The relationship between stock return and metrics of performance: empirical evidences for companies in brazil

  • Douglas Dias Bastos Universidade Presbiteriana Mackenzie
  • Wilson Toshiro Nakamura Universidade Presbiteriana Mackenzie; Pós-Graduação em Administração de Empresas
  • Marcelino David Universidade Presbiteriana Mackenzie
  • Uriel Antonio Superti Rotta Fundação Instituto de Administração
Keywords: Return, Performance, Economic Value Added

Abstract

Search in this study, to verify the relationship among the stock return, measured for the market-adjusted stock return, and four metrics of performance (Earning per Share, Return on Investment, Economic Value Added - EVA® and Operational Cash Flow) widely used by the companies and market. With a sample of 93 companies that operate in Brazil, excluding the financial ones, analyzed in the period between 2001 and 2007, using three econometric techniques: 1) Linear Regression Cross-Section, 2) Panel Data (Pooled) with heteroscedasticity corrected and 3) Panel Data with Aleatory Effects. The study tries to test the hypothesis about the importance of the performance indicators in the creation of shareholder value and the relevance to the EVA® front the other metric ones. In a general way, the results indicate a low power of explanation of the independent variable on the market-adjusted return. The indicator of performance that obtained the best results was the Operational Cash Flow followed by the Return on Investment and Earning per share. EVA® presented the worst result, rejecting the hypothesis about the superiority this performance measures that consider the cost of capital in the analysis of value creation.

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Published
2009-09-01
How to Cite
Bastos, D., Nakamura, W., David, M., & Rotta, U. (2009). The relationship between stock return and metrics of performance: empirical evidences for companies in brazil . REGE Revista De Gestão, 16(3), 65-79. https://doi.org/10.5700/issn.2177-8736.rege.2009.36678
Section
Finanças