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Short-Run Asset Selection using a Logistic Model

Author

Listed:
  • Walter Gonçalves Junior

    (Fundação Getulio Vargas)

  • Fábio Gallo Garcia

    (FGV/EAESP)

  • William Eid Junior

    (FGV/EAESP)

  • Luciana Ribeiro Chalela

    (FGV/EAESP)

Abstract

Investors constantly look for significant predictors and accurate models to forecast future results, whose occasional efficacy end up being neutralized by market efficiency. Regardless, such predictors are widely used for seeking better (and more unique) perceptions. This paper aims to investigate to what extent some of the most notorious indicators have discriminatory power to select stocks, and if it is feasible with such variables to build models that could anticipate those with good performance. In order to do that, logistical regressions were conducted with stocks traded at Bovespa using the selected indicators as explanatory variables. Investigated in this study were the outputs of Bovespa Index, liquidity, the Sharpe Ratio, ROE, MB, size and age evidenced to be significant predictors. Also examined were half-year, logistical models, which were adjusted in order to check the potential acceptable discriminatory power for the asset selection.

Suggested Citation

  • Walter Gonçalves Junior & Fábio Gallo Garcia & William Eid Junior & Luciana Ribeiro Chalela, 2011. "Short-Run Asset Selection using a Logistic Model," Brazilian Review of Finance, Brazilian Society of Finance, vol. 9(2), pages 227-256.
    • Handle: RePEc:brf:journl:v:9:y:2011:i:2:p:227-256
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    More about this item

    Keywords

    Financial indicators; financial market; predictors; returns predictability; market efficiency; ; Financial indicators; financial market; predictors; returns predictability; market efficiency;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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