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Do small caps generate above average returns in the Brazilian stock market?

Author

Listed:
  • Matheus José Silva de Souza
  • Danilo Guimarães Franco Ramosb
  • Marina Garcia Pena
  • Vinicius Amorim Sobreiro
  • Herbert Kimura

    (University of Brasília)

Abstract

Some studies suggest that low capitalization stocks have great potential to provide returns above the market average, although some indicate that investment in small caps should be avoided, since they are market anomalies with low liquidity. This article develops a method based on an automated trading system (ATS) applied to the Brazilian stock market, and investigates the relevance of small caps to the investor. The study indicates that, in the case of the Brazilian stock exchange, although there is a possibility of high returns the profitability of technical analysis of small caps is similar to strategies using blue chips.

Suggested Citation

  • Matheus José Silva de Souza & Danilo Guimarães Franco Ramosb & Marina Garcia Pena & Vinicius Amorim Sobreiro & Herbert Kimura, 2018. "Do small caps generate above average returns in the Brazilian stock market?," Review of Development Finance Journal, Chartered Institute of Development Finance, vol. 8(1), pages 18-24.
    • Handle: RePEc:afj:journ3:v:8:y:2018:i:1:p:18-24
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    File URL: https://journals.co.za/content/journal/10520/EJC-fa3ad174f
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    Cited by:

    1. Kostyantyn MALYSHENKO & Vadim MALYSHENKO & Elena Yu. PONOMAREVA & Marina ANASHKINA, 2019. "Analysis of the stock market anomalies in the context of changing the information paradigm," Eastern Journal of European Studies, Centre for European Studies, Alexandru Ioan Cuza University, vol. 10, pages 239-270, June.

    More about this item

    Keywords

    Small caps; Technical analysis; Brazilian stock market; Moving averages;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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