Is New Ibovespa The Best Investment Option?
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Outros Autores: | |
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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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 |
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Fundação Escola de Comércio Álvares Penteado (FECAP) |
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FECAP |
institution |
FECAP |
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Revista Brasileira de Gestão de Negócios (Online) |
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Revista Brasileira de Gestão de Negócios (Online) |
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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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