“A carne é fraca?” Reação do mercado acionário frente a escândalos corporativos

Altieres Frances Silva, Antonio Sérgio Torres Penedo, V. Pereira
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Abstract

In March 2017, the Brazilian beef and dairy sector was surprised by Operation Meat Loaf, which investigated allegations of adulteration in foods produced by several companies in this segment. Among the companies investigated were BRF and JBS, the two largest Brazilian companies in the industry. Thus, this article aimed to ascertain the impact of this operation on the value of meat companies listed in B3. The market efficiency hypothesis was tested in the semi strong form and the possible impacts to shareholders were identified in the comparison between the period before and after the transaction. For the purpose proposed, the method of the study of events was applied, obtaining the data through the site of B3 and the base Economatica. The null hypothesis of non-efficiency of the market (H0A) was discarded, since the abnormal returns accumulatedat the event date were statistically different from zero. In the comparison of the 20 days before and after the event window, the paired t-test showed that the operation did not impact the market even after the five-day window, accepting the null hypothesis H0B. For future research the increase in the estimation window of the regression model and the analysis of hypothesis of adaptive markets were suggested.
“肉体软弱吗?”股票市场对公司丑闻的反应
2017年3月,巴西牛肉和乳制品行业对Operation Meat Loaf感到惊讶,该部门调查了该领域几家公司生产的食品中掺假的指控。被调查的公司包括BRF和JBS,这是巴西该行业最大的两家公司。因此,本文旨在确定这一操作对B3类肉类公司价值的影响。以半强形式对市场效率假设进行检验,并通过交易前后的比较确定对股东可能产生的影响。针对本文提出的目的,采用事件研究的方法,通过B3站点和基础Economatica获取数据。由于事件日累积的异常收益在统计上不等于零,因此抛弃了市场非效率的零假设。在事件窗口前后20天的比较中,配对t检验表明,即使在5天窗口之后,操作也没有影响市场,接受零假设H0B。针对今后的研究,提出了增加回归模型估计窗口和分析自适应市场假设的建议。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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