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Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica
[Opposite strategy and liquidity effect: an econometric analysis]

Author

Listed:
  • Saturnino, Odilon
  • Saturnino, Valéria
  • Gois de Oliveira, Marcos Roberto
  • Lucena, Pierre
  • Araújo, Luiz Fernando

Abstract

Considering the hypothesis of opposite strategy or overreaction in stock prices, this research deals with this type of the market’s anomaly through an econometric analysis, which aims to get more explanatory model of the overreaction in the Brazilian capital market. The procedure was to collect the data monthly closing price of shares traded on the Stock Exchange Sao Paulo - Bovespa, from January 1995 to December 2011, and then calculated their monthly returns in Microsoft Excel 2010, and organized the data. Since then, formed two portfolios - with the 20 who achieved the best performance in the year (winners) and the 20 with the worst performance in the same period (losers) - rebalanced each period, and analyzed their performance in the sixty months of According to several training periods (nine months a year and a half years and one year and nine months). Therefore, the period of training will the portfolios from 1995 to 2006, and analysis, from 1996 to 2011. The results are based on the differential return, calculated as the difference between the average return of the portfolio's average return winner and the loser portfolio in each month of the analysis. The main results obtained, both descriptive and econometric of ARIMA models and panel regression, show that it was significant to use the strategy of overreaction in Brazil, and this is explained by the low liquidity of the roles losers in your training period, which is explained by the liquidity index of negotiability.

Suggested Citation

  • 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.
  • Handle: RePEc:pra:mprapa:48104
    as

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    File URL: https://mpra.ub.uni-muenchen.de/48104/1/MPRA_paper_48104.pdf
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    References listed on IDEAS

    as
    1. 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.
    2. 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).
    3. 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.
    4. Doron Avramov & Tarun Chordia & Amit Goyal, 2006. "Liquidity and Autocorrelations in Individual Stock Returns," Journal of Finance, American Finance Association, vol. 61(5), pages 2365-2394, October.
    5. Chopra, Navin & Lakonishok, Josef & Ritter, Jay R., 1992. "Measuring abnormal performance : Do stocks overreact?," Journal of Financial Economics, Elsevier, vol. 31(2), pages 235-268, April.
    6. 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.
    7. 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.
    8. Charles M.C. Lee & Bhaskaran Swaminathan, 2000. "Price Momentum and Trading Volume," Journal of Finance, American Finance Association, vol. 55(5), pages 2017-2069, October.
    9. 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.
    10. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-1617, December.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    overreaction effect; liquidity; multifactor model; ARIMA models;

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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