Revisitando as estratégias de momento: o mercado brasileiro é realmente uma exceção?

Piccoli, Pedro; Souza, Alceu; Silva, Wesley Vieira da; Cruz, June Alisson Westarb

doi:10.5700/rausp1193

Cited by 8 publications

(7 citation statements)

References 37 publications

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“…A market is efficient when the prices of the assets traded in it always fully reflect the available information (Fama, 1970). However, the EMH is contested by various studies that provide evidence that investors can present irrational behaviors and react in an exaggerated way to new information, whether good or bad, creating opportunities for abnormal gains (Costa, 1994;De Bondt & Thaler, 1985;Jegadeesh & Titman, 1993;Kimura, 2003;Leone & Medeiros, 2015;Piccoli, Souza, Silva & Cruz, 2015;Shiller, 2003).…”

Section: Misvaluation and Behavioral Biasmentioning

confidence: 99%

“…Subsequent studies could deepen the analysis of the model by modifying the frequency of the data analyzed, with intraday returns and the compilation of monthly or weekly portfolios, varying the calculation period and the period for determining returns. The effects of moments of economic crises on the GTT model could also be the object of new studies (Piccoli et al, 2015).…”

Section: Final Remarksmentioning

confidence: 99%

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Misvaluation and behavioral bias in the Brazilian stock market

Júnior

Medeiros

Caldas

et al. 2019

Rev. contab. finanç.

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The study sought to apply the model developed by Gokhale et al. (2015) to identify the existence of overreaction and behavioral biases in the Brazilian stock market and analyze its performance as an investment strategy on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) in the short term and long term, as well as test its robustness with time window simulations. The impacts of behavioral finance on capital markets can affect economic decisions, perpetuate or increase asset pricing anomalies, and in more extreme and persistent situations contribute to the formation of bubbles that can compromise the entire financial system of a country. The study pioneers an innovative methodology in the Brazilian stock market for identifying behavioral biases and obtaining abnormal returns and higher returns than the Ibovespa. The research uses the model developed by Gokhale, Tremblay, and Tremblay (2015) in three samples with quotations data for Brazilian publicly-traded companies that compose the Ibovespa and IBrA in the period from 2005 to 2016. With the R statistical software, the Fundamental Valuation Index (FVI) was calculated for each sample share and each year. From the FVI index, the undervalued shares were identified, indicating that the sales price does not reflect their economic fundamentals, and portfolio simulations were carried out for investment over three months or the next year. The results indicate the possible existence of overreaction and behavioral biases in the Brazilian stock market, which lead to the possibility of higher abnormal returns than those of the Ibovespa. Similar to the US market, at the end of the 2006-2016 period simulated portfolios yielded more than 274%, while the Ibovespa yielded approximately 80%. The robustness tests attest to the effectiveness of the model. The various investment portfolios, simulated over different time horizons, yielded more than the Ibovespa on average. The study also confirmed the assumptions of Gokhale, Tremblay, and Tremblay (2015) regarding the model's inadequacy for short-term strategies.

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Section: Misvaluation and Behavioral Biasmentioning

confidence: 99%

Section: Final Remarksmentioning

confidence: 99%

Misvaluation and behavioral bias in the Brazilian stock market

Júnior

Medeiros

Caldas

et al. 2019

Rev. contab. finanç.

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“…On the other hand, Lischewski and Voronkova (2012) examine only Polish stocks and report that the market, size, and value factors have explanatory power on average returns, but do not explain portfolio returns fully. 3 Fama and French (1998); Rouwenhorst (1999); Bonomo and Garcia (2001); Bonomo et al (2002); Sampaio (2002); Malaga and Securato (2004); Matos (2006); Chague and De-losso (2007); Bellizia (2009); Mussa et al (2009); Brito and Murakoshi (2009); Grandes et al (2010); Mussa et al (2011); Bodur (2011); Rizzi (2012); Mussa et al (2012); Varga and Brito (2015); Eid Jr and Martins (2015), and Piccoli et al (2015).…”

Section: Introductionmentioning

confidence: 99%

US Risk Premia under Emerging Markets Constraints

Filho¹,

Chague

De-Losso

et al. 2020

SSRN Journal

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USA market is the benchmark for empirical finance and considered the closest example of how an efficient market should behave. On the other hand, divergent results from the observed in the USA are often associated with unreliable and due deviations from efficient hypothesis. However, how would the US market results behave had the data the same constraints as an emerging market economy? To answer that question, we analyze the risk premia market estimation under the typical constraints from emerging equity markets: the small number of assets and the short time-series sample available for estimation. We use parameters of timeseries length, number of assets and accounting variables distribution from the Brazilian equity market. Surprisingly, we conclude that the US market risk premia convey the same data features as the Brazilian risk premia if under the same time constraints. Then, we evaluate two potential causes of problems in risk premia estimations with small T: i) small sample bias on betas, and ii) divergence between ex-post and ex-ante risk premia. Through Monte Carlo simulations, we conclude that for the T around 5 years the beta estimates are no longer a problem. However, it is necessary to analyze a time-series sample exceeding 40 years to obtain robust ex-ante risk premia.

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“…Average Slopes (t-statistics) from Month-by-Month Regressions of Stock Returns(July 1999to June 2015 …”

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confidence: 99%

The Cross-Section of Expected Stock Returns in Brazil

Varga¹,

Brito

2016

Braz. Rev. Fin.

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In a sample of the Brazilian stock market from 1999 to 2015, this paper shows that the book-to-market and momentum of individual firms capture some of the cross-sectional variation in average stock returns, while the market β and size do not play a role. The positive relation of cross-section of returns with book-to-market is more evident earlier, while the positive relation with momentum is stronger later in the sample. However, because none of these characteristics show explanatory power for all the subsamples studied, we are not fully convinced that they capture fundamental risk factors.

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Revisitando as estratégias de momento: o mercado brasileiro é realmente uma exceção?

Cited by 8 publications

References 37 publications

Misvaluation and behavioral bias in the Brazilian stock market

Misvaluation and behavioral bias in the Brazilian stock market

US Risk Premia under Emerging Markets Constraints

The Cross-Section of Expected Stock Returns in Brazil

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