Black swans in the brazilian stock market
Autor(a) principal: | |
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Data de Publicação: | 2013 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Pesquisa operacional (Online) |
Texto Completo: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382013000200006 |
Resumo: | This study analyzes extreme values in the daily returns of 45 Brazilian stocks between 2 January 1995 and 18 March 2009. The incidence of observations outside the range of three standard deviationsfrom the mean is at least five times greater than under the normal distribution. The occurrence of extreme values in the upper tail is 1.13 times higher than in the lower. The average of the extreme positive returns is higher than that of extreme negative returns. Half percent of the days determined the outcome of the investment. Extreme values are at least ± 7%. Investors should assess whether they will keep their holdings when returns of such magnitude occur. The characteristics of empirical distributions of stock returns favor the passive investor and the use of weight constraints in portfolio allocation models. |
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Black swans in the brazilian stock marketextreme valuesnormal distributionstock risk and returnThis study analyzes extreme values in the daily returns of 45 Brazilian stocks between 2 January 1995 and 18 March 2009. The incidence of observations outside the range of three standard deviationsfrom the mean is at least five times greater than under the normal distribution. The occurrence of extreme values in the upper tail is 1.13 times higher than in the lower. The average of the extreme positive returns is higher than that of extreme negative returns. Half percent of the days determined the outcome of the investment. Extreme values are at least ± 7%. Investors should assess whether they will keep their holdings when returns of such magnitude occur. The characteristics of empirical distributions of stock returns favor the passive investor and the use of weight constraints in portfolio allocation models.Sociedade Brasileira de Pesquisa Operacional2013-08-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382013000200006Pesquisa Operacional v.33 n.2 2013reponame:Pesquisa operacional (Online)instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)instacron:SOBRAPO10.1590/S0101-74382013005000001info:eu-repo/semantics/openAccessLovisolo,Hugo JacobLeal,Ricardo Pereira Câmaraeng2015-07-28T00:00:00Zoai:scielo:S0101-74382013000200006Revistahttp://www.scielo.br/popehttps://old.scielo.br/oai/scielo-oai.php||sobrapo@sobrapo.org.br1678-51420101-7438opendoar:2015-07-28T00:00Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO)false |
dc.title.none.fl_str_mv |
Black swans in the brazilian stock market |
title |
Black swans in the brazilian stock market |
spellingShingle |
Black swans in the brazilian stock market Lovisolo,Hugo Jacob extreme values normal distribution stock risk and return |
title_short |
Black swans in the brazilian stock market |
title_full |
Black swans in the brazilian stock market |
title_fullStr |
Black swans in the brazilian stock market |
title_full_unstemmed |
Black swans in the brazilian stock market |
title_sort |
Black swans in the brazilian stock market |
author |
Lovisolo,Hugo Jacob |
author_facet |
Lovisolo,Hugo Jacob Leal,Ricardo Pereira Câmara |
author_role |
author |
author2 |
Leal,Ricardo Pereira Câmara |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Lovisolo,Hugo Jacob Leal,Ricardo Pereira Câmara |
dc.subject.por.fl_str_mv |
extreme values normal distribution stock risk and return |
topic |
extreme values normal distribution stock risk and return |
description |
This study analyzes extreme values in the daily returns of 45 Brazilian stocks between 2 January 1995 and 18 March 2009. The incidence of observations outside the range of three standard deviationsfrom the mean is at least five times greater than under the normal distribution. The occurrence of extreme values in the upper tail is 1.13 times higher than in the lower. The average of the extreme positive returns is higher than that of extreme negative returns. Half percent of the days determined the outcome of the investment. Extreme values are at least ± 7%. Investors should assess whether they will keep their holdings when returns of such magnitude occur. The characteristics of empirical distributions of stock returns favor the passive investor and the use of weight constraints in portfolio allocation models. |
publishDate |
2013 |
dc.date.none.fl_str_mv |
2013-08-01 |
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=S0101-74382013000200006 |
url |
http://old.scielo.br/scielo.php?script=sci_arttext&pid=S0101-74382013000200006 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.none.fl_str_mv |
10.1590/S0101-74382013005000001 |
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 |
Sociedade Brasileira de Pesquisa Operacional |
publisher.none.fl_str_mv |
Sociedade Brasileira de Pesquisa Operacional |
dc.source.none.fl_str_mv |
Pesquisa Operacional v.33 n.2 2013 reponame:Pesquisa operacional (Online) instname:Sociedade Brasileira de Pesquisa Operacional (SOBRAPO) instacron:SOBRAPO |
instname_str |
Sociedade Brasileira de Pesquisa Operacional (SOBRAPO) |
instacron_str |
SOBRAPO |
institution |
SOBRAPO |
reponame_str |
Pesquisa operacional (Online) |
collection |
Pesquisa operacional (Online) |
repository.name.fl_str_mv |
Pesquisa operacional (Online) - Sociedade Brasileira de Pesquisa Operacional (SOBRAPO) |
repository.mail.fl_str_mv |
||sobrapo@sobrapo.org.br |
_version_ |
1750318017718255616 |