Reversão à média de Curtíssimo Prazo no Mercado Acionário Brasileiro

Johannes Kabderian Dreyer, Marcelo Cabus Klotzle, Walter Lee Ness Jr., Luis Felipe Aragão de Castro Senra

Publikation: KonferencebidragPaperForskningpeer review

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.
Bidragets oversatte titelVery Short Run Mean Reversion in the Brazilian Stock Market
OriginalsprogPortugisisk
Publikationsdatoaug. 2008
StatusUdgivet - aug. 2008
Udgivet eksterntJa
BegivenhedEncontro Brasileiro de Financas - Rio de Janeiro, Brasilien
Varighed: 31 jul. 20082 aug. 2008
Konferencens nummer: 8

Konference

KonferenceEncontro Brasileiro de Financas
Nummer8
LandBrasilien
ByRio de Janeiro
Periode31/07/200802/08/2008

Citer dette

Dreyer, J. K., Cabus Klotzle, M., Lee Ness Jr., W., & Felipe Aragão de Castro Senra , L. (2008). Reversão à média de Curtíssimo Prazo no Mercado Acionário Brasileiro. Afhandling præsenteret på Encontro Brasileiro de Financas, Rio de Janeiro, Brasilien.