IDEAS home Printed from https://ideas.repec.org/a/fgv/epgrbe/v61y2007i1a1006.html
   My bibliography  Save this article

Ações de empresas brasileiras e suas ADRs: Uma nota sobre datas ex-dividend

Author

Listed:
  • Procianoy, Jairo Laser
  • Kwitko, Leonardo Costa

Abstract

Este trabalho analisou o comportamento das ações de empresas brasileiras e de suas ADRs listadas em bolsa, em períodos próximos ao 1° dia ex-dividend. Analisando os retornos, pode-se perceber que as ações locais tiveram um desempenho médio superior ao das ADRs nos dias anteriores à data do evento. Isto sugere que os investidores preferem comprar ações às ADRs em função da menor tributação dos dividendos no Brasil. Essa tendência se inverte na data do evento, quando as ADRs obtiveram um retorno superior ao das ações locais. A análise dos preços demonstrou que as ADRs são negociadas, em média, com um prêmio em relação as suas respectivas ações. Palavras-Chave: Dividendos, ADRs, Tributação, Arbitragem, Eficiência de Mercado, Formação de preços de ativos JEL: G12, G14, G35 This work analyses the performance of the Brazilian ADRs and their underlying stocks around the 1° ex-dividend day. The local stocks showed a better performance, on average, than the ADRs on the days preceding the event data. This fact suggests that investors prefer to buy local stocks on this period because they have to pay lower taxes in Brazil when they receive the dividend. This tendency is reverted on the 1° ex-dividend day, when the ADRs had a better performance than their underlying stocks. The analysis of the prices showed that the ADRs are negotiated with a premium on average. Key-words: Dividends, Taxes, ADRs, Market efficiency, Arbitrage, Stock prices

Suggested Citation

  • Procianoy, Jairo Laser & Kwitko, Leonardo Costa, 2007. "Ações de empresas brasileiras e suas ADRs: Uma nota sobre datas ex-dividend," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 61(1), August.
    • Handle: RePEc:fgv:epgrbe:v:61:y:2007:i:1:a:1006
    as

    Download full text from publisher

    File URL: https://periodicos.fgv.br/rbe/article/view/1006
    Download Restriction: no
    ---><---

    More about this item

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G35 - Financial Economics - - Corporate Finance and Governance - - - Payout Policy

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fgv:epgrbe:v:61:y:2007:i:1:a:1006. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Núcleo de Computação da FGV EPGE (email available below). General contact details of provider: https://edirc.repec.org/data/epgvfbr.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.