Misvaluation and behavioral bias in the Brazilian stock market
Autor(a) principal: | |
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Data de Publicação: | 2019 |
Outros Autores: | , , |
Tipo de documento: | Artigo |
Idioma: | eng por |
Título da fonte: | Revista Contabilidade & Finanças (Online) |
Texto Completo: | https://www.revistas.usp.br/rcf/article/view/153681 |
Resumo: | The study sought to apply the model developed by Gokhale et al. (2015) to identify the existence of overreaction and behavioral biases in the Brazilian stock market and analyze its performance as an investment strategy on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) in the short term and long term, as well as test its robustness with time window simulations. The impacts of behavioral finance on capital markets can affect economic decisions, perpetuate or increase asset pricing anomalies, and in more extreme and persistent situations contribute to the formation of bubbles that can compromise the entire financial system of a country. The study pioneers an innovative methodology in the Brazilian stock market for identifying behavioral biases and obtaining abnormal returns and higher returns than the Ibovespa. The research uses the model developed by Gokhale, Tremblay, and Tremblay (2015) in three samples with quotations data for Brazilian publicly-traded companies that compose the Ibovespa and IBrA in the period from 2005 to 2016. With the R statistical software, the Fundamental Valuation Index (FVI) was calculated for each sample share and each year. From the FVI index, the undervalued shares were identified, indicating that the sales price does not reflect their economic fundamentals, and portfolio simulations were carried out for investment over three months or the next year. The results indicate the possible existence of overreaction and behavioral biases in the Brazilian stock market, which lead to the possibility of higher abnormal returns than those of the Ibovespa. Similar to the US market, at the end of the 2006-2016 period simulated portfolios yielded more than 274%, while the Ibovespa yielded approximately 80%. The robustness tests attest to the effectiveness of the model. The various investment portfolios, simulated over different time horizons, yielded more than the Ibovespa on average. The study also confirmed the assumptions of Gokhale, Tremblay, and Tremblay (2015) regarding the model’s inadequacy for short-term strategies. |
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Misvaluation and behavioral bias in the Brazilian stock marketMisvaluation e viés comportamental no mercado de ações brasileirobehaviorial financemisvaluationbehavioral biasBrazilian stock marketMarket Modelfinanças comportamentaismisvaluationviés comportamentalmercado acionário brasileiroMarket ModelThe study sought to apply the model developed by Gokhale et al. (2015) to identify the existence of overreaction and behavioral biases in the Brazilian stock market and analyze its performance as an investment strategy on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) in the short term and long term, as well as test its robustness with time window simulations. The impacts of behavioral finance on capital markets can affect economic decisions, perpetuate or increase asset pricing anomalies, and in more extreme and persistent situations contribute to the formation of bubbles that can compromise the entire financial system of a country. The study pioneers an innovative methodology in the Brazilian stock market for identifying behavioral biases and obtaining abnormal returns and higher returns than the Ibovespa. The research uses the model developed by Gokhale, Tremblay, and Tremblay (2015) in three samples with quotations data for Brazilian publicly-traded companies that compose the Ibovespa and IBrA in the period from 2005 to 2016. With the R statistical software, the Fundamental Valuation Index (FVI) was calculated for each sample share and each year. From the FVI index, the undervalued shares were identified, indicating that the sales price does not reflect their economic fundamentals, and portfolio simulations were carried out for investment over three months or the next year. The results indicate the possible existence of overreaction and behavioral biases in the Brazilian stock market, which lead to the possibility of higher abnormal returns than those of the Ibovespa. Similar to the US market, at the end of the 2006-2016 period simulated portfolios yielded more than 274%, while the Ibovespa yielded approximately 80%. The robustness tests attest to the effectiveness of the model. The various investment