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.

Abstract

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

• Item Type: MPRA Paper
• English Title: Contrary Investment Value in Brazil: Overreaction or Size Effect?
• Language: Portuguese
• Keywords: Strategy Contrary, Size, Panel Regression
• Subjects: G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice ; Investment Decisions

References

Bonomo, M., & Dall’Agnol I. (2003). Retornos anormais e estratégias contrárias. Working Paper, FGV-482, Rio de Janeiro.

Camargos, Marcos Antônio de.; Barbosa, Francisco Vidal (2003). Teoria e evidência da eficiência informacional do mercado de capitais brasileiro. Caderno de Pesquisas em Administração, São Paulo, v. 10, n. 1, p. 41-55, jan./mar.

Chopra, Navin, Lakonishock, Josef, & Ritter, Jay R. (1992). Measuring abnormal performance: do stocks overreact? Journal of Financial Economics, 31, pp. 235-268.

Damodaran, Aswath (2006). Mitos de Investimentos. – São Paulo: Financial Times – Prentice Hall.

Debondt, W. F.M., & Thaler, R. (1985). Does the stock market overreact? Journal of finance, v.40, nº 3, July 1985, pp.793-805.

Fama, E. (1970). Efficient Capital Markets: A review of theory and empirical work. Journal of Finance, 25, pp.383-417.

Fama, E., & French, K. (1992). The Cross Section of Expected Returns. The Journal of Finance, v. 47, nº 2, June.

Fama, E.F., & French, E. (1996). Multifactor explanations of asset pricing anomalies. Journal of Finance, v.51, nº1, pp.55-84, March.

Fonte Neto, Jayme Wanderley da., & Carmona, Charles Ulises de Montreuil (2005). Eficiência do mercado acionário brasileiro pós-Plano Real: há evidências de overeaction?. In: XXV Encontro Nacional de Engenharia de Produção – Porto Alegre, RS. 29 out./01 nov.

Jegadeesh, N., & Titman, S. (1993). Returns to buying winners and selling losers: implications for stock market efficiency. Journal of Finance, v.48, nº1 March, pp.65-91.

Minardi, Andrea M. A. Fonseca (2004). Retornos passados prevêem retornos futuros?. RAE-eletrônica, v.3, Art. 14. São Paulo: FGV. jul./dez.

Poli, Paulo de Castro Rubio, & Oda, Andre Luiz (2005). Estratégia contrária de curtíssimo prazo: um teste de padrões de reversão aplicado às ações negociadas na Bolsa de Valores de São Paulo no período 1995 a 2003. In: VIII SEMEAD: USP.