Análise da rentabilidade de investimentos em ofertas públicas iniciais de ações entre 2004 a 2023 no Brasil: uma abordagem estatística

Abstract

Within a country's financial system, the stock market serves as a crucial mechanism for allocating resources between companies and investors. Companies initially access this market by conducting an initial public offering (IPO), and in return, investors benefit from potential profits and the possible appreciation of the asset in the secondary market. Based on this, our motivation in this study is to investigate, using real data from the Brazilian stock market from 2004 to 2023, the performance of IPO investments compared to the overall stock market returns, represented by the Ibovespa, over a two-year observation period. To achieve this objective, we employed nonparametric tests to compare the median return of IPOs relative to the market, as well as survival analysis methods—such as the Cox model and the Prentice, Williams, and Peterson (PWP) model—to examine the time until significant devaluations of these investments in relation to different explanatory variables. The findings indicate that, in the short term, IPO investments tend to outperform the market, reflecting a well-documented phenomenon known as underpricing. However, over longer periods, returns become negative and exhibit a declining trend. Regarding this latter phenomenon, the adjusted survival models suggest that larger devaluations tend to be associated with offerings made during periods in which the market is heated and with companies that performed poorly from the very first day.