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Analysis of the implementation of a stock investment strategy based on a decision aid tool

Author

Listed:
  • Leão Lyrio Maurício Vasconcellos

    (Sociedade Educacional de Santa Catarina (SOCIESC))

  • Prates Wlademir

    (Universidade Federal de Santa Catarina)

  • Andrade de Lima Marcus Vinícius

    (Universidade Federal de Santa Catarina)

  • Lunkes Rogério João

    (Universidade Federal de Santa Catarina)

Abstract

The present study analyzes the interface between two disciplinary fields - finance and operational research. In this sense, it integrates two approaches to investment analysis - fundamental and technical, as well as an investor’s concern at the time of resources allocation in a Buy & Hold investment strategy. The study uses the Multicriteria Decision Aid (MCDA) as an instrument of intervention. As for results, it was evident that the instrument of intervention used, together with a pre-defined investment strategy, was able to support the decision maker at the time of allocation of resources, generating an accumulated return of 25.14 % in the period, compared with a negative return -13.41% of the Bovespa index in the same period. In order to check the robustness of results, regressions were performed with both the CAPM model as daily and weekly data, and the t test performed on the coefficients of the regression was significant at 1% for the abnormal return of weekly data and 0.1% for the return of abnormal daily data; in addition, the t-statistic was positive in both cases, indicating the presence of abnormal positive feedback, i.e., the portfolio proposed here outperformed its benchmark.

Suggested Citation

  • Leão Lyrio Maurício Vasconcellos & Prates Wlademir & Andrade de Lima Marcus Vinícius & Lunkes Rogério João, 2015. "Analysis of the implementation of a stock investment strategy based on a decision aid tool," Contaduría y Administración, Accounting and Management, vol. 60(1), pages 113-144, enero-mar.
    • Handle: RePEc:nax:conyad:v:60:y:2015:i:1:p:113-144
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