend payment, indicating that these are relevant to the Brazilian capital market. Then, with regressions in panel data, it was verified that there is a positive and significant relationship at the level of 1%, between the payout index and the FCF interest variable, corroborating that companies with higher free cash flows have the ability to pay higher dividends. On the other hand, it was not possible to find a significant relationship between the LF variable and the payout index, not confirming the H3 hypothesis. Finally, in the analysis of the relation between accumulated abnormal returns (CARs) and theories of Signaling and Free Cash Flow, it was not possible to prove that the average returns in response to the announcement of the payment of dividends are higher in companies with excess investments and that investors anticipate the increase in dividends for value-enhancing companies in the Brazilian stock market. The findings of the present research contribute to the scientific field by encouraging empirical studies on the relevance of dividend policy and the capital market in assisting decision making by highlighting the relevance of the dividends represented by the abnormal returns around the date of the announcement of the payment of dividends, signaling good news to the market.