Elusive Anomalies in the Brazilian Stock Market

Detalhes bibliográficos
Autor(a) principal: Madureira, Leonardo Luiz
Data de Publicação: 2000
Outros Autores: Leal, Ricardo Pereira Câmara
Tipo de documento: Relatório
Idioma: eng
Título da fonte: Repositório Institucional da UFRJ
Texto Completo: http://hdl.handle.net/11422/9156
Resumo: Indisponível.
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spelling Madureira, Leonardo LuizLeal, Ricardo Pereira Câmara2019-08-20T17:48:49Z2023-11-30T03:00:58Z2000MADUREIRA, Leonardo Luiz; LEAL, Ricardo Pereira Câmara. Elusive anomalies in the brazilian stock market. Rio de Janeiro: UFRJ, 2000. 20 p. (Relatórios COPPEAD, 336)85750801561518-3335http://hdl.handle.net/11422/9156Indisponível.We study the twist-of-the-Monday effect in the Brazilian stock market and provide evidence that it is due to index construction problems, such as the non-synchronous trading of stocks. The effect is present for indices but absent for most individual stocks and in the most recent sub-periods of the 1986-98 period. When present, it was due to negative weekend returns while Monday intraday returns were significantly positive. When absent, Monday returns remain positively correlated with the previous week return although Monday returns are no longer significantly negative. Monday trading strategies based on the previous week return were profitable in and out of the sample.Submitted by Anderson Luiz Cardoso Rodrigues (andersonlcr@hotmail.com) on 2019-08-20T17:48:49Z No. of bitstreams: 1 RC_336-Comp..pdf: 71793 bytes, checksum: e95d2fca25f63b6aa0144732b3d7c8c2 (MD5)Made available in DSpace on 2019-08-20T17:48:49Z (GMT). No. of bitstreams: 1 RC_336-Comp..pdf: 71793 bytes, checksum: e95d2fca25f63b6aa0144732b3d7c8c2 (MD5) Previous issue date: 2000engUniversidade Federal do Rio de JaneiroUFRJBrasilInstituto COPPEAD de AdministraçãoRelatórios COPPEADCNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAOFinançasMercado de capitaisWorking paperElusive Anomalies in the Brazilian Stock Marketinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/report336abertoinfo:eu-repo/semantics/openAccessreponame:Repositório Institucional da UFRJinstname:Universidade Federal do Rio de Janeiro (UFRJ)instacron:UFRJORIGINALRC_336-Comp..pdfRC_336-Comp..pdfapplication/pdf71793http://pantheon.ufrj.br:80/bitstream/11422/9156/1/RC_336-Comp..pdfe95d2fca25f63b6aa0144732b3d7c8c2MD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81853http://pantheon.ufrj.br:80/bitstream/11422/9156/2/license.txtdd32849f2bfb22da963c3aac6e26e255MD5211422/91562023-11-30 00:00:58.045oai:pantheon.ufrj.br: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Repositório de PublicaçõesPUBhttp://www.pantheon.ufrj.br/oai/requestopendoar:2023-11-30T03:00:58Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ)false
dc.title.en.fl_str_mv Elusive Anomalies in the Brazilian Stock Market
title Elusive Anomalies in the Brazilian Stock Market
spellingShingle Elusive Anomalies in the Brazilian Stock Market
Madureira, Leonardo Luiz
CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Mercado de capitais
Working paper
title_short Elusive Anomalies in the Brazilian Stock Market
title_full Elusive Anomalies in the Brazilian Stock Market
title_fullStr Elusive Anomalies in the Brazilian Stock Market
title_full_unstemmed Elusive Anomalies in the Brazilian Stock Market
title_sort Elusive Anomalies in the Brazilian Stock Market
author Madureira, Leonardo Luiz
author_facet Madureira, Leonardo Luiz
Leal, Ricardo Pereira Câmara
author_role author
author2 Leal, Ricardo Pereira Câmara
author2_role author
dc.contributor.author.fl_str_mv Madureira, Leonardo Luiz
Leal, Ricardo Pereira Câmara
dc.subject.cnpq.fl_str_mv CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
topic CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO
Finanças
Mercado de capitais
Working paper
dc.subject.por.fl_str_mv Finanças
Mercado de capitais
dc.subject.eng.fl_str_mv Working paper
description Indisponível.
publishDate 2000
dc.date.issued.fl_str_mv 2000
dc.date.accessioned.fl_str_mv 2019-08-20T17:48:49Z
dc.date.available.fl_str_mv 2023-11-30T03:00:58Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/report
format report
status_str publishedVersion
dc.identifier.citation.fl_str_mv MADUREIRA, Leonardo Luiz; LEAL, Ricardo Pereira Câmara. Elusive anomalies in the brazilian stock market. Rio de Janeiro: UFRJ, 2000. 20 p. (Relatórios COPPEAD, 336)
dc.identifier.uri.fl_str_mv http://hdl.handle.net/11422/9156
dc.identifier.isbn.pt_BR.fl_str_mv 8575080156
dc.identifier.issn.pt_BR.fl_str_mv 1518-3335
identifier_str_mv MADUREIRA, Leonardo Luiz; LEAL, Ricardo Pereira Câmara. Elusive anomalies in the brazilian stock market. Rio de Janeiro: UFRJ, 2000. 20 p. (Relatórios COPPEAD, 336)
8575080156
1518-3335
url http://hdl.handle.net/11422/9156
dc.language.iso.fl_str_mv eng
language eng
dc.relation.ispartof.pt_BR.fl_str_mv Relatórios COPPEAD
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.publisher.initials.fl_str_mv UFRJ
dc.publisher.country.fl_str_mv Brasil
dc.publisher.department.fl_str_mv Instituto COPPEAD de Administração
publisher.none.fl_str_mv Universidade Federal do Rio de Janeiro
dc.source.none.fl_str_mv reponame:Repositório Institucional da UFRJ
instname:Universidade Federal do Rio de Janeiro (UFRJ)
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instname_str Universidade Federal do Rio de Janeiro (UFRJ)
instacron_str UFRJ
institution UFRJ
reponame_str Repositório Institucional da UFRJ
collection Repositório Institucional da UFRJ
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