Is New Ibovespa The Best Investment Option?

Detalhes bibliográficos
Autor(a) principal: Goulart Serra, Ricardo
Data de Publicação: 2016
Outros Autores: Toshiro Nakamura, Wilson
Tipo de documento: Artigo
Idioma: eng
por
Título da fonte: Revista Brasileira de Gestão de Negócios (Online)
Texto Completo: https://rbgn.fecap.br/RBGN/article/view/2541
Resumo: Purpose – Verify whether Ibovespa, Old or New, could be the best alternative for investors, considering investment possibilities (risky and risk free) in the Brazilian market. Should investors put the portion of money that they allocate to risky assets into New Ibovespa? Are there more efficient alternatives for investors?Design/methodology/approach – The Portfolio T was determined with the modern portfolio theory from a sample of 118 shares for 34 four-month periods. Equality of means and variance were tested by means of parametric and nonparametric tests, as appropriate.Findings – Studying New Ibovespa (calculated retroactively) in the period between January 1, 2003 and April 30, 2014, it was concluded that, (i) analyzing the entire period, (a) New Ibovespa was dominated by a portfolio obtained by applying the concepts of the modern portfolio theory (portfolio T), and (b) New Ibovespa dominated Old Ibovespa, and (ii) analyzing each of the 34 four-month periods individually, New Ibovespa was dominated by the portfolio T in 13 out of the 18 four-month periods in which there had been statistically significant dominance (72,2% of all cases).Originality/value – The paper contributes to the study of the New Ibovespa, offering 118 shares to determine the Portfolio T and for a 34 four-month period. To the best knowledge of the authors, no other paper studied the New Ibovespa. It can be concluded that, for the period analyzed, when compared to New Ibovespa, the portfolio T would have been a better investment alternative.
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spelling Is New Ibovespa The Best Investment Option?¿Es el nuevo Ibovespa la mejor opción de inversión?O novo Ibovespa é a melhor opção de investimento?IbovespaPortfolio TheorySharpe Ratio.IbovespaTeoria de CarteirasÍndice de Sharpe.IbovespaTeoria de CarteirasÍndice de Sharpe.FinançasPurpose – Verify whether Ibovespa, Old or New, could be the best alternative for investors, considering investment possibilities (risky and risk free) in the Brazilian market. Should investors put the portion of money that they allocate to risky assets into New Ibovespa? Are there more efficient alternatives for investors?Design/methodology/approach – The Portfolio T was determined with the modern portfolio theory from a sample of 118 shares for 34 four-month periods. Equality of means and variance were tested by means of parametric and nonparametric tests, as appropriate.Findings – Studying New Ibovespa (calculated retroactively) in the period between January 1, 2003 and April 30, 2014, it was concluded that, (i) analyzing the entire period, (a) New Ibovespa was dominated by a portfolio obtained by applying the concepts of the modern portfolio theory (portfolio T), and (b) New Ibovespa dominated Old Ibovespa, and (ii) analyzing each of the 34 four-month periods individually, New Ibovespa was dominated by the portfolio T in 13 out of the 18 four-month periods in which there had been statistically significant dominance (72,2% of all cases).Originality/value – The paper contributes to the study of the New Ibovespa, offering 118 shares to determine the Portfolio T and for a 34 four-month period. To the best knowledge of the authors, no other paper studied the New Ibovespa. It can be concluded that, for the period analyzed, when compared to New Ibovespa, the portfolio T would have been a better investment alternative.Objetivo – Verificar se o Ibovespa, Antigo ou Novo, seria a melhor opcao para os investidores, considerando as possibilidades de investimentos(sem e com risco) no mercado brasileiro. Deveria o investidor colocar a parcela do seu dinheiro que escolhe alocar ativos com risco no Ibovespa Novo? Existiriam opcoes mais eficientes para os investidores?Metodologia – Utilizou-se da moderna teoria de carteiras para a determinacao da carteira T a partir de uma amostra de 118 acoes por 34 trimestres. A igualdade de medias e variancias foi testada por meio de testes parametricos e nao parametricos, conforme o caso. Resultados – Estudando o Ibovespa Novo (calculado retroativamente) pelo periodo de 1o de janeiro de 2003 a 30 de abril de 2014, concluiu-se que, (i) analisando o periodo todo, (a) o Ibovespa Novo foi dominado por uma carteira obtida seguindo-se os conceitos da moderna teoria de carteiras (carteira T) e (b) o Ibovespa Novo dominou o Ibovespa Antigo; e (ii) analisando os 34 quadrimestres, o Ibovespa Novo foi dominado pela carteira T em 13 dos 18 quadrimestres (72,2% dos casos) em que houve dominancia estatisticamente verificada.Contribuições – O artigo contribui com o estudo do Ibovespa Novo, oferecendo 118 acoes para a formacao da carteira T e por um período de 34 trimestres. Nao se tem conhecimento de outros artigos que estudaram o Ibovespa Novo. Conclui-se, para o periodo analisado, que o investidor teria, na carteira T, uma melhor opcao de investimento do que o Ibovespa Novo.Objetivo – Verificar se o Ibovespa, Antigo ou Novo, seria a melhor opcao para os investidores, considerando as possibilidades de investimentos(sem e com risco) no mercado brasileiro. Deveria o investidor colocar a parcela do seu dinheiro que escolhe alocar ativos com risco no Ibovespa Novo? Existiriam opcoes mais eficientes para os investidores?Metodologia – Utilizou-se da moderna teoria de carteiras para a determinacao da carteira T a partir de uma amostra de 118 acoes por 34 trimestres. A igualdade de medias e variancias foi testada por meio de testes parametricos e nao parametricos, conforme o caso. Resultados – Estudando o Ibovespa Novo (calculado retroativamente) pelo periodo de 1o de janeiro de 2003 a 30 de abril de 2014, concluiu-se que, (i) analisando o periodo todo, (a) o Ibovespa Novo foi dominado por uma carteira obtida seguindo-se os conceitos da moderna teoria de carteiras (carteira T) e (b) o Ibovespa Novo dominou o Ibovespa Antigo; e (ii) analisando os 34 quadrimestres, o Ibovespa Novo foi dominado pela carteira T em 13 dos 18 quadrimestres (72,2% dos casos) em que houve dominancia estatisticamente verificada.Contribuições – O artigo contribui com o estudo do Ibovespa Novo, oferecendo 118 acoes para a formacao da carteira T e por um período de 34 trimestres. Nao se tem conhecimento de outros artigos que estudaram o Ibovespa Novo. Conclui-se, para o periodo analisado, que o investidor teria, na carteira T, uma melhor opcao de investimento do que o Ibovespa Novo.FECAP2016-06-10info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionAvaliado por paresapplication/pdfapplication/pdfhttps://rbgn.fecap.br/RBGN/article/view/254110.7819/rbgn.v18i59.2541Review of Business Management; Vol. 18 No. 59 (2016); 87-107RBGN Revista Brasileira de Gestão de Negócios; Vol. 18 Núm. 59 (2016); 87-107RBGN - Revista Brasileira de Gestão de Negócios; v. 18 n. 59 (2016); 87-1071983-08071806-4892reponame:Revista Brasileira de Gestão de Negócios (Online)instname:Fundação Escola de Comércio Álvares Penteado (FECAP)instacron:FECAPengporhttps://rbgn.fecap.br/RBGN/article/view/2541/pdfhttps://rbgn.fecap.br/RBGN/article/view/2541/pdf_1Copyright (c) 2016 Review of Business Managementinfo:eu-repo/semantics/openAccessGoulart Serra, RicardoToshiro Nakamura, Wilson2021-07-21T16:26:30Zoai:ojs.emnuvens.com.br:article/2541Revistahttp://rbgn.fecap.br/RBGN/indexhttps://rbgn.fecap.br/RBGN/oai||jmauricio@fecap.br1983-08071806-4892opendoar:2021-07-21T16:26:30Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)false
dc.title.none.fl_str_mv Is New Ibovespa The Best Investment Option?
¿Es el nuevo Ibovespa la mejor opción de inversión?
O novo Ibovespa é a melhor opção de investimento?
title Is New Ibovespa The Best Investment Option?
spellingShingle Is New Ibovespa The Best Investment Option?
Goulart Serra, Ricardo
Ibovespa
Portfolio Theory
Sharpe Ratio.
Ibovespa
Teoria de Carteiras
Índice de Sharpe.
Ibovespa
Teoria de Carteiras
Índice de Sharpe.