portfolios, simulated over different time horizons, yielded more than the Ibovespa on average. The study also confirmed the assumptions of Gokhale, Tremblay, and Tremblay (2015) regarding the model’s inadequacy for short-term strategies.O estudo buscou utilizar o modelo desenvolvido por Gokhale et al. (2015) para identificar existência de sobrerreação e vieses comportamentais no mercado de ações brasileiro e analisar seu desempenho como estratégia de investimentos na Bolsa de Valores, Mercadorias e Futuros de São Paulo (BM&FBOVESPA), no curto e longo prazo, bem como testar sua robustez com simulações de janelas de tempo. Os impactos das finanças comportamentais nos mercados de capitais podem afetar as decisões econômicas, perpetuar ou aumentar anomalias na precificação de ativos e, em situações mais extremas e persistentes, contribuir para a formação de bolhas que podem comprometer todo o sistema financeiro de um país. O estudo traz, de maneira pioneira ao mercado de ações brasileiro, metodologia inovadora para identificar vieses comportamentais e obter retornos anormais e superiores aos retornos do Ibovespa. A pesquisa aplica o modelo desenvolvido por Gokhale et al. (2015) em três amostras com dados de cotações de empresas brasileiras de capital aberto que compõem o Ibovespa e o Índice Brasil Amplo (IBrA) no período 2005-2016. Com o software estatístico R, calculou-se o Índice Fundamental de Avaliação (Fundamental Valuation Index – FVI) para cada ação da amostra e a cada ano. A partir desse índice, identificaram-se as ações subavaliadas, indicando que o preço de venda não reflete seus fundamentos econômicos, e realizadas simulações de carteiras para investimento nos três meses ou no próximo ano. Os resultados indicam a possível existência de sobrerreação e vieses comportamentais no mercado de ações brasileiro que geram a possibilidade de retornos anormais superiores aos retornos do Índice Bovespa (Ibovespa). De forma similar ao mercado americano, as carteiras simuladas renderam, ao final do período de 2006-2016, mais de 274%, enquanto o Ibovespa rendeu aproximadamente 80%. Os testes de robustez confirmaram a eficácia do modelo. As diversas carteiras de investimento, simuladas em horizontes temporais distintos, renderam em média mais do que o Ibovespa. O estudo também confirmou as suposições de Gokhale, Tremblay e Tremblay (2015) sobre a inadequação do modelo para estratégias de curto prazo.Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária2019-01-18info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionapplication/pdfapplication/pdfapplication/xmlhttps://www.revistas.usp.br/rcf/article/view/15368110.1590/1808-057x201805770Revista Contabilidade & Finanças; v. 30 n. 79 (2019); 107-122Revista Contabilidade & Finanças; Vol. 30 No. 79 (2019); 107-122Revista Contabilidade & Finanças; Vol. 30 Núm. 79 (2019); 107-1221808-057X1519-7077reponame:Revista Contabilidade & Finanças (Online)instname:Universidade de São Paulo (USP)instacron:USPengporhttps://www.revistas.usp.br/rcf/article/view/153681/150097https://www.revistas.usp.br/rcf/article/view/153681/150098https://www.revistas.usp.br/rcf/article/view/153681/150099Copyright (c) 2019 Revista Contabilidade & Finançasinfo:eu-repo/semantics/openAccessAraújo Júnior, José Bonifácio deMedeiros, Otávio Ribeiro deCaldas, Olavo VenturimSilva, César Augusto Tibúrcio2019-05-07T18:51:56Zoai:revistas.usp.br:article/153681Revistahttp://www.revistas.usp.br/rcf/indexPUBhttps://old.scielo.br/oai/scielo-oai.phprecont@usp.br||recont@usp.br1808-057X1519-7077opendoar:2019-05-07T18:51:56Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP)false |
dc.title.none.fl_str_mv |
Misvaluation and behavioral bias in the Brazilian stock market Misvaluation e viés comportamental no mercado de ações brasileiro |
title |
Misvaluation and behavioral bias in the Brazilian stock market |
spellingShingle |
Misvaluation and behavioral bias in the Brazilian stock market Araújo Júnior, José Bonifácio de behaviorial finance misvaluation behavioral bias Brazilian stock market Market Model finanças comportamentais misvaluation viés comportamental mercado acionário brasileiro Market Model |
title_short |
Misvaluation and behavioral bias in the Brazilian stock market |
title_full |
Misvaluation and behavioral bias in the Brazilian stock market |
title_fullStr |
Misvaluation and behavioral bias in the Brazilian stock market |
title_full_unstemmed |
Misvaluation and behavioral bias in the Brazilian stock market |
title_sort |
Misvaluation and behavioral bias in the Brazilian stock market |
author |
Araújo Júnior, José Bonifácio de |
author_facet |
