Análise da formação de carteiras de investimentos: uma aplicação no mercado acionário brasileiro.

Gestión Joven "Revista de la Agrupación Joven Iberoamericana de Contabilidad y Administración de Empresas". Young Management "Journal of the Young Iberomerican Group of Accounting and Business Administration" 01/2009;
Source: RePEc

ABSTRACT O objetivo deste estudo é verificar a capacidade dos modelos financeiros teóricos de gestão de carteiras, em subsidiar a obtenção de retornos anormais no mercado acionário brasileiro. Entre os modelos que se podem citar: o modelo de Gestão de Carteiras de Markowitz (1952), o modelo CAPM de Sharpe (1964), Lintner (1965) e Black (1972). Os resultados comprovam que os dois modelos testados conseguiram gerar rentabilidades anormais, se comparadas com o IBOVESPA no mesmo período e com uma variância inferior. O Índice de Sharpe (1966) apontou a carteira de Markowitz como a que obteve a melhor performance. Our objective is to assess the ability of theoretical models of financial portfolio management, in support to obtain abnormal returns in the Brazilian equity market. Among the models that may be cited: the model of portfolio management of Markowitz (1952), the CAPM of Sharpe (1964), Lintner (1965) and Black (1972). The results show that the two models tested successfully generate abnormal returns compared to the IBOVESPA in the same period and a lower variance. The index of Sharpe (1966) identified the portfolio of Markowitz as that achieved the best performance.

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    ABSTRACT: Starting from fundamental variables, this research aims to construct unobservable factors to explain the most part of the accounting data’s variability of listed companies on Bovespa. So, it was applied the multivariate statistical technique factor analysis by means principal components, in which eight factors were relevant. Based on the scores of these factors, the assets were ranked and annual portfolios with twelve actions were selected. This strategy had positive abnormal returns at 5% of significance level in the period 1999 to 2009, bringing evidence of inefficiencies in the Brazilian stock market. Thus, the techniques provide an option for understanding the stock market and the portfolios’ selection through the analysis of multiple variables.
    Produção Online. 12/2012; 12(4).

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