Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath
Autor(a) principal: | |
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Data de Publicação: | 2011 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | https://hdl.handle.net/10438/8889 |
Resumo: | Esta dissertação analisa o desempenho de três estratégias de investimento em carteiras de custo zero ('value', 'momentum' e uma combinação 50/50 delas, que é chamada de 'combo') no mercado de ações brasileiro durante a última década. Os resultados são comparados aos encontrados por Asness, Moskowitz e Pedersen (2009) para quatro mercados: EUA, Reino Unido, Europa Continental, e Japão. Uma análise específica é feita em torno da crise financeira de 2008, comparando os resultados pré- e pós-crise. O índice de Sharpe é usado para ajustar os desempenhos por seus riscos, e para classificar as estratégias para diferentes horizontes de investimento. Os resultados mostram um ótimo desempenho da estratégia 'combo' nos últimos três anos, período que inclui a crise de 2008, mas considerando todo o período analisado a estratégia 'value' obteve o melhor desempenho. Esse resultado difere dos resultados encontrados para os quatro mercados de referência, onde a estratégia combo tem o melhor desempenho. A análise do horizonte de investimento mostra que a escolha do investidor pode mudar com diferentes horizontes. |
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Teixeira, Marcelo Paranaguá de VasconcelosEscolas::EPGEFGVSimonsen, Axel AndréPessoa, Marcelo de SalesBonomo, Marco Antônio Cesar2012-01-02T16:53:36Z2012-01-02T16:53:36Z2011-07-01TEIXEIRA, Marcelo Paranaguá de Vasconcelos. Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2011.https://hdl.handle.net/10438/8889Esta dissertação analisa o desempenho de três estratégias de investimento em carteiras de custo zero ('value', 'momentum' e uma combinação 50/50 delas, que é chamada de 'combo') no mercado de ações brasileiro durante a última década. Os resultados são comparados aos encontrados por Asness, Moskowitz e Pedersen (2009) para quatro mercados: EUA, Reino Unido, Europa Continental, e Japão. Uma análise específica é feita em torno da crise financeira de 2008, comparando os resultados pré- e pós-crise. O índice de Sharpe é usado para ajustar os desempenhos por seus riscos, e para classificar as estratégias para diferentes horizontes de investimento. Os resultados mostram um ótimo desempenho da estratégia 'combo' nos últimos três anos, período que inclui a crise de 2008, mas considerando todo o período analisado a estratégia 'value' obteve o melhor desempenho. Esse resultado difere dos resultados encontrados para os quatro mercados de referência, onde a estratégia combo tem o melhor desempenho. A análise do horizonte de investimento mostra que a escolha do investidor pode mudar com diferentes horizontes.This dissertation analyzes the performance of three zero-cost portfolio strategies (value, momentum and a 50/50 combination of those, which is called combo) in the Brazilian stock market during the last decade. The results are compared to the ones found by Asness, Moskowitz and Pedersen (2009) for four markets: US, UK, continental Europe, and Japan. A specific analysis is made around the 2008 financial crisis, comparing the pre- and post-crisis results. The Sharpe ratio is used to adjust the performances by their risks, and to rank the strategies for different investment horizons. The results show that the combo performed very well on the last three years, period that includes the 2008 crisis, but considering the entire period the value strategy had the best performance. This result is different from the results found for the four benchmark markets, where the combo strategy has the best performance. The investment horizon analysis shows that the investor’s choice may change with different horizons.engEstratégias 'value' e 'momentum'Crise financeiraÍndice de SharpeHorizonte de investimentoEconomiaBolsa de valoresInvestimentosAções (Finanças)Crise financeira global, 2008-2009Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermathinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINALPDFPDFapplication/pdf819382https://repositorio.fgv.br/bitstreams/5caafa97-dcea-4518-b5bd-66987c11adc9/downloadcdaa86e447db4a4650348d08517c47b5MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-84707https://repositorio.fgv.br/bitstreams/bac86bbc-4fb9-4373-a566-a85be0ece12f/downloaddfb340242cced38a6cca06c627998fa1MD52TEXTDissertation.pdf.txtDissertation.pdf.txtExtracted 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dc.title.eng.fl_str_mv |
Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath |
title |
Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath |
spellingShingle |
Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath Teixeira, Marcelo Paranaguá de Vasconcelos Estratégias 'value' e 'momentum' Crise financeira Índice de Sharpe Horizonte de investimento Economia Bolsa de valores Investimentos Ações (Finanças) Crise financeira global, 2008-2009 |
title_short |
Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath |
title_full |
Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath |
title_fullStr |
Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath |
title_full_unstemmed |
Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath |
title_sort |
Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath |
author |
Teixeira, Marcelo Paranaguá de Vasconcelos |
author_facet |
Teixeira, Marcelo Paranaguá de Vasconcelos |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EPGE |
dc.contributor.affiliation.none.fl_str_mv |
FGV |
dc.contributor.member.none.fl_str_mv |
Simonsen, Axel André Pessoa, Marcelo de Sales |
dc.contributor.author.fl_str_mv |
Teixeira, Marcelo Paranaguá de Vasconcelos |
dc.contributor.advisor1.fl_str_mv |
Bonomo, Marco Antônio Cesar |
contributor_str_mv |
Bonomo, Marco Antônio Cesar |
dc.subject.por.fl_str_mv |
Estratégias 'value' e 'momentum' Crise financeira Índice de Sharpe Horizonte de investimento |
topic |
Estratégias 'value' e 'momentum' Crise financeira Índice de Sharpe Horizonte de investimento Economia Bolsa de valores Investimentos Ações (Finanças) Crise financeira global, 2008-2009 |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Bolsa de valores Investimentos Ações (Finanças) Crise financeira global, 2008-2009 |
description |
Esta dissertação analisa o desempenho de três estratégias de investimento em carteiras de custo zero ('value', 'momentum' e uma combinação 50/50 delas, que é chamada de 'combo') no mercado de ações brasileiro durante a última década. Os resultados são comparados aos encontrados por Asness, Moskowitz e Pedersen (2009) para quatro mercados: EUA, Reino Unido, Europa Continental, e Japão. Uma análise específica é feita em torno da crise financeira de 2008, comparando os resultados pré- e pós-crise. O índice de Sharpe é usado para ajustar os desempenhos por seus riscos, e para classificar as estratégias para diferentes horizontes de investimento. Os resultados mostram um ótimo desempenho da estratégia 'combo' nos últimos três anos, período que inclui a crise de 2008, mas considerando todo o período analisado a estratégia 'value' obteve o melhor desempenho. Esse resultado difere dos resultados encontrados para os quatro mercados de referência, onde a estratégia combo tem o melhor desempenho. A análise do horizonte de investimento mostra que a escolha do investidor pode mudar com diferentes horizontes. |
publishDate |
2011 |
dc.date.issued.fl_str_mv |
2011-07-01 |
dc.date.accessioned.fl_str_mv |
2012-01-02T16:53:36Z |
dc.date.available.fl_str_mv |
2012-01-02T16:53:36Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.citation.fl_str_mv |
TEIXEIRA, Marcelo Paranaguá de Vasconcelos. Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2011. |
dc.identifier.uri.fl_str_mv |
https://hdl.handle.net/10438/8889 |
identifier_str_mv |
TEIXEIRA, Marcelo Paranaguá de Vasconcelos. Value and momentum strategies in the Brazilian stock market: the 2008 financial crisis and its aftermath. Dissertação (Mestrado em Economia) - FGV - Fundação Getúlio Vargas, Rio de Janeiro, 2011. |
url |
https://hdl.handle.net/10438/8889 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.source.none.fl_str_mv |
reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
instname_str |
Fundação Getulio Vargas (FGV) |
instacron_str |
FGV |
institution |
FGV |
reponame_str |
Repositório Institucional do FGV (FGV Repositório Digital) |
collection |
Repositório Institucional do FGV (FGV Repositório Digital) |
bitstream.url.fl_str_mv |
https://repositorio.fgv.br/bitstreams/5caafa97-dcea-4518-b5bd-66987c11adc9/download https://repositorio.fgv.br/bitstreams/bac86bbc-4fb9-4373-a566-a85be0ece12f/download https://repositorio.fgv.br/bitstreams/e1c443f6-83fd-4fef-bc09-e3c438ded707/download https://repositorio.fgv.br/bitstreams/3cbe2370-01b3-4832-af1b-31de4c5fff05/download https://repositorio.fgv.br/bitstreams/d4570e4d-ed8b-4422-9f30-7c0f85b2ab92/download https://repositorio.fgv.br/bitstreams/ea0b9885-2ba5-4d86-ac4c-cc45ef8be4bc/download |
bitstream.checksum.fl_str_mv |
cdaa86e447db4a4650348d08517c47b5 dfb340242cced38a6cca06c627998fa1 3e1322ef1f74010f0b2541fa42a1d068 bb742f4186e10e6869acdf565506164f ca1237207b327a0e387aac63c3ea488d 61b99c862b99d1941b7e47433edf1807 |
bitstream.checksumAlgorithm.fl_str_mv |
MD5 MD5 MD5 MD5 MD5 MD5 |
repository.name.fl_str_mv |
Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV) |
repository.mail.fl_str_mv |
|
_version_ |
1810023633293148160 |