The use of quartiles to apply Grahams filters to Bovespa (1998-2009)

• Autor(a) principal: Artuso, Alysson Ramos
• Data de Publicação: 2010
• Outros Autores: Chaves Neto, Anselmo
• Tipo de documento: Artigo
• Idioma: por
• Título da fonte: Revista Contabilidade & Finanças (Online)
• Texto Completo: https://www.revistas.usp.br/rcf/article/view/34308
• topic: Mercado Acionário; Filtros de Graham; Seleção de Portfólio; Stock Market; Grahams Filters; Portfolio Choice

With a view to advancing in the understanding of the Brazilian stock market and analyzing appropriate strategies for small investors, this article suggest a review on the application of Grahams filters to stock selection in Bovespa between 1998 and 2009. Using a portfolio approach and statistical tests the presence of returns above normal and higher than Ibovespa returns was noticed 's one, especially for five-year portfolios. However, these portfolios had low diversification of assets. As Graham filters were developed for the U.S. market in the 70s, the development of new qualifiers was suggested for the sake of adaptation to the current Brazilian scenario. This approach used the most interesting quartiles of each criterion to define the new qualifiers and showed a return higher than Ibovespa for all periods analyzed, but did not eliminate the problem of low portfolio diversification.