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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]

Author

Listed:
  • 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.

Suggested Citation

  • Melo, Jean Marcio & Távora, Lamartine & Xavier, Leonardo & Lucena, Pierre, 2010. "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 Br," MPRA Paper 38123, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:38123
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    References listed on IDEAS

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    2. Lakonishok, Josef & Shleifer, Andrei & Vishny, Robert W, 1994. "Contrarian Investment, Extrapolation, and Risk," Journal of Finance, American Finance Association, vol. 49(5), pages 1541-1578, December.
    3. 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.
    4. 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.
    5. 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, vol. 34(1-2), pages 1-32.
    Full references (including those not matched with items on IDEAS)

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    JEL classification:

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

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