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Eficácia do Uso da Estratégia de Investimento em Ações com Baixo Múltiplo Preço/Valor Patrimonial (PVPA) no Brasil
[Effectiveness Of The Use Of Investment Strategy In Shares With Low Multiple Price/Book Value In Brazil]

Author

Listed:
  • Lucena, Pierre
  • Saturnino, Odilon
  • Araújo, Joseanny
  • Figueiredo, Antonio Carlos

Abstract

This paper aims to test the hypothesis of abnormal returns from the strategy of investing in shares with lower Price/Value Ratio (PVPA) in the Brazilian capital market. All the shares negotiated in the Sao Paulo Stock Exchange (Bovespa) from 1994 to 2006 were used, and formed 6 portfolios according to the originalcriteria for choosing portfolios, in ascending order of PVPA, changed every year. Moreover, we tested the existence of significant change in the parameters of the CAPM Model through the regression analysis, incorporating to the model the variable corresponding to multiple PVPA. Afterwards, we also made a comparison between the governments of FHC and the first Lula’s administration, checking if there was significant change in the parameters of the regression, using the Chow Test of structural change. The results showed that there isn’t efficacy in the use of low PVPA as a measure of investment portfolio formation, rejecting the hypothesis tested both through the graphic analysis, which showed higher returns for the shares with greater PVPA, and through the inclusion of this index in CAPM, which indicated significant change on the beta parameters and in the comparison between the governments.

Suggested Citation

  • Lucena, Pierre & Saturnino, Odilon & Araújo, Joseanny & Figueiredo, Antonio Carlos, 2010. "Eficácia do Uso da Estratégia de Investimento em Ações com Baixo Múltiplo Preço/Valor Patrimonial (PVPA) no Brasil [Effectiveness Of The Use Of Investment Strategy In Shares With Low Multiple Price," MPRA Paper 38121, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:38121
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    References listed on IDEAS

    as
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    2. Jr., Newton C. A. da Costa & das Neves, Myrian B. Eiras, 2000. "Variáveis Fundamentalistas e os Retornos das Ações," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 54(1), January.
    3. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    4. Lucena, Pierre & Fugueiredo, Antonio Carlos, 2004. "Pressupostos de Eficiência de Mercado: um estudo empírico na Bovespa [Assumptions of Market Efficiency: an empirical analysis at Bovespa/Brazil]," MPRA Paper 40884, University Library of Munich, Germany.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    PVPA index; Bovespa; Market anomalies; Data panel regression; Investment myth;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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