Reversão à média de Curtíssimo Prazo no Mercado Acionário Brasileiro

Translated title of the contribution: Very Short Run Mean Reversion in the Brazilian Stock Market

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

Research output: Contribution to conferencePaperResearchpeer-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.
Translated title of the contributionVery Short Run Mean Reversion in the Brazilian Stock Market
Original languagePortuguese
Publication dateAug 2008
Publication statusPublished - Aug 2008
Externally publishedYes
EventEncontro Brasileiro de Financas - Rio de Janeiro, Brazil
Duration: 31 Jul 20082 Aug 2008
Conference number: 8

Conference

ConferenceEncontro Brasileiro de Financas
Number8
Country/TerritoryBrazil
CityRio de Janeiro
Period31/07/200802/08/2008

Keywords

  • Stock Market, Mean Reversion, Risk Correction

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