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Investimento em Valor Contrário no Brasil: Overreaction ou Efeito Tamanho?

Saturnino, Odilon and Saturnino, Valeria and Lucena, Pierre and Carmona, Charles and Araujo, Luiz Fernando (2011): Investimento em Valor Contrário no Brasil: Overreaction ou Efeito Tamanho? Published in: Revista de Finanças Aplicadas , Vol. 1, No. 1 (January 2012): pp. 1-19.


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Given the assumption of opposite movements in stock prices due to the behavior of investors, who can use this strategy to take advantage of times of downturn in the economy, this study consisted of an analysis of overreaction in Brazil, which consists in buying loser stocks with the expectation of future long-term reversals. Based on literature studies in key North American market and Brazil, we calculated the monthly returns of shares traded on the São Paulo Stock Exchange – BOVESPA, for the period from January 1995 to December 2010, being rebalanced portfolios formed each year until 2005, and analyzed the performance during periods of thirty-six and sixty months later. We obtained survey data in the system Economática, in particular prices and company size, gauged from the market value. With the aid of SPSS 17.0 and Eviews 7.0, statistical tests were performed to compare means between the returns during periods of formation and testing, regression and time series and panel data. The tests compare the means and time series indicated that there was support for the strategy of overreaction in the analyzed period, not to reject his hypothesis. Additionally it was found that the opposite strategy can’t be explained by the market value of companies as

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