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Os indicadores ROE e PVPA aplicados como balizadores de estratégias de investimentos: uma análise do mercado acionário brasileiro de 1995 a 2009
[The PVPA and ROE indicators used as a guide for investment strategies: an analysis of stock market Brazil from 1995 to 2009]

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Author Info

  • Melo, Jean Marcio
  • Távora, Lamartine
  • Xavier, Leonardo
  • Lucena, Pierre

Abstract

This study examines the possibility to achieve additional earnings over the Bovespa index (Ibovespa), by investing in potentially undervalued stocks, traded at lower multiples of price-to-book ratio (PBV) and, at the same time, representative of companies with higher returns on equity (ROE). The method of study adopted was the descriptive analysis of obtained data in conjunction with econometric tests. In this sense, the multifactor model (FAMA; FRENCH, 1996) served as a basis to the explanatory capacity analysis of the fundamentalists variables observed. An important outcome of research was the correlation found between the Brazilian interest reference rates and the overall behavior of the variables ROE and PBV combined: through this comparison, was evidenced a trend of approach between the ratio ROE/PBV, calculated for the whole market, and interest rates for 12 months, notably from the year 2000. In turn, the superior results obtained in the investment models based on parameters of the indicators ROE, PBV, and ratio ROE/PBV, contributed to the development of a systematic method of stocks selection, accessible to the retail investor.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 38123.

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Date of creation: Jul 2010
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Handle: RePEc:pra:mprapa:38123

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Keywords: Fundamental analysis. Stocks. ROE. PBV;

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  1. Cláudio Gontijo, 2000. "On the Criticism to the Classical Method," Revista Brasileira de Economia, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 54(1), pages 85-122, January.
  2. Fama, Eugene F & French, Kenneth R, 1992. " The Cross-Section of Expected Stock Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 47(2), pages 427-65, June.
  3. Colin Clubb & Mounir Naffi, 2007. "The Usefulness of Book-to-Market and ROE Expectations for Explaining UK Stock Returns," Journal of Business Finance & Accounting, Wiley Blackwell, Wiley Blackwell, vol. 34(1-2), pages 1-32.
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