Ofertas subsequentes de ações (SEO) no mercado acionário brasileiro: um estudo da homogeneidade da série através do teste de Pettitt

Abstract

This study aimed to verify how the stock prices of Brazilian companies behave around the announcement date of the Seasoned Equity Offering (SEO). Initially, we sought to determine whether there is rupture in time series of stock prices of companies that conducted SEO. Then we tried to find what the date on which the rupture (if it existed) the time series of the participants in the sample companies. Finally, we sought to analyze the stock returns of firms before and after the date of break in the time series. The sample consisted of all companies that have undertaken seasoned offerings in the period 2004-2013, totaling 98 companies. The test used to verify the presence or absence of rupture in time series was the Pettitt test, which has as null hypothesis the absence of abrupt change in the time series. The results showed that most of the period of disruption concentrated from -12 to +12 days around the zero date, representing respectively 75%, 80% and 85% in the primary, secondary and mixed offerings. The analysis of stock returns, seems to indicate the presence of insider information, as the return of the portfolio comprised of companies that had the date of break before zero date was greater than the return of the portfolio comprised of companies that had the date of break after the zero date. Moreover, the analysis of stock returns, we observed a decrease in equity return when the break in the time series occurs after the announcement date.