Resumo
Objetivo – O objetivo desta pesquisa é investigar se o uso de uma estratégia contábil fundamentalista pode fornecer informações valiosas sobre o valor de uma empresa e gerar um excesso positivo de retornos buy-and-hold em ações do índice Euronext 100.
Referencial teórico – A estrutura teórica do estudo baseia-se na combinação da teoria da valoração e da pesquisa contábil. Contamos com a análise fundamentalista como um método de valoração de ações, que envolve a análise de informações quantitativas e qualitativas nos registros econômicos e financeiros de uma empresa.
Metodologia – Examinamos a relevância do crescimento e dos coeficientes de resposta ao lucro, bem como os F-scores de Piotroski e os L-scores de Lev e Thiagarajan na previsão de retornos futuros de ações. A análise abrange os anos de 2000 a 2020.
Resultados – O estudo conclui que os sinais contábeis fundamentais fornecem informações relevantes de valor aos investidores e têm uma relação significativa e positiva com os retornos buy-and-hold futuros de mercado, resultando em portfólios de alta pontuação que alcançam retornos médios anuais excedentes significativos.
Implicações praticais e sociais da investigação – Os resultados do estudo têm implicações práticas para os investidores que usam a análise fundamentalista como estratégia de investimento. Os resultados indicam que os fundamentos contábeis fornecem informações relevantes em termos de valor para os investidores e podem levar a retornos buy-and-hold excedentes positivos.
Contribuições – O estudo contribui para a compreensão da função dos fundamentos na valorização de empresas e fornece novos insights sobre modelos binários e análise fundamentalista aplicados aos mercados europeus. Além disso, o estudo testa a robustez das estratégias fundamentalistas usando a análise de regressão com efeitos fixos.
Palavras-chave – mercados de capitais europeus; fundamentos contábeis; retornos de ações; formação de portfólio; índice Euronext 100
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