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DEA investment strategy in the Brazilian stock market

Author

Listed:
  • Newton da Costa, Jr.

    (Department of Economics, Federal University of Santa Catarina)

  • Marcus Lima

    (Department of Management, Santa Catarina South University)

  • Edgar Lanzer

    (Department of Management, Santa Catarina South University)

  • Ana Lopes

    (Department of Management, Santa Catarina South University)

Abstract

This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha.

Suggested Citation

  • Newton da Costa, Jr. & Marcus Lima & Edgar Lanzer & Ana Lopes, 2008. "DEA investment strategy in the Brazilian stock market," Economics Bulletin, AccessEcon, vol. 13(2), pages 1-10.
    • Handle: RePEc:ebl:ecbull:eb-07m00002
    as

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    References listed on IDEAS

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    Cited by:

    1. Nuno Ferreira & Adriano Mendonça Souza, 2015. "Efficiency in Stock Markets with DEA: Evidence from PSI20," International Journal of Finance, Insurance and Risk Management, International Journal of Finance, Insurance and Risk Management, vol. 5(1), pages 861-861.
    2. B. Senthil Arasu & Desti Kannaiah & Nancy Christina J. & Malik Shahzad Shabbir, 2021. "Selection of Variables in Data Envelopment Analysis for Evaluation of Stock Performance," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 46(3), pages 337-353, August.
    3. David Vidal-Tomás & Ana M. Ibáñez & José E. Farinós, 2021. "The Effect of the Launch of Bitcoin Futures on the Cryptocurrency Market: An Economic Efficiency Approach," Mathematics, MDPI, vol. 9(4), pages 1-14, February.

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    More about this item

    JEL classification:

    • M0 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - General
    • M2 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Economics

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