Análise da sobre-reação através de indicadores contábil-financeiros para empresas listadas na BM&BOVESPA de 2010 a 2013.

Abstract

This dissertation analyzes the existence of overreaction and underreaction in returns of stocks of companies listed in BM&FBovespa by adopting investments strategies constructed based in performance of accounting-financial indexes (Sales and ROE) calculated for these companies over the period of January 2010 to December 2013, exploring the representativeness and conservadorism. The past performance of accounting-financial indexes was used to form portfolios of winners and losers. As a complementary objective, an index considered proxy for cash flow (EBITDA) as well as different measures of stock returns like total return and market excess return. All the indexes used to form the portfolios have been calculated independently on quarterly, semi-annually, annually, biannually and three years period. The statistical procedure used to measure the degree of association was the difference of sample means. The sample-included companies listed in the IBRX-100 and their most liquid stocks were used, with available data in the Economática database. Results show that there is underreaction and conservadorism confirming the idea that performance of accounting-financial indexes could be used to form portfolios to explore the underreaction (momentum stratetegy). However, the results do not suggest overreaction or mean reversion, so in this context, the biases would not limit the market efficiency or the arbitration limits.