DEA investment strategy in the Brazilian stock market

Ana Lopes (), Edgar Lanzer (), Marcus Lima () and Newton da Costa ()
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Ana Lopes: Department of Management, Santa Catarina South University
Edgar Lanzer: Department of Management, Santa Catarina South University
Marcus Lima: Department of Management, Santa Catