Trabalho de Conclusão de Curso de Especialização
Mensuração do preço das ações no mercado financeiro nacional
Fecha
2009-01-06Autor
Oliveira, Alexandre Silva de
Institución
Resumen
The theme of research of the proposed monograph is the measure of the price of the
actions in the national finance market. As subjects are investigated which the
influence of the third and fourth moment in the price of assets, the influence of the
coskewness in the correlation of the proxy IBOV with the actions, the influence of the
cokurtosis in the correlation of the proxy IBOV with the actions, the united influence
of the coskewness and cokurtosis in the correlation among the proxy IBOV and the
actions, your acting compared with the model CAPM and the increase or not of the
precision. As research method grew bibliographical researches and I study of the
temporary series of the actions that composed the index Ibovespa on May 30, 2008,
treated with the use of multiple regressions tends as variables the systematic
volatility, the systematic asymmetry and the systematic kurtosis. As results the work
allows to affirm the conclusion that the coskewness and the cokurtosis don't improve
the acting of the model of price of assets.