O duration da vantagem competitiva gera retornos de longo prazo no mercado de ações?
DOI:
https://doi.org/10.1590/1808-057x202113660Palavras-chave:
mercado de ações, retorno sobre o patrimônio líquido (return on equity – ROE), custo implícito de capital, retornos de longo prazo, vantagem competitivaResumo
O objetivo deste artigo foi desenvolver um novo indicador para estimar o retorno esperado agregado de longo prazo sobre
as ações. Não há um método amplamente adotado para modelar diretamente o retorno esperado agregado do mercado
de ações. A maioria dos atuais métodos recorre a abordagens indiretas. Desenvolveu-se um novo indicador que dispensa
um modelo econométrico para gerar retornos esperados e proporciona uma estimativa dos retornos esperados de longo
prazo. A metodologia proposta pode ser usada para desenvolver um indicador de retornos futuros do mercado de ações
semelhante ao rendimento até o vencimento adotado para títulos. Aplicou-se um modelo restrito de crescimento constante
de um estágio – uma variante do modelo de resultado residual (MRR) – cuja principal contribuição é a duração (duration) da
vantagem competitiva das empresas e o retorno real sobre o capital investido (RCI) ajustado cíclico com prazo médio de 10
anos. Adotou-se uma nova metodologia para desenvolver um indicador do retorno esperado de longo prazo do mercado de
ações em nível agregado, considerando a duração da vantagem competitiva das empresas. Os resultados apresentaram forte
correlação entre o retorno implícito sobre o patrimônio líquido (RIPL) implícito dos atuais preços das ações e os retornos
realizados do retorno total real de 10 anos do índice.
Downloads
Referências
Ang, A., & Bekaert, G. (2007). Stock return predictability: Is it there? The Review of Financial studies, 20(3), 651-707. https://doi.org/10.1093/rfs/hhl021
Bai, J. (1997). Estimating multiple breaks one at a time. Econometric Theory, 13(3), 315-352. https://doi.org/10.1017/S0266466600005831
Bernstein, P. (1997). What rate of return can you reasonably expect... or what can the long run tell us about the short run? Financial Analysts Journal, 53(2), 20-28. https://doi.org/10.2469/faj.v53.n2.2068
Botosan, C., & Plumlee, M. (2002). A re-examination of disclosure level and the expected cost of equity capital. Journal of Accounting Research, 40(1), 21-40. https://doi.org/10.1111/1475-679X.00037
Britten-Jones, M., Neuberger, A., & Nolte, I. (2011). Improved inference in regression with overlapping observations. Journal of Business Finance and Accounting,38(56), 657-683. https://doi.org/10.1111/j.1468-5957.2011.02244.x
Buffett, W. (2014). Berkshire’s corporate performance vs. the S&P 500. Berkshire Hathaway. https://www.berkshirehathaway.com/letters/2013ltr.pdf
Campbell, J., & Ammer, J. (1993). What moves the stock and bond markets? A variance decomposition for long‐term asset returns. The Journal of Finance, 48(1), 3-37. https://doi.org/10.1111/j.1540-6261.1993.tb04700.x
Campbell, J., & Shiller, R. (1988). Stock prices, earnings, and expected dividends. The Journal of Finance, 43(3), 661-676. https://doi.org/10.1111/j.1540-6261.1988.tb04598.x
Campbell, J., & Shiller, R. (1998). Valuation ratios and the long run stock market outlook: An update. Journal of Portfolio Management, 24(2), 11-26. https://doi.org/10.3905/jpm.24.2.11
