Banca de QUALIFICAÇÃO: DIEGO ROBERTO FERNANDES

Uma banca de QUALIFICAÇÃO de MESTRADO foi cadastrada pelo programa.
STUDENT : DIEGO ROBERTO FERNANDES
DATE: 19/12/2025
TIME: 15:30
LOCAL: VIDEOCONFERÊNCIA
TITLE:

Dividends, investor sentiment and their interaction with idiosyncratic risk and expected returns: an analysis in the Brazilian context.

KEY WORDS:

Investor sentiment; Idiosyncratic risk; Expected returns.

PAGES: 27
BIG AREA: Ciências Sociais Aplicadas
AREA: Administração
SUBÁREA: Ciências Contábeis
SUMMARY:

This research investigates how dividends and investor sentiment influence the relationship between idiosyncratic risk and expected returns in the Brazilian stock market between 2010 and 2024. Although relevant to investors' perception of value, dividends exhibit behaviors that challenge traditional theory, as per Black (1976). At the same time, idiosyncratic risk, despite not being considered by the CAPM, can affect expected returns in markets with incomplete information. In addition, investor sentiment is influenced by psychological, macroeconomic, and emotional factors, which tend to affect buying and selling behavior. The research uses data from companies listed on the B³ (Brazilian Stock Exchange), excluding financial institutions and stocks priced below R$5.00, totaling 151 companies, classified as dividend-paying and non-dividend-paying companies. The Consumer Confidence Index (CCI) is adopted as a proxy for investor sentiment. Idiosyncratic volatility (IVOL) is estimated using the Fama-French model (1993) applied to a time series, while expected returns are analyzed using Fama-MacBeth regressions (1973). Additional models include investor sentiment and an interaction between IVOL and sentiment, allowing for the assessment of whether periods of optimism and pessimism alter this relationship. The study contributes to understanding how characteristics of dividend policy and behavioral factors influence risk and return in the Brazilian stock market, especially during periods marked by economic crises, political instability, and events such as the COVID-19 pandemic. The results aim to provide theoretical and practical implications to broaden the understanding of the mechanisms that affect asset pricing in Brazil.

COMMITTEE MEMBERS:
Presidente - ***.462.764-** - MARCELO DANIEL ARAUJO ERMEL - NÃO INFORMADO
Interno - 4966048 - RAIMUNDO MARCIANO DE FREITAS NETO
Externo à Instituição - CARLOS CRISTIANO POLTRONIERI - UPM