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Prevendo retornos de ações atrasvés de movimentos passados: uma modificação no Modelo de Grinblatt e Moskowitz
[Predicting stock returns through past movements: a modification of Grinblatt and Moskowitz Model]

Author

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  • Lucena, Pierre
  • Figueiredo, Antonio Carlos

Abstract

The purpose of this paper is to present the Grinblatt and Moskowitz Model (2004), and make a modification to adapt for an emerging market, in this case to apply in the Sao Paulo Stock Exchange (Bovespa), that presents some specifics characteristics and problems, common in financial models and time series. It was made a modification in the original model and applied to Brazilian Capital Markets. Some interesting results were found: the presence of downside risk and the presence of turbulence during the electoral process in 2002. This modification was significantly because it incorporated the dummy variable to electoral process and took off the benchmark variable, which presented some disturbance when applied to Brazilian database. The modification of the Grinblatt and Moskowitz Model (2004) showed better results than the original one. It suggests that the modification can incorporate some characteristics of emerging markets countries.

Suggested Citation

  • Lucena, Pierre & Figueiredo, Antonio Carlos, 2008. "Prevendo retornos de ações atrasvés de movimentos passados: uma modificação no Modelo de Grinblatt e Moskowitz [Predicting stock returns through past movements: a modification of Grinblatt and Mosk," MPRA Paper 38128, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:38128
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    References listed on IDEAS

    as
    1. Grinblatt, Mark & Titman, Sheridan & Wermers, Russ, 1995. "Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior," American Economic Review, American Economic Association, vol. 85(5), pages 1088-1105, December.
    2. Bonomo, Marco Antônio Cesar & Agnol, Ivana Cristina Queiroz Dall, 2003. "Retornos anormais e estratégias reversas," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 482, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    3. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
    4. De Bondt, Werner F M & Thaler, Richard, 1985. "Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
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    More about this item

    Keywords

    BOVESPA; downside risk; Grinblatt and Moskowitz Model; market efficiency;
    All these keywords.

    JEL classification:

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

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