Anomalias de mercado : a estrategia de impulso e do volume no Mercado de acões brasileiro

AUTOR(ES)
DATA DE PUBLICAÇÃO

2009

RESUMO

Several studies have been and continue to be conducted with the aim of identifying factors that are responsible for abnormal results in the capital market. Among the investors risk averse, there are those who follow a momentum strategy. This implies that stocks that are rising will continue to rise and stocks that are falling will continue to fall, or simply follow the impulse. This dissertation aims to investigate whether there is in the Brazilian stock market dominance of a momentum strategy and the turnover is useful in predicting future returns. At the beginning of each month all the actions available on the BM &FBovespa were classified independently based on the return of the training period J and divided into 10 portfolios. Were classified and grouped based on their returns over the last three, six, nine and twelve months. We present results for portfolios of extreme losers (R1) and extreme winners (R10). Then, those same companies were classified independently based on its average trading volume over the past J months in three portfolios, V1 represents the portfolio of smaller volume, and V3 represents the portfolio of higher trading volumes. Finally, we compare the returns for the momentum strategy based on trading volume and returns, and a simple momentum strategy. In this dissertation, there are results that corroborate the premise of the momentum strategy. In short, the results show evidence that trading volume is useful in predicting future returns, however, the hypothesis that the turnover of stocks in the portfolio will positively influence their future returns can not be sustained due to non-significance test applied.

ASSUNTO(S)

abnormal market bm&fbovespa administracao momentum and volume strategy anomalias de mercado bm&fbovespa estratégia de impulso e volume

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