Araújo Júnior, José Bonifácio de Medeiros, Otávio Ribeiro de Caldas, Olavo Venturim Silva, César Augusto Tibúrcio |
author_role |
author |
author2 |
Medeiros, Otávio Ribeiro de Caldas, Olavo Venturim Silva, César Augusto Tibúrcio |
author2_role |
author author author |
dc.contributor.author.fl_str_mv |
Araújo Júnior, José Bonifácio de Medeiros, Otávio Ribeiro de Caldas, Olavo Venturim Silva, César Augusto Tibúrcio |
dc.subject.por.fl_str_mv |
behaviorial finance misvaluation behavioral bias Brazilian stock market Market Model finanças comportamentais misvaluation viés comportamental mercado acionário brasileiro Market Model |
topic |
behaviorial finance misvaluation behavioral bias Brazilian stock market Market Model finanças comportamentais misvaluation viés comportamental mercado acionário brasileiro Market Model |
description |
The study sought to apply the model developed by Gokhale et al. (2015) to identify the existence of overreaction and behavioral biases in the Brazilian stock market and analyze its performance as an investment strategy on the São Paulo Stock, Commodities, and Futures Exchange (BM&FBOVESPA) in the short term and long term, as well as test its robustness with time window simulations. The impacts of behavioral finance on capital markets can affect economic decisions, perpetuate or increase asset pricing anomalies, and in more extreme and persistent situations contribute to the formation of bubbles that can compromise the entire financial system of a country. The study pioneers an innovative methodology in the Brazilian stock market for identifying behavioral biases and obtaining abnormal returns and higher returns than the Ibovespa. The research uses the model developed by Gokhale, Tremblay, and Tremblay (2015) in three samples with quotations data for Brazilian publicly-traded companies that compose the Ibovespa and IBrA in the period from 2005 to 2016. With the R statistical software, the Fundamental Valuation Index (FVI) was calculated for each sample share and each year. From the FVI index, the undervalued shares were identified, indicating that the sales price does not reflect their economic fundamentals, and portfolio simulations were carried out for investment over three months or the next year. The results indicate the possible existence of overreaction and behavioral biases in the Brazilian stock market, which lead to the possibility of higher abnormal returns than those of the Ibovespa. Similar to the US market, at the end of the 2006-2016 period simulated portfolios yielded more than 274%, while the Ibovespa yielded approximately 80%. The robustness tests attest to the effectiveness of the model. The various investment portfolios, simulated over different time horizons, yielded more than the Ibovespa on average. The study also confirmed the assumptions of Gokhale, Tremblay, and Tremblay (2015) regarding the model’s inadequacy for short-term strategies. |
publishDate |
2019 |
dc.date.none.fl_str_mv |
2019-01-18 |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/153681 10.1590/1808-057x201805770 |
url |
https://www.revistas.usp.br/rcf/article/view/153681 |
identifier_str_mv |
10.1590/1808-057x201805770 |
dc.language.iso.fl_str_mv |
eng por |
language |
eng por |
dc.relation.none.fl_str_mv |
https://www.revistas.usp.br/rcf/article/view/153681/150097 https://www.revistas.usp.br/rcf/article/view/153681/150098 https://www.revistas.usp.br/rcf/article/view/153681/150099 |
dc.rights.driver.fl_str_mv |
Copyright (c) 2019 Revista Contabilidade & Finanças info:eu-repo/semantics/openAccess |
rights_invalid_str_mv |
Copyright (c) 2019 Revista Contabilidade & Finanças |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf application/pdf application/xml |
dc.publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
publisher.none.fl_str_mv |
Universidade de São Paulo. Faculdade de Economia, Administração, Contabilidade e Atuária |
dc.source.none.fl_str_mv |
Revista Contabilidade & Finanças; v. 30 n. 79 (2019); 107-122 Revista Contabilidade & Finanças; Vol. 30 No. 79 (2019); 107-122 Revista Contabilidade & Finanças; Vol. 30 Núm. 79 (2019); 107-122 1808-057X 1519-7077 reponame:Revista Contabilidade & Finanças (Online) instname:Universidade de São Paulo (USP) instacron:USP |
instname_str |
Universidade de São Paulo (USP) |
instacron_str |
USP |
institution |
USP |
reponame_str |
Revista Contabilidade & Finanças (Online) |
collection |
Revista Contabilidade & Finanças (Online) |
repository.name.fl_str_mv |
Revista Contabilidade & Finanças (Online) - Universidade de São Paulo (USP) |
repository.mail.fl_str_mv |
recont@usp.br||recont@usp.br |
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1787713778453839872 |