Instrumentos de avaliação de risco e de desempenho no mercado de ações: aplicabilidade no mercado brasileiro

Abstract

From the formulation of the Efficient Market Hypothesis and the discovery of the direction of relationships between a sets negotiated in the market and one determined elect standard (representative of the market), relationships this translated by the BETA, whose stability was questioned with the advent of the APT, developed it concern with the assets pricing and its relationship with the systematic risk. Together with the evolution of the risk valuation and quantification theories and, consequently of the formation of prices (waited returns) of assets, many studies and verifications had started to be done at the investors relatively behavior that, for times opposed the propagated market efficiency. Studies developed in diverse countries had demonstrated to have certain homogeneity in the behaviors of the investors with relation to the purchase movements and sell of share, but that they opposed the efficiency of the markets, or either, the immediate reply and objective front the macroeconomic, social alterations, politics and announcements of performance of companies, over all. To this contrary behavior to that to that it called efficiency or the markets was given the name: anomaly. Initial studies had been developed in the market of the United States of America having, the phenomena, been observed in countries as England and Japan. Inevitable investigations had elapsed of the comments: if the markets ploughs efficient, wich the reason of anomalies occur? It would not be natural that the investor, in view of experience gotten, reacted of form to prevent its occurrence or to get an excedent return? If he does not make it, why does not make it? Thus, this work objectified to study, after capital the necessary recital about the capital markets and yours risk and performance evaluation instruments, the applicability of the analysis ware in the Brazilian case, once showed in the foreign markets.