Abstract
The goal of this study is to test the existence of abnormal stock returns in
the Brazilian stock market in the very short run for the period of jan/1997 to
jul/2007. The main hypothesis in focus is the mean reversion of returns.
Contrarian strategies were used with portfolios built by “winner” and “looser”
stocks to test the abnormal returns in subsequent periods. There is evidence in
favor of the reversion and, consequently, in favor of the possibility of abnormal
returns. After verified the existence of these returns, this study examines if they
still remain after systematic risk correction (Alfa of Jensen). The abnormal returns
still remain after taking into account the systematic risk.
the Brazilian stock market in the very short run for the period of jan/1997 to
jul/2007. The main hypothesis in focus is the mean reversion of returns.
Contrarian strategies were used with portfolios built by “winner” and “looser”
stocks to test the abnormal returns in subsequent periods. There is evidence in
favor of the reversion and, consequently, in favor of the possibility of abnormal
returns. After verified the existence of these returns, this study examines if they
still remain after systematic risk correction (Alfa of Jensen). The abnormal returns
still remain after taking into account the systematic risk.
| Bidragets oversatte titel | Very Short Run Mean Reversion in the Brazilian Stock Market |
|---|---|
| Originalsprog | Portugisisk |
| Publikationsdato | aug. 2008 |
| Status | Udgivet - aug. 2008 |
| Udgivet eksternt | Ja |
| Begivenhed | Encontro Brasileiro de Financas - Rio de Janeiro, Brasilien Varighed: 31 jul. 2008 → 2 aug. 2008 Konferencens nummer: 8 |
Konference
| Konference | Encontro Brasileiro de Financas |
|---|---|
| Nummer | 8 |
| Land/Område | Brasilien |
| By | Rio de Janeiro |
| Periode | 31/07/2008 → 02/08/2008 |