Analysis of the relationship between the profitability of market portfolios and the profitability of shares of companies in the oil sector

Abstract

Purpose: This article aims to elucidate whether the particularity of the high level of explanation of the relationship between the return on the market and the return on shares of companies in the oil sector in Brazil occurs similarly in other markets. Methodology: The oil companies considered were listed as the main ones by Forbes, Fortune and Exame magazines. Their shares and market movement were obtained from their respective host countries stock exchanges, and other information on institutional websites (e.g: OPEC - Organization of the Petroleum Exporting Countries). As theoretical support, CAPM and APT metrics were applied between from January 2, 2015, to March 31, 2021. Results: Considering the privileged position of the fuel sector for the movement of the level of economic activity of the countries, the result of this research confirmed that the particularity of the Brazilian scenario is observed in other countries with regard to the high level of explanation of the return of the superior market portfolio at 50%. The research observed that the Explanation Coefficient tends to capture in a more significant way the effects of crises that come from local economic contexts and impacts on the world economy, such as a possible reduction in the level of gross domestic product of countries such as the United States or China. As for the unexpected event, such as Covid-19, the model, in principle, did not present the same result, which could be observed in the quarterly analyses. Contributions of the Study: Research can help managers and investors, as by demonstrating similarities one can predict future events or assist in decision-making.

Keywords

• apt; stock exchange; capm; covid-19; petrobras.