Neste artigo, são apresentados testes empíricos para a investigação de ocorrência de fenômenos de sobre-reação e sub-reação no mercado de ações brasileiro. Para esses testes, é proposto um modelo baseado na teoria de conjuntos Fuzzy, que possui forte relação com as heurísticas de representatividade e ancoramento, estabelecidas na teoria de finanças comportamentais. O modelo proposto é empregado para a formação de carteiras e utiliza indicadores financeiros de companhias abertas. Para as análises são utilizados dois conjuntos de ações, um do setor de petróleo e petroquímica e outro do setor têxtil, com indicadores financeiros relativos ao período de 1994 a 2005.
In this paper empirical tests for the overreaction and underreaction hypothesis in the Brazilian stock market are presented. For these tests, due to the complexity of these phenomena, a new model based on the fuzzy set theory is proposed. It is shown that such model is strongly connected with two heuristics of behavioral finance: representativeness and anchoring. The proposed model is used to form portfolios based on financial indexes of open firms. The analysis is applied for stocks from petrol/petrochemical and textile firms, with financial indexes ranging from 1994 to 2005.
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