WHAT DETERMINES THE PRICE OF SHARES? EMPIRICAL EXAMINATION OF THE BRAZILIAN PRE-SUBPRIME MARKET (1994-2007)

One portion of the literature of finance suggests that the behavior stock prices not to integrally be able to be explained from economic variable. Some researchers have found evidences of that a fraction of the variation of the stock returns can be understood from news of public domain. Ahead of the inexistence of similar studies in the Brazilian environment, this study aims to verify the existence of associations between variations of the stock market and excellent notice of the media, in the previous period to the 2008 crisis, understanding: JAN/1994-DEZ/2007. The main results disclose that almost 35% of the variability of the index cannot be explained by macroeconomic variable, the main reached results put in doubt the premise of that the parcel of the movements of the stock market not-explained by the knowledge of macroeconomic variable can integrally be understood from qualitative notices. In other words, seem that great movements of benchmark are not systematically associates the great events, considering the disclosed news in the Brazilian media at moments of bigger movements of the market verified it predominance of associated notice to national politics