Evidence of the adaptive market hypothesis in shares traded by B3 listed banking companies

Abstract

PurposeThe authors aim to verify the indicators that influence the efficiency reported by Brazilian listed financial companies.Design/methodology/approachThe sample consists of companies in the financial segment that have shares traded in B3, comprising nine institutions from 2000 to 2018 were selected. The authors adopted the regression model with unbalanced panel data to analyze the data. The dependent is the efficiency, which the authors calculated using Hurst Exponent. As independent variables, we used the sector-specific indicators: earnings management, banking resilience, management efficiency, and profitability. The authors controlled the models by size and type of control.FindingsThe findings indicate that the efficiency of financial companies' securities is affected by aspects related to management, resilience, and efficiency in administration. The lower the earnings management, the greater the banking resilience, the efficiency in the management of resources, and the efficiency of stock prices of these companies. These results show that efficiency is affected by intrinsic factors of the entities, corroborating the hypothesis that markets adapt, among others, to institutional factors.Originality/valueMany users of financial institutions understand whether their stock prices reflect the information provided by accounting. The findings are original because they provide evidence that institutional factors affect the efficiency of companies in the Brazilian financial segment.