Elusive Anomalies in the Brazilian Stock Market
Autor(a) principal: | |
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Data de Publicação: | 2000 |
Outros Autores: | |
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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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) instacron:UFRJ |
instname_str |
Universidade Federal do Rio de Janeiro (UFRJ) |
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UFRJ |
institution |
UFRJ |
reponame_str |
Repositório Institucional da UFRJ |
collection |
Repositório Institucional da UFRJ |
bitstream.url.fl_str_mv |
http://pantheon.ufrj.br:80/bitstream/11422/9156/1/RC_336-Comp..pdf http://pantheon.ufrj.br:80/bitstream/11422/9156/2/license.txt |
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MD5 MD5 |
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Repositório Institucional da UFRJ - Universidade Federal do Rio de Janeiro (UFRJ) |
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