EFEITO MOMENTUM NO CURTO PRAZO: VALE A PENA COMPRAR AÇÕES VENCEDORAS NO BRASIL?

The basic objective of this paper is to analyze possible persistence on the short term of the stock returns traded on the Brazilian capital market, in this case, on the Sao Paulo Stock Exchange (Bovespa). The hypothesis was that winner stocks remains winners and loser stocks trend maintain its retur...

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Published inRevista de administração Mackenzie Vol. 15; no. 4; p. 193
Main Authors Neto, Odilon Saturnino Silva, Silva, ValÉria Louise De AraÚjo MaranhÃo Saturnino, Raboni, Pierre Lucena, De Oliveira, Marcos Roberto Gois
Format Journal Article
LanguagePortuguese
Published São Paulo Mackenzie Presbyterian University 01.08.2014
Subjects
Capital markets
Regression analysis
Short term
Stock exchanges
Stock options
Studies
Brazil
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Summary:The basic objective of this paper is to analyze possible persistence on the short term of the stock returns traded on the Brazilian capital market, in this case, on the Sao Paulo Stock Exchange (Bovespa). The hypothesis was that winner stocks remains winners and loser stocks trend maintain its returns under of the market return's media at the period of six months, in a strategy based on momentum effect. According to analysis of portfolios performance after six months (from April 1995 to September 2011), the evaluated hypothesis of that stocks with high returns in a recent past continuum gives good return's results on the short term. The cross section analysis lead to a multifactor version of the CAPM's model consisting of the lagged return's incorporation and of the volume's natural logarithm, after a rotated data panel regression. The results confirmed that winner stocks with low liquidity and intermediate volume were the best investment's options in Brazil.
ISSN:1518-6776
1678-6971
DOI:10.1590/1678-69712014/administracao.v15n4p193-228