EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZIL
Autor(a) principal: | |
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Data de Publicação: | 2010 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | por |
Título da fonte: | RAM. Revista de Administração Mackenzie |
Texto Completo: | https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816 |
Resumo: | This paper aims to test the hypothesis of abnormal returns from the strategy of investing in shares with lower Price/Value Ratio (PVPA) in the Brazilian capital market. All the shares negotiated in the Sao Paulo Stock Exchange (Bovespa) from 1994 to 2006 were used, and formed 6 portfolios according to the original criteria for choosing portfolios, in ascending order of PVPA, changed every year. Moreover, we tested the existence of significant change in the parameters of the CAPM Model through the regression analysis, incorporating to the model the variable corresponding to multiple PVPA. Afterwards, we also made a comparison between the governments of FHC and the first Lula’s administration, checking if there was significant change in the parameters of the regression, using the Chow Test of structural change. The results showed that there isn’t efficacy in the use of low PVPA as a measure of investment portfolio formation, rejecting the hypothesis tested both through the graphic analysis, which showed higher returns for the shares with greater PVPA, and through the inclusion of this index in CAPM, which indicated significant change on the beta parameters and in the comparison between the governments. |
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EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZILEficácia do uso da estratégia de investimento em ações com baixo múltiplo Preço/Valor Patrimonial (PVPA) no BrasilPVPA indexBovespaMarket anomaliesData panel regressionInvestment myth.This paper aims to test the hypothesis of abnormal returns from the strategy of investing in shares with lower Price/Value Ratio (PVPA) in the Brazilian capital market. All the shares negotiated in the Sao Paulo Stock Exchange (Bovespa) from 1994 to 2006 were used, and formed 6 portfolios according to the original criteria for choosing portfolios, in ascending order of PVPA, changed every year. Moreover, we tested the existence of significant change in the parameters of the CAPM Model through the regression analysis, incorporating to the model the variable corresponding to multiple PVPA. Afterwards, we also made a comparison between the governments of FHC and the first Lula’s administration, checking if there was significant change in the parameters of the regression, using the Chow Test of structural change. The results showed that there isn’t efficacy in the use of low PVPA as a measure of investment portfolio formation, rejecting the hypothesis tested both through the graphic analysis, which showed higher returns for the shares with greater PVPA, and through the inclusion of this index in CAPM, which indicated significant change on the beta parameters and in the comparison between the governments.O presente trabalho teve como objetivo básico testar a hipótese de retornos anormais a partir da estratégia de investimento em ações com mais baixo Índice Preço/Valor Patrimonial no mercado de ações brasileiro. Foram utilizadas todas as ações negociadas na Bovespa no período de 1994 a 2006, sendo formadas 6 carteiras segundo o critério original de escolha de portfólios, em ordem crescente de PVPA, rebalanceadas ano a ano. Além disso, testou-se a existência de mudança significativa nos parâmetros do modelo CAPM por meio da análise de regressão, incorporando a esse modelo a variável correspondente ao múltiplo PVPA. Posteriormente, foi feita também uma comparação entre os Governos de FHC e o primeiro Governo de Lula, verificando se houve alteração significativa nos parâmetros da regressão através do Teste de Chow de Mudança Estrutural. Os resultados indicaram que não há eficácia no uso de baixo PVPA como medida para formação de carteiras de investimento, sendo refutada a hipótese testada, tanto pela análise gráfica, que apresentou maiores rendimentos para as ações com maior PVPA, como por meio da inclusão deste índice ao CAPM, que indicou mudança significativa nos parâmetros beta do modelo e também na comparação entre os Governos.Editora Mackenzie2010-06-07info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelapplication/vnd.ms-excelhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816Revista de Administração Mackenzie; Vol. 11 No. 5 (2010)Revista de Administração Mackenzie; Vol. 11 Núm. 5 (2010)Revista de Administração Mackenzie (Mackenzie Management Review); v. 11 n. 5 (2010)1678-69711518-6776reponame:RAM. Revista de Administração Mackenzieinstname:Universidade Presbiteriana Mackenzie (MACKENZIE)instacron:MACKENZIEporhttps://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/2483https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8057https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8058https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8059https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8060https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8061Copyright (c) 2015 Revista de Administração Mackenzieinfo:eu-repo/semantics/openAccessLucena, PierreNeto, Odilon Saturnino SilvaAraújo, Joseanny Karla VasconcelosFigueiredo, Antônio Carlos2011-10-11T16:51:44Zoai:ojs.editorarevistas.mackenzie.br:article/1816Revistahttps://editorarevistas.mackenzie.br/index.php/RAM/PUBhttps://editorarevistas.mackenzie.br/index.php/RAM/oairevista.adm@mackenzie.br1678-69711518-6776opendoar:2024-04-19T17:00:39.960407RAM. Revista de Administração Mackenzie - Universidade Presbiteriana Mackenzie (MACKENZIE)false |
