Índice de sentimento textual: uma análise empírica do impacto das notícias sobre risco sistemático

Maria Daniella de Oliveira Pereira da Silva; Márcio André Veras Machado

doi:10.5007/2175-8069.2019v16n40p24

Autores/as

Maria Daniella de Oliveira Pereira da Silva Professora da Universidade Federal da Paraíba (UFPB) https://orcid.org/0000-0002-3419-3985
Márcio André Veras Machado Professor doS ProgramaS de Pós-Graduação em Administração e em Ciências Contábeis da Universidade Federal da Paraíba (UFPB) https://orcid.org/0000-0003-2635-5240

DOI:

https://doi.org/10.5007/2175-8069.2019v16n40p24

Resumen

El propósito del estudio fue estimar un índice de sentimiento textual basado en noticias e investigar su comportamiento ante el riesgo sistemático. Para esto, se investigó si el riesgo sistemático de las acciones preferenciales de Vale (VALE5) sufrió influencia del tono y del volumen de las noticias relacionadas con el accidente ocasionado por Samarco, en los períodos que los inversores eran más vulnerables al riesgo, partiendo de la premisa que las noticias contribuyen con la actualización de las creencias de los inversores sobre sus expectativas futuras, principalmente en períodos de mayor incertidumbre. Las relaciones entre el riesgo sistemático, volumen de noticias y sentimiento textual (tono) se obtuvieron mediante regresión cuantílica. Las evidencias empíricas encontradas entre el 5º y 9º decil llevan la constatación de que el volumen y el tono de las noticias influyen en la beta de la acción cuando existe una mayor exposición al riesgo, sugiriendo indicios de que el riesgo sistemático presenta conexión con la divulgación de noticias, en los períodos de mayor incertidumbre sobre los flujos de caja futura de los activos.

Biografía del autor/a

Maria Daniella de Oliveira Pereira da Silva, Professora da Universidade Federal da Paraíba (UFPB)

Doutora em Ciências Contábeis pelo Programa Multiinstitucional e Inter-Regional de Pós-Graduação em Ciências Contábeis (UnB/UFPB/UFRN)

Márcio André Veras Machado, Professor doS ProgramaS de Pós-Graduação em Administração e em Ciências Contábeis da Universidade Federal da Paraíba (UFPB)

Doutor em Administração pela Universidade de Brasília (UnB)

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