Análise experimental do efeito da diversificação em carteiras de ações: a relação entre risco e quantidade de ativos sob a ótica da estratégia ingênua

• Autor(a) principal: Santos Junior, Luiz Carlos
• Data de Publicação: 2012
• Tipo de documento: Dissertação
• Idioma: por
• Título da fonte: Repositório Institucional da UFRN
• Texto Completo: https://repositorio.ufrn.br/jspui/handle/123456789/12202
• topic: tamanho de carteira; risco; diversificação; viés humano; diversification; risk; portfolio size; human bias; CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO

The objective is to analyze the relationship between risk and number of stocks of a portfolio for an individual investor when stocks are chosen by "naive strategy". For this, we carried out an experiment in which individuals select actions to reproduce this relationship. 126 participants were informed that the risk of first choice would be an asset average of all standard deviations of the portfolios consist of a single asset, and the same procedure should be used for portfolios composed of two, three and so on, up to 30 actions . They selected the assets they want in their portfolios without the support of a financial analysis. For comparison we also tested a hypothetical simulation of 126 investors who selected shares the same universe, through a random number generator. Thus, each real participant is compensated for random hypothetical investor facing the same opportunity. Patterns were observed in the portfolios of individual participants, characterizing the curves for the components of the samples. Because these groupings are somewhat arbitrary, it was used a more objective measure of behavior: a simple linear regression for each participant, in order to predict the variance of the portfolio depending on the number of assets. In addition, we conducted a pooled regression on all observations by analyzing cross-section. The result of pattern occurs on average but not for most individuals, many of which effectively "de-diversify" when adding seemingly random bonds. Furthermore, the results are slightly worse using a random number generator. This finding challenges the belief that only a small number of titles is necessary for diversification and shows that there is only applicable to a large sample. The implications are important since many individual investors holding few stocks in their portfolios