dc.title.none.fl_str_mv |
EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZIL Eficácia do uso da estratégia de investimento em ações com baixo múltiplo Preço/Valor Patrimonial (PVPA) no Brasil |
title |
EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZIL |
spellingShingle |
EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZIL Lucena, Pierre PVPA index Bovespa Market anomalies Data panel regression Investment myth. |
title_short |
EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZIL |
title_full |
EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZIL |
title_fullStr |
EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZIL |
title_full_unstemmed |
EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZIL |
title_sort |
EFFECTIVENESS OF THE USE OF INVESTMENT STRATEGY IN SHARES WITH LOW MULTIPLE PRICE/BOOK VALUE IN BRAZIL |
author |
Lucena, Pierre |
author_facet |
Lucena, Pierre Neto, Odilon Saturnino Silva Araújo, Joseanny Karla Vasconcelos Figueiredo, Antônio Carlos |
author_role |
author |
author2 |
Neto, Odilon Saturnino Silva Araújo, Joseanny Karla Vasconcelos Figueiredo, Antônio Carlos |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Lucena, Pierre Neto, Odilon Saturnino Silva Araújo, Joseanny Karla Vasconcelos Figueiredo, Antônio Carlos |
dc.subject.por.fl_str_mv |
PVPA index Bovespa Market anomalies Data panel regression Investment myth. |
topic |
PVPA index Bovespa Market anomalies Data panel regression Investment myth. |
description |
This paper aims to test the hypothesis of abnormal returns from the strategy of investing in shares with lower Price/Value Ratio (PVPA) in the Brazilian capital market. All the shares negotiated in the Sao Paulo Stock Exchange (Bovespa) from 1994 to 2006 were used, and formed 6 portfolios according to the original criteria for choosing portfolios, in ascending order of PVPA, changed every year. Moreover, we tested the existence of significant change in the parameters of the CAPM Model through the regression analysis, incorporating to the model the variable corresponding to multiple PVPA. Afterwards, we also made a comparison between the governments of FHC and the first Lula’s administration, checking if there was significant change in the parameters of the regression, using the Chow Test of structural change. The results showed that there isn’t efficacy in the use of low PVPA as a measure of investment portfolio formation, rejecting the hypothesis tested both through the graphic analysis, which showed higher returns for the shares with greater PVPA, and through the inclusion of this index in CAPM, which indicated significant change on the beta parameters and in the comparison between the governments. |
publishDate |
2010 |
dc.date.none.fl_str_mv |
2010-06-07 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816 |
url |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816 |
dc.language.iso.fl_str_mv |
por |
language |
por |
dc.relation.none.fl_str_mv |
https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/2483 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8057 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8058 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8059 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8060 https://editorarevistas.mackenzie.br/index.php/RAM/article/view/1816/8061 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2015 Revista de Administração Mackenzie info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2015 Revista de Administração Mackenzie |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/vnd.ms-excel application/vnd.ms-excel application/vnd.ms-excel application/vnd.ms-excel application/vnd.ms-excel |
dc.publisher.none.fl_str_mv |
Editora Mackenzie |
publisher.none.fl_str_mv |
Editora Mackenzie |
dc.source.none.fl_str_mv |
Revista de Administração Mackenzie; Vol. 11 No. 5 (2010) Revista de Administração Mackenzie; Vol. 11 Núm. 5 (2010) Revista de Administração Mackenzie (Mackenzie Management Review); v. 11 n. 5 (2010) 1678-6971 1518-6776 reponame:RAM. Revista de Administração Mackenzie instname:Universidade Presbiteriana Mackenzie (MACKENZIE) instacron:MACKENZIE |
instname_str |
Universidade Presbiteriana Mackenzie (MACKENZIE) |
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 (MACKENZIE) |
repository.mail.fl_str_mv |
revista.adm@mackenzie.br |
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