Claus, J., & Thomas, J. (2001). Equity premia as low as three percent? Evidence from analysts’ earnings forecasts for domestic and international stock markets. The Journal of Finance, 56(5),1629-1666. https://doi.org/10.1111/0022-1082.00384
Dasgupta, A., Prat, A., & Verardo, M. (2011). Institutional trade persistence and long‐term quity returns. The Journal of Finance, 66(2), 635-653. https://doi.org/10.1111/j.1540-6261.2010.01644.x
Daske, H., Gebhardt, G., & Klein, S. (2006). Estimating the expected cost of equity capital using analysts’ consensus forecasts. Schmalenbach Business Review, 58(1), 2-36.https://doi.org/10.1007/BF03396722
de La Grandville, O. (1998). The long-term expected rate of return: Setting it right. Financial Analysts Journal, 54(6), 75-80. http://www.jstor.org/stable/4480126
Dickey, D.A., & Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366A), 427-431. https://doi.org/10.1080/01621459.1979.10482531
Easton, P. (2004). PE ratios, PEG ratios, and estimating the implied expected rate of return on equity capital. The Accounting Review, 79(1), 73-95. https://doi.org/10.2308/accr.2004.79.1.73
Easton, P., & Sommers, G. (2007). Effect of analysts’ optimism on estimates of the expected rate of return implied by earnings forecasts. Journal of Accounting Research, 45(5), 983-1015. https://doi.org/10.1111/j.1475-679X.2007.00257.x
Easton, P., Taylor, G., Shroff, P., & Sougiannis, T. (2002). Using forecasts of earnings to simultaneously estimate growth and the rate of return on equity investment. Journal of Accounting Research, 40(3), 657-676. https://doi.org/10.1111/1475-679X.00066
Elton, E. (1999). Expected return, realized return, and asset pricing tests. The Journal of Finance, 54(4), 1199-1220. https://doi.org/10.1111/0022-1082.00144
Fama, E., & French, K. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22(1), 3-25. https://doi.org/10.1016/0304-405X(88)90020-7
Fama, E., & French, K. (1989). Business conditions and expected returns on stocks and bonds.
Journal of Financial Economics, 25(1), 23-49. https://doi.org/10.1016/0304-405X(89)90095-0
Forsyth, J. (2019). An alternative formula for the constant growth model. Journal of Economics, Finance and Administrative Sciences, 24(48), 221-240. https://doi.org/10.1108/JEFAS-07-2018-0067
Gebhardt, W., Lee, C., & Swaminathan, B. (2001). Toward an implied cost of capital. Journal of Accounting Research, 39(1), 135-176. https://doi.org/10.1111/1475-679X.00007
Gordon, J., & Gordon, M. (1997). The finite horizon expected return model. Financial Analysts Journal, 53(3), 52-61. https://doi.org/10.2469/faj.v53.n3.2084
Goyal, A., & Welch, I. (2003). Predicting the equity premium with dividend ratios. Management Science, 49(5), 639-654. https://doi.org/10.1287/mnsc.49.5.639.15149
Hansen, L., & Hodrick, R. (1980). Forward exchange rates as optimal predictors of future spot rates: An econometric analysis. Journal of Political Economy, 88(5), 829-853. https://doi.org/10.1086/260910
Harri, A., & Brorsen, B. (1998). The overlapping data problem [Working Paper]. Social Science Research Network. http://dx.doi.org/10.2139/ssrn.76460
Hillen, C., & Lavarda, C. E. F. (2020). Budget and life cycle in family business in succession process. Revista Contabilidade & Finanças, 31(83), 212-227. https://dx.doi.org/10.1590/1808-057x201909600
Ibbotson, R. (2018). 2018 SBBI® Yearbook. Stocks, bonds, bills, and inflation: U.S. capital arkets performance by asset class 1926-2017 . Duff & Phelps.
