BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET
Autor(a) principal: | |
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Data de Publicação: | 2020 |
Outros Autores: | , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | RAM. Revista de Administração Mackenzie |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712020000600706 |
Resumo: | ABSTRACT Purpose: Explain the causes of inefficiencies in asset pricing on the Brazilian stock exchange through the behavioral finance hypothesis. Originality/value: Research made in the stock market over the last decades suggests that there is evidence of obtaining returns above the market average, through the purchase of undervalued assets, that is, when it has a low relation between the price and the fundamentals of the company. However, there is a notable discrepancy regarding the interpretation of causes among academics. The efficient markets hypothesis was presented, which is based on the premise of the strict rationality of economic agents. On the other hand, the behavioral finance theory was also discussed, which presents different assumptions. Design/methodology/approach: Using the historical quotes of the shares traded on B3, extracted from economática(r)'s database, the present work used the Magic Formula methodology to investigate the behavioral effect through the inefficiencies found in the pricing of these assets. Findings: The results suggest that the Brazilian stock market, in conformity with works of the same nature performed in markets in other countries, has inefficiencies in the pricing of assets, so that it is possible to obtain advantages from economic agents. The interpretation for the causes of such inefficiencies is based on the premises of behavioral finance, and points to the existence of a limitation in the rationalization of these agents. |
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BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKETBehavioral financeMagic FormulaPricingOverreactEfficient market hypothesis.ABSTRACT Purpose: Explain the causes of inefficiencies in asset pricing on the Brazilian stock exchange through the behavioral finance hypothesis. Originality/value: Research made in the stock market over the last decades suggests that there is evidence of obtaining returns above the market average, through the purchase of undervalued assets, that is, when it has a low relation between the price and the fundamentals of the company. However, there is a notable discrepancy regarding the interpretation of causes among academics. The efficient markets hypothesis was presented, which is based on the premise of the strict rationality of economic agents. On the other hand, the behavioral finance theory was also discussed, which presents different assumptions. Design/methodology/approach: Using the historical quotes of the shares traded on B3, extracted from economática(r)'s database, the present work used the Magic Formula methodology to investigate the behavioral effect through the inefficiencies found in the pricing of these assets. Findings: The results suggest that the Brazilian stock market, in conformity with works of the same nature performed in markets in other countries, has inefficiencies in the pricing of assets, so that it is possible to obtain advantages from economic agents. The interpretation for the causes of such inefficiencies is based on the premises of behavioral finance, and points to the existence of a limitation in the rationalization of these agents.Editora MackenzieUniversidade Presbiteriana Mackenzie2020-01-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712020000600706RAM. Revista de Administração Mackenzie v.21 n.6 2020reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (UPM)instacron:MACKENZIE10.1590/1678-6971/eramd200050info:eu-repo/semantics/openAccessDIMARZIO,FREDERICOMATIAS FILHO,JOSEFERNANDES,RICARDO A.eng2020-11-26T00:00:00Zoai:scielo:S1678-69712020000600706Revistahttps://www.scielo.br/j/ram/https://old.scielo.br/oai/scielo-oai.phprevista.adm@mackenzie.br1678-69711518-6776opendoar:2020-11-26T00:00RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (UPM)false |
dc.title.none.fl_str_mv |
BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET |
title |
BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET |
spellingShingle |
BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET DIMARZIO,FREDERICO Behavioral finance Magic Formula Pricing Overreact Efficient market hypothesis. |
title_short |
BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET |
title_full |
BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET |
title_fullStr |
BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET |
title_full_unstemmed |
BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET |
title_sort |
BEHAVIORAL FINANCE: EMPIRICAL EVIDENCE USING MAGIC FORMULA IN THE BRAZILIAN STOCK MARKET |
author |
DIMARZIO,FREDERICO |
author_facet |
DIMARZIO,FREDERICO MATIAS FILHO,JOSE FERNANDES,RICARDO A. |
author_role |
author |
author2 |
MATIAS FILHO,JOSE FERNANDES,RICARDO A. |
author2_role |
author author |
dc.contributor.author.fl_str_mv |
DIMARZIO,FREDERICO MATIAS FILHO,JOSE FERNANDES,RICARDO A. |
dc.subject.por.fl_str_mv |
Behavioral finance Magic Formula Pricing Overreact Efficient market hypothesis. |
topic |
Behavioral finance Magic Formula Pricing Overreact Efficient market hypothesis. |
description |
ABSTRACT Purpose: Explain the causes of inefficiencies in asset pricing on the Brazilian stock exchange through the behavioral finance hypothesis. Originality/value: Research made in the stock market over the last decades suggests that there is evidence of obtaining returns above the market average, through the purchase of undervalued assets, that is, when it has a low relation between the price and the fundamentals of the company. However, there is a notable discrepancy regarding the interpretation of causes among academics. The efficient markets hypothesis was presented, which is based on the premise of the strict rationality of economic agents. On the other hand, the behavioral finance theory was also discussed, which presents different assumptions. Design/methodology/approach: Using the historical quotes of the shares traded on B3, extracted from economática(r)'s database, the present work used the Magic Formula methodology to investigate the behavioral effect through the inefficiencies found in the pricing of these assets. Findings: The results suggest that the Brazilian stock market, in conformity with works of the same nature performed in markets in other countries, has inefficiencies in the pricing of assets, so that it is possible to obtain advantages from economic agents. The interpretation for the causes of such inefficiencies is based on the premises of behavioral finance, and points to the existence of a limitation in the rationalization of these agents. |
publishDate |
2020 |
dc.date.none.fl_str_mv |
2020-01-01 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712020000600706 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1678-69712020000600706 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/1678-6971/eramd200050 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
text/html |
dc.publisher.none.fl_str_mv |
Editora Mackenzie Universidade Presbiteriana Mackenzie |
publisher.none.fl_str_mv |
Editora Mackenzie Universidade Presbiteriana Mackenzie |
dc.source.none.fl_str_mv |
RAM. Revista de Administração Mackenzie v.21 n.6 2020 reponame:RAM. Revista de Administração Mackenzie instname:Universidade Presbiteriana Mackenzie (UPM) instacron:MACKENZIE |
instname_str |
Universidade Presbiteriana Mackenzie (UPM) |
instacron_str |
MACKENZIE |
institution |
MACKENZIE |
reponame_str |
RAM. Revista de Administração Mackenzie |
collection |
RAM. Revista de Administração Mackenzie |
repository.name.fl_str_mv |
RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (UPM) |
repository.mail.fl_str_mv |
revista.adm@mackenzie.br |
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1752128650529996800 |