The efficient market hypothesis of brazilian capital market, 2000-2010: an event study of distribution of dividends

Abstract

 In the semi-strong form of the Efficient Markets Hypothesis - EMH, developed by Fama (1970, 1991), the prices reflect both the past and any information disclosed by companies, making impossible to an investor to get abnormal returns consistently, based on this type of information. In this paper we analyze the price behavior of common shares of 87 listed companies in the BM&FBovespa, in the announcements of 452 events of dividend distribution, occurred between January 2000 and September 2010, in order to identify the EMH in semi-strong form of Brazilian capital market. We used an event study, which evaluates abnormal returns of stocks relative to the market return (Ibovespa). The analysis of the abnormal return in the event window (10 days before and after the dividend distribution announcement) showed an upward trend, with significant positive abnormal returns on days t_-5, t_-3, and t_-1 to t₊₁. The results go in the direction of other studies of national literature and contribute to attest that the Brazilian capital market lacks the semi-strong form of informational efficiency.