Pierre Lucena

Eficácia do uso da estratégia de investimento em ações com baixo múltiplo preço/valor patrimonial (PVPA) no Brasil

This paper aims to test the hypothesis of abnormal returns from the strategy of investing in shares with lower Price/Value Ratio (PVPA) in the Brazilian capital market. All the shares negotiated in the Sao Paulo Stock Exchange (Bovespa) from 1994 to 2006 were used, and formed 6 portfolios according to the originalcriteria for choosing portfolios, in ascending order of PVPA, changed every year. Moreover, we tested the existence of significant change in the parameters of the CAPM Model through the regression analysis, incorporating to the model the variable corresponding to multiple PVPA. Afterwards, we also made a comparison between the governments of FHC and the first Lula’s administration, checking if there was significant change in the parameters of the regression, using the Chow Test of structural change. The results showed that there isn’t efficacy in the use of low PVPA as a measure of investment portfolio formation, rejecting the hypothesis tested both through the graphic analysis, which showed higher returns for the shares with greater PVPA, and through the inclusion of this index in CAPM, which indicated significant change on the beta parameters and in the comparison between the governments.

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

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 Sao 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 Economatica, 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 asGiven 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 Sao 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 Economatica, 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

LIQUIDEZ E VALOR NO MERCADO DE AÇÕES BRASILEIRO: MODELO DE CINCO FATORES

O artigo teve como objetivo explicar as causas dos desvios dos precos de acoes em relacao aos fundamentos a partir de variaveis analisadas por meio de modelos tradicionais de aprecamento de ativos, buscando explicar os desequilibrios a partir da inclusao de um indice de liquidez. A partir de aplicacoes e modificacoes de modelos multifatoriais classicos, foi verificada a eficacia desses modelos no Brasil. As carteiras de ativos foram formadas a partir de retorno, valor de mercado, razao Patrimonio Liquido/Valor de Mercado e liquidez, com rebalanceamento anual e analise correspondente ao periodo de setembro de 1995 a agosto de 2014. A contribuicao teorica e de um modelo formado a partir de dados em painel e incluindo componentes autoregressivos, de media movel e de variância condicional, construindo a versao de um modelo Autoregressivo de Media Movel/Autoregressivo Condicional Heterocedastico Generalizado – ARMA/GARCH. Explica-se o desequilibrio entre tendencias de mercado e fundamentos a partir da inclusao de um indice de liquidez estimado por Analise de Componentes Principais, sendo o retorno explicado por um modelo de cinco fatores.