IDEAS home Printed from https://ideas.repec.org/p/pra/mprapa/38105.html
   My bibliography  Save this paper

Critérios de formação de carteiras de ativos através de hierarchical clusters
[Criteria of portfolio formation of stocks through hierarchical clusters]

Author

Listed:
  • Lucena, Pierre
  • Figueiredo, Antonio Carlos
  • Lachtermacher, Gerson

Abstract

This paper has as main objective to present and to test a tool of multivariate statistics in financial models. This methodology, known as clusters analysis, separates the observations in groups through its determined characteristic, in contrast of the traditional methodology, which is only the order through quantiles. This tool was applied in 213 shares negotiated in the São Paulo Stock Exchange (Bovespa), separating to the groups for size and book-to-market. Later, the new portfolios were applied in the Fama and French Model (1996), comparing the results in a portfolio formation for quintiles and for cluster analysis. Better results were found in the second methodology. The authors conclude that the cluster analysis can be more adequate, because tends to form more homogeneous groups, being useful its application for portfolio formation, and for financial theory.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:38105
    as

    Download full text from publisher

    File URL: https://mpra.ub.uni-muenchen.de/38105/1/MPRA_paper_38105.pdf
    File Function: original version
    Download Restriction: no

    References listed on IDEAS

    as
    1. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December.
    2. 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.
    3. Andrews, Donald W K, 1993. "Tests for Parameter Instability and Structural Change with Unknown Change Point," Econometrica, Econometric Society, vol. 61(4), pages 821-856, July.
    4. Torres, Ricardo & Bonomo, Marco Antonio Cesar & Fernandes, Cristiano, 2002. "A Aleatoriedade do Passeio na Bovespa: Testando a Eficiência do Mercado Acionário Brasileiro," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 56(2), April.
    5. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    6. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    7. 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, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    8. Grinblatt, Mark & Moskowitz, Tobias J., 2004. "Predicting stock price movements from past returns: the role of consistency and tax-loss selling," Journal of Financial Economics, Elsevier, vol. 71(3), pages 541-579, March.
    9. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
    10. 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.
    11. Fama, Eugene F & French, Kenneth R, 1996. " Multifactor Explanations of Asset Pricing Anomalies," Journal of Finance, American Finance Association, vol. 51(1), pages 55-84, March.
    12. Jr., Newton C. A. da Costa & das Neves, Myrian B. Eiras, 2000. "Variáveis Fundamentalistas e os Retornos das Ações," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 54(1), January.
    13. Jegadeesh, Narasimhan & Titman, Sheridan, 1993. " Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency," Journal of Finance, American Finance Association, vol. 48(1), pages 65-91, March.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    Quantiles; Cluster analysis; Data Mining; Anomalies; Fama and French model;

    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:38105. See general information about how to correct material in RePEc.

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

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.