Desempenho de ações do setor financeiro selecionadas pelo múltiplo preço-valor patrimonial entre 2005 e 2013

Abstract

Value investing strategies have been a constant approach since the early twentieth century. Assuming that there are undervalued assets in the market, these strategies were largely confronted with the Efficient Market Hypothesis, which defends the reflex of all available information in asset prices, with no effect, in theory, on underestimated or overestimated market prices. Several studies in Brazil and abroad have highlighted the existence of higher returns associated with value strategy, that are opposed to the growth strategy. In general, the studies sought to capture occasional underrated asset prices, using market multiples. This paper seeks evidences of differencial performance of portfólios selected by the book-to-market (B/M) multiple, and differentiate itself from others by minimizing the potentially biasing effect of the economic sector of the assets, which may have different values depending on the characteristics of each company. In this case, it was decided only by assets of companies in the financial sector between the years 2005 to 2013, divided into three groups according to the order of the B/M multiple. The results presented a better performance by groups of high B/M (associated with value strategy) in relation to Ibovespa index and low B/M group (associated with growth strategy).