IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/38121.html
   My bibliography  Save this paper

Eficácia do Uso da Estratégia de Investimento em Ações com Baixo Múltiplo Preço/Valor Patrimonial (PVPA) no Brasil
[Effectiveness Of The Use Of Investment Strategy In Shares With Low Multiple Price/Book Value In Brazil]

Author

Listed:
  • Lucena, Pierre
  • Saturnino, Odilon
  • Araújo, Joseanny
  • Figueiredo, Antonio Carlos

Abstract

This paper aims to test the hypothesis of abnormal returns from the strategy of investing in shares with lower Price/Value Ratio (PVPA) in the Brazilian capital market. All the shares negotiated in the Sao Paulo Stock Exchange (Bovespa) from 1994 to 2006 were used, and formed 6 portfolios according to the originalcriteria for choosing portfolios, in ascending order of PVPA, changed every year. Moreover, we tested the existence of significant change in the parameters of the CAPM Model through the regression analysis, incorporating to the model the variable corresponding to multiple PVPA. Afterwards, we also made a comparison between the governments of FHC and the first Lula’s administration, checking if there was significant change in the parameters of the regression, using the Chow Test of structural change. The results showed that there isn’t efficacy in the use of low PVPA as a measure of investment portfolio formation, rejecting the hypothesis tested both through the graphic analysis, which showed higher returns for the shares with greater PVPA, and through the inclusion of this index in CAPM, which indicated significant change on the beta parameters and in the comparison between the governments.

Suggested Citation

  • Lucena, Pierre & Saturnino, Odilon & Araújo, Joseanny & Figueiredo, Antonio Carlos, 2010. "Eficácia do Uso da Estratégia de Investimento em Ações com Baixo Múltiplo Preço/Valor Patrimonial (PVPA) no Brasil [Effectiveness Of The Use Of Investment Strategy In Shares With Low Multiple Price," MPRA Paper 38121, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:38121
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/38121/1/MPRA_paper_38121.pdf
    File Function: original version
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
    2. Jr., Newton C. A. da Costa & das Neves, Myrian B. Eiras, 2000. "Variáveis Fundamentalistas e os Retornos das Ações," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 54(1), January.
    3. Fama, Eugene F & French, Kenneth R, 1992. "The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, vol. 47(2), pages 427-465, June.
    4. Lucena, Pierre & Fugueiredo, Antonio Carlos, 2004. "Pressupostos de Eficiência de Mercado: um estudo empírico na Bovespa [Assumptions of Market Efficiency: an empirical analysis at Bovespa/Brazil]," MPRA Paper 40884, University Library of Munich, Germany.
    5. 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).
    6. Errunza, Vihang R., 1979. "Efficiency and the programs to develop capital markets : The Brazilian experience," Journal of Banking & Finance, Elsevier, vol. 3(4), pages 355-382, December.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Lucena, Pierre & Figueiredo, Antonio Carlos & Lachtermacher, Gerson, 2008. "Critérios de formação de carteiras de ativos através de hierarchical clusters [Criteria of portfolio formation of stocks through hierarchical clusters]," MPRA Paper 38105, University Library of Munich, Germany.
    2. 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.
    3. Saturnino, Odilon & Saturnino, Valeria & Lucena, Pierre & Carmona, Charles & Araujo, Luiz Fernando, 2011. "Investimento em Valor Contrário no Brasil: Overreaction ou Efeito Tamanho? [Contrary Investment Value in Brazil: Overreaction or Size Effect?]," MPRA Paper 38106, University Library of Munich, Germany.
    4. Saturnino, Odilon & Saturnino, Valéria & Gois de Oliveira, Marcos Roberto & Lucena, Pierre & Araújo, Luiz Fernando, 2012. "Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica [Opposite strategy and liquidity effect: an econometric analysis]," MPRA Paper 48104, University Library of Munich, Germany.
    5. Christiane Goodfellow & Dirk Schiereck & Steffen Wippler, 2013. "Are behavioural finance equity funds a superior investment? A note on fund performance and market efficiency," Journal of Asset Management, Palgrave Macmillan, vol. 14(2), pages 111-119, April.
    6. Eero Pätäri & Timo Leivo, 2017. "A Closer Look At Value Premium: Literature Review And Synthesis," Journal of Economic Surveys, Wiley Blackwell, vol. 31(1), pages 79-168, February.
    7. David Peón & Anxo Calvo, 2012. "Using Behavioral Economics to Analyze Credit Policies in the Banking Industry," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 145-160.
    8. Luo, Bing, 2019. "Effects of auditor-provided tax services on book-tax differences and on investors' mispricing of book-tax differences," Advances in accounting, Elsevier, vol. 47(C).
    9. Klaus Schredelseker, 2012. "Finanzkrise — Mitschuld der Theorie?," Schmalenbach Journal of Business Research, Springer, vol. 64(8), pages 833-845, December.
    10. Sudi Sudarsanam & Ashraf A. Mahate, 2003. "Glamour Acquirers, Method of Payment and Post‐acquisition Performance: The UK Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 30(1‐2), pages 299-342, January.
    11. Taufiq Choudhry & Ranadeva Jayasekera, 2015. "Level of efficiency in the UK equity market: empirical study of the effects of the global financial crisis," Review of Quantitative Finance and Accounting, Springer, vol. 44(2), pages 213-242, February.
    12. Dimitri Vayanos & Paul Woolley, 2023. "Asset Management as Creator of Market Inefficiency," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 51(1), pages 1-11, March.
    13. Linnenluecke, Martina K. & Chen, Xiaoyan & Ling, Xin & Smith, Tom & Zhu, Yushu, 2017. "Research in finance: A review of influential publications and a research agenda," Pacific-Basin Finance Journal, Elsevier, vol. 43(C), pages 188-199.
    14. Xu, Mingli & Yang, Wei & Huang, Zhixiong, 2021. "Do investor relations matter in the tourism industry? Evidence from public opinions in China," Economic Modelling, Elsevier, vol. 94(C), pages 923-933.
    15. Gikas Hardouvelis & George Papanastasopoulos & Dimitrios D. Thomakos & Tao Wang, 2007. "Accruals, Net Stock Issues and Value-Glamour Anomalies: New Evidence on their Relation," Working Paper series 47_07, Rimini Centre for Economic Analysis.
    16. Kentaro Imajo & Kentaro Minami & Katsuya Ito & Kei Nakagawa, 2020. "Deep Portfolio Optimization via Distributional Prediction of Residual Factors," Papers 2012.07245, arXiv.org.
    17. Roberto Casarin & Andrea Piva & Loriana Pelizzon, 2008. "Italian Equity Funds: Efficiency and Performance Persistence," The IUP Journal of Financial Economics, IUP Publications, vol. 0(1), pages 7-28, March.
    18. Stefan Nagel, 2013. "Empirical Cross-Sectional Asset Pricing," Annual Review of Financial Economics, Annual Reviews, vol. 5(1), pages 167-199, November.
    19. Ryan Bartens & Shakill Hassan, 2010. "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, vol. 35(2), pages 181-202, August.
    20. Fernando Rubio, 2005. "Estrategias Cuantitativas De Valor Y Retornos Por Accion De Largo," Finance 0503029, University Library of Munich, Germany.

    More about this item

    Keywords

    PVPA index; Bovespa; Market anomalies; Data panel regression; Investment myth;
    All these keywords.

    JEL classification:

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

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pra:mprapa:38121. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Joachim Winter (email available below). General contact details of provider: https://edirc.repec.org/data/vfmunde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.