Inoue, A., Jin, L., & Rossi, B. (2017). Rolling window selection for out-of-sample forecasting with time-varying parameters. Journal of Econometrics, 196(1), 55-67. https://doi.org/10.1016/j.jeconom.2016.03.006
Jacobsen, R. (1988). The persistence of abnormal returns. Strategic Management Journal, 9(5), 415-430. https://doi.org/10.1002/smj.4250090503
Kwiatkowski, D.; Phillips, P. C. B.; Schmidt, P.; Shin, Y. (1992). Testing the null hypothesis of stationarity against the alternative of a unit root. Journal of Econometrics. 54(1-3), 159-178. https://doi.org/10.1016/0304-4076(92)90104-Y
Lamont, O. (1998). Earnings and expected returns. The Journal of Finance, 53(5), 1563-1587. https://doi.org/10.1111/0022-1082.00065
Lettau, M., & Ludvigson, S. (2001). Consumption, aggregate wealth, and expected stock leturns. The Journal of Finance, 56(3), 815-849. https://doi.org/10.1111/0022-1082.00347
Malkiel, B. (1979). The capital formation problem in the United States. The Journal of Finance 34(2), 291-306. https://doi.org/10.1111/j.1540-6261.1979.tb02092
Mauboussin, M., & Johnson, P. (1997). Competitive advantage period: The neglected value driver. Financial Management, 26(2), 67-74. https://doi.org/10.2307/3666168
Miller, D., & Friesen, P. (1984). A longitudinal study of the corporate life cycle. Management science, 30(10), 1161-1183. https://doi.org/10.1287/mnsc.30.10.1161
Monteiro, A., Sebastião, H., & Silva, N. (2020). International evidence on stock returns and dividend growth predictability using dividend yields. Revista Contabilidade & Finanças, 31(84), 473-489. https://doi.org/10.1590/1808-057x202009690
Ohlson, J., & Juettner-Nauroth, B. (2005). Expected EPS and EPS growth as determinants of value. Review of Accounting Studies, 10, 349-365. https://doi.org/10.1007/s11142-005-1535-3
Pontiff, J., & Schall, L. (1998). Book-to-market ratios as predictors of market returns. Journal of Financial Economics, 49(2), 141-160. https://doi.org/10.1016/S0304-405X(98)00020-8
Porter, M. (1980). Competitive strategy. Techniques for analyzing industries and competitors. Free Press.
Porter, M. (1985). Competitive advantage. Creating and sustaining superior performance. Free Press.
Rozeff, M. (1984). Dividend yields are equity risk premiums. The Journal of Portfolio management, 11, 68-75. https://ssrn.com/abstract=819987
Saikkonen, P., & Lütkepohl, H. (2001). Testing for the cointegrating rank of a VAR process with structural shifts. Journal of Business & Economic Statistics, 18(4), 451-464. https://doi.org/10.1080/07350015.2000.10524884
Siegel, J. (2005). Perspectives on the equity risk premium. Financial Analysts Journal, 61(6),61-73. https://doi.org/10.2469/faj.v61.n6.2772
Siegel, J., & Schwartz, J. (2006). Long-term returns on the original S&P 500 companies. Financial Analysts Journal,62(1), 18-31. https://doi.org/10.2469/faj.v62.n1.4055
Straehl, P., & Ibbotson, R. (2017). The long-run drivers of stock returns: Total payouts and the real economy. Financial Analysts Journal, 73(3), 32-52. https://doi.org/10.2469/faj.v73.n3.4
Wiggins, R., & Ruefli, T. (2002). Sustained competitive advantage: Temporal dynamics and the incidence and persistence of superior economic performance. Organization Science, 13(1), 81-105. https://doi.org/10.1287/orsc.13.1.81.542
Downloads
Publicado
Edição
Seção
Licença
Copyright (c) 2022 Revista Contabilidade & Finanças
Este trabalho está licenciado sob uma licença Creative Commons Attribution 4.0 International License.
O conteúdo do(s) artigo(s) publicados na RC&F são de inteira responsabilidade do(s) autores, inclusive quanto a veracidade, atualização e precisão dos dados e informações. Os autores cedem, antecipadamente, os direitos autorais à Revista, que adota o sistema CC-BY de licença Creative Commons. Leia mais em: https://creativecommons.org/licenses/.
A RC&F não cobra taxa para a submissão de artigos. A submissão de artigo(s) à RC&F implica na autorização do(s) autor(es) para sua publicação, sem pagamento de direitos autorais.
A submissão de artigos autoriza a RC&F a adequar o texto do(s) artigo(s) a seus formatos de publicação e, se necessário, efetuar alterações ortográficas, gramaticais e normativas.
