Market rationality after disclosure of relevant data: a Brazilian company case

Carlos Elder Maciel de Aquino, José Everardo Alves Pereira, José Odalio dos Santos, Alexandre Franco de Godoi, Fernando de Almeida Santos


The goal of the research is to analyze the stock returns of Cielo SA based upon its intraday data to capture the influence of relevant facts on the share price and trading volume, at the early hours after the disclosure. The Efficient Market Hypothesis (EMH) and Behavioral Finance theories were tested through the Event Study methodology. The research is empirical-analytical in nature, with a quantitative and descriptive approach in relation to the proposed objective. The statistical inferences were built by correlation analysis, linear regression tests and the results were evaluated based on the p-values obtained in the tests. The results indicate that events classified as static and dynamic in the research tend to lead to a higher trading volume and a greater volatility in the share price at the beginning of the first negotiation session after the relevant fact announcement, with adjustments along the day and further negotiations sessions. This evidences investors’ irrational behavior in the first two hours of negotiations.


Event study; intraday; efficient market hypothesis


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