Finanças
title_short Is New Ibovespa The Best Investment Option?
title_full Is New Ibovespa The Best Investment Option?
title_fullStr Is New Ibovespa The Best Investment Option?
title_full_unstemmed Is New Ibovespa The Best Investment Option?
title_sort Is New Ibovespa The Best Investment Option?
author Goulart Serra, Ricardo
author_facet Goulart Serra, Ricardo
Toshiro Nakamura, Wilson
author_role author
author2 Toshiro Nakamura, Wilson
author2_role author
dc.contributor.author.fl_str_mv Goulart Serra, Ricardo
Toshiro Nakamura, Wilson
dc.subject.por.fl_str_mv Ibovespa
Portfolio Theory
Sharpe Ratio.
Ibovespa
Teoria de Carteiras
Índice de Sharpe.
Ibovespa
Teoria de Carteiras
Índice de Sharpe.
Finanças
topic Ibovespa
Portfolio Theory
Sharpe Ratio.
Ibovespa
Teoria de Carteiras
Índice de Sharpe.
Ibovespa
Teoria de Carteiras
Índice de Sharpe.
Finanças
description Purpose – Verify whether Ibovespa, Old or New, could be the best alternative for investors, considering investment possibilities (risky and risk free) in the Brazilian market. Should investors put the portion of money that they allocate to risky assets into New Ibovespa? Are there more efficient alternatives for investors?Design/methodology/approach – The Portfolio T was determined with the modern portfolio theory from a sample of 118 shares for 34 four-month periods. Equality of means and variance were tested by means of parametric and nonparametric tests, as appropriate.Findings – Studying New Ibovespa (calculated retroactively) in the period between January 1, 2003 and April 30, 2014, it was concluded that, (i) analyzing the entire period, (a) New Ibovespa was dominated by a portfolio obtained by applying the concepts of the modern portfolio theory (portfolio T), and (b) New Ibovespa dominated Old Ibovespa, and (ii) analyzing each of the 34 four-month periods individually, New Ibovespa was dominated by the portfolio T in 13 out of the 18 four-month periods in which there had been statistically significant dominance (72,2% of all cases).Originality/value – The paper contributes to the study of the New Ibovespa, offering 118 shares to determine the Portfolio T and for a 34 four-month period. To the best knowledge of the authors, no other paper studied the New Ibovespa. It can be concluded that, for the period analyzed, when compared to New Ibovespa, the portfolio T would have been a better investment alternative.
publishDate 2016
dc.date.none.fl_str_mv 2016-06-10
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Avaliado por pares
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://rbgn.fecap.br/RBGN/article/view/2541
10.7819/rbgn.v18i59.2541
url https://rbgn.fecap.br/RBGN/article/view/2541
identifier_str_mv 10.7819/rbgn.v18i59.2541
dc.language.iso.fl_str_mv eng
por
language eng
por
dc.relation.none.fl_str_mv https://rbgn.fecap.br/RBGN/article/view/2541/pdf
https://rbgn.fecap.br/RBGN/article/view/2541/pdf_1
dc.rights.driver.fl_str_mv Copyright (c) 2016 Review of Business Management
info:eu-repo/semantics/openAccess
rights_invalid_str_mv Copyright (c) 2016 Review of Business Management
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv FECAP
publisher.none.fl_str_mv FECAP
dc.source.none.fl_str_mv Review of Business Management; Vol. 18 No. 59 (2016); 87-107
RBGN Revista Brasileira de Gestão de Negócios; Vol. 18 Núm. 59 (2016); 87-107
RBGN - Revista Brasileira de Gestão de Negócios; v. 18 n. 59 (2016); 87-107
1983-0807
1806-4892
reponame:Revista Brasileira de Gestão de Negócios (Online)
instname:Fundação Escola de Comércio Álvares Penteado (FECAP)
instacron:FECAP
instname_str Fundação Escola de Comércio Álvares Penteado (FECAP)
instacron_str FECAP
institution FECAP
reponame_str Revista Brasileira de Gestão de Negócios (Online)
collection Revista Brasileira de Gestão de Negócios (Online)
repository.name.fl_str_mv Revista Brasileira de Gestão de Negócios (Online) - Fundação Escola de Comércio Álvares Penteado (FECAP)
repository.mail.fl_str_mv ||jmauricio@fecap.br
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