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O impacto do caso Dieselgate no mercado de capitais
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Através dos estudos de eventos, este estudo pretende testar a eficiência dos mercados de capitais na sua forma semiforte, utilizando o escândalo conhecido como o caso Dieselgate que envolveu o grupo Volkswagen.
Para isso, selecionámos 12 eventos, para perceber de que forma a sua divulgação foi incorporada no preço das ações do grupo Volkswagen, empresa cotada no índice de bolsa de valores alemão – DAX 40.
Testámos se os principais eventos que vieram a público entre 2015 e 2018 sobre o caso foram incorporados de uma forma eficiente no preço das ações, não permitindo o ganho de rendibilidades anormais sistemáticas.
Através da metodologia dos eventos (Event Studies), analisou-se a rendibilidade anormal ao longo de uma janela de observação de 11 dias em torno do evento.
Realizou-se igualmente um teste adicional dividindo os eventos entre “Boas“ e “Más” notícias.
Apesar de se observar rendibilidades negativas significativas em torno dos eventos, os testes realizados não permitem concluir que estes valores sejam estatisticamente diferentes de 0. Ou seja, esta informação não parece ter impacto nos investidores. No entanto, este resultado pode estar associado ao facto de termos um número reduzido de factos relevantes para uma única empresa, limitando a inferência estatística.
Through event studies, this study aims to test the efficiency of capital markets in its semi-strong form, using the scandal known as the Dieselgate case that involved the Volkswagen group. To this end, we selected 12 events, to understand how their disclosure was incorporated into the stock price of the Volkswagen group, a company listed on the German stock exchange index - DAX 40. We tested whether the main events that came to light between 2015 and 2018 about the case were efficiently incorporated into the share price, not allowing the gain of systematic abnormal returns. Using the Event Studies methodology, abnormal returns were analyzed over an 11-day observation window around the event. An additional test was also performed by dividing the events between "Good" and "Bad" news. Although significant negative returns were observed around the events, the tests performed do not allow us to conclude that these values are statistically different from 0. That is, this information does not seem to have an impact on investors. However, this result may be associated with the fact that we have a small number of relevant facts for a single company, limiting statistical inference.
Through event studies, this study aims to test the efficiency of capital markets in its semi-strong form, using the scandal known as the Dieselgate case that involved the Volkswagen group. To this end, we selected 12 events, to understand how their disclosure was incorporated into the stock price of the Volkswagen group, a company listed on the German stock exchange index - DAX 40. We tested whether the main events that came to light between 2015 and 2018 about the case were efficiently incorporated into the share price, not allowing the gain of systematic abnormal returns. Using the Event Studies methodology, abnormal returns were analyzed over an 11-day observation window around the event. An additional test was also performed by dividing the events between "Good" and "Bad" news. Although significant negative returns were observed around the events, the tests performed do not allow us to conclude that these values are statistically different from 0. That is, this information does not seem to have an impact on investors. However, this result may be associated with the fact that we have a small number of relevant facts for a single company, limiting statistical inference.
Descrição
Mestrado Bolonha em Contabilidade, Fiscalidade e Finanças Empresariais
Palavras-chave
Caso Dieselgate Grupo Volkswagen Eficiência de mercados DAX 40 Estudo de eventos Rendibilidades anormais Dieselgate case Volkswagen Group Market efficiency Event study Abnormal returns
Contexto Educativo
Citação
Santos, Carlota Capelo dos (2022). “O impacto do caso Dieselgate no mercado de capitais". Dissertação de Mestrado. Universidade de Lisboa. Instituto Superior de Economia e Gestão.
Editora
Instituto Superior de Economia e Gestão