Análise do retorno acionário com base na rentabilidade e investimentos de capital das empresas brasileiras no mercado de ações

Abstract

According to the literature, the purpose of companies is to generate profits. However, there is a need for means of valuation to select the best assets and allocate capital to companies that actually provide earnings. Among other financial indicators, the profitability and the level of capital investment (CAPEX) provide visibility about the returns measured by the companies, in accordance with Fama and French (2006). Taking into account the aforementioned indicators, this research seeks to analyze the relationship between profitability, capital investments and the return measured through the variation in the prices of shares of Brazilian companies, in the period from 2009 to 2018. The companies listed on the Brazilian stock exchange, from 2009 to 2018, were studied through a portfolio assembly strategy, which consists of the classification of assets based on the indicators in question, profitability and capital investment, in which the assets are allocated in portfolios according to the level of each indicator. The results obtained show that higher levels of capital investment imply lower returns obtained through the valuation of assets, while higher levels of profitability imply greater gains obtained through the valuation of assets. However, it was possible to observe that the combination of these two indicators provided a higher return when compared to portfolios based only on the indicators of profitability and capital investments separately.