Evidências de retornos anormais nos processos de IPO na Bovespa/Abnormal returns of evidence in IPO on Bovespa

Abstract

The objective of this research was to detect anomalies in the pricing of shares in IPOs in the Brazilian capital market. The methodology of the event study for the measurement of possible abnormal stock returns resulting from temporal periods (daily, monthly, semi-annual and annual) for a total of 91 IPOs conducted from 2007 to 2013 was applied. The empirical results presented evidence about recovery in stock prices resulting from the first day of trading, it was found an abnormal return of the 2.82% above the Bovespa index on average, which indicates the Underpricing. The cumulative average abnormal returns, excluding the return on day 1, were not observed for the survey period, it is suggested that, after the first day of trading, shares tend to maintain a consistent behavior with the Bovespa. These figures show significant gains in the value of stocks analyzed within one day's supply, provided that the investor perform the first day of trading on the stock market, both in purely economic terms and in their own level of statistical significance. Moreover, it is not characterized by robustness, statistically relevant, the phenomenon of underperformance in the period.