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Fundamentalist Signals in Volatility Scenarios: Evidence in the Brazilian Stock Market
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This article investigates whether the usefulness of fundamentalist signals to predict returns are altered in context of high volatility and also considering the sensitivity of assets to the IVol-BR volatility index. In times of high volatility, investors could make their decisions based on risk aversion and not only on the fundamentals signals of companies. In addition, it is possible to see how different delays in fundamentalist signals are related to future returns. The methodological choice is for estimators in panel data for the analysis of non-financial companies that have shares traded on B3 - Brasil, Bolsa, Balcão – in the period from 2011.3Q to 2018.2Q. The results show evidence of changes in the explanatory capacity of fundamentalist signals in different volatility scenarios, and for different sensitivities to IVol-BR. This finding may impact the decision-making of managers and investors as it enables the design of investment strategies based on fundamentalist signals adhering to different risk scenarios.
Title: Fundamentalist Signals in Volatility Scenarios: Evidence in the Brazilian Stock Market
Description:
This article investigates whether the usefulness of fundamentalist signals to predict returns are altered in context of high volatility and also considering the sensitivity of assets to the IVol-BR volatility index.
In times of high volatility, investors could make their decisions based on risk aversion and not only on the fundamentals signals of companies.
In addition, it is possible to see how different delays in fundamentalist signals are related to future returns.
The methodological choice is for estimators in panel data for the analysis of non-financial companies that have shares traded on B3 - Brasil, Bolsa, Balcão – in the period from 2011.
3Q to 2018.
2Q.
The results show evidence of changes in the explanatory capacity of fundamentalist signals in different volatility scenarios, and for different sensitivities to IVol-BR.
This finding may impact the decision-making of managers and investors as it enables the design of investment strategies based on fundamentalist signals adhering to different risk scenarios.
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