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Os indicadores ROE e PVPA aplicados como balizadores de estratégias de investimentos: uma análise do mercado acionário brasileiro de 1995 a 2009

Melo, Jean Marcio and Távora, Lamartine and Xavier, Leonardo and Lucena, Pierre (2010): Os indicadores ROE e PVPA aplicados como balizadores de estratégias de investimentos: uma análise do mercado acionário brasileiro de 1995 a 2009. Published in: Anais do X Encontro Brasileiro de Finanças (May 2010)

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Abstract

This study examines the possibility to achieve additional earnings over the Bovespa index (Ibovespa), by investing in potentially undervalued stocks, traded at lower multiples of price-to-book ratio (PBV) and, at the same time, representative of companies with higher returns on equity (ROE). The method of study adopted was the descriptive analysis of obtained data in conjunction with econometric tests. In this sense, the multifactor model (FAMA; FRENCH, 1996) served as a basis to the explanatory capacity analysis of the fundamentalists variables observed. An important outcome of research was the correlation found between the Brazilian interest reference rates and the overall behavior of the variables ROE and PBV combined: through this comparison, was evidenced a trend of approach between the ratio ROE/PBV, calculated for the whole market, and interest rates for 12 months, notably from the year 2000. In turn, the superior results obtained in the investment models based on parameters of the indicators ROE, PBV, and ratio ROE/PBV, contributed to the development of a systematic method of stocks selection, accessible to the retail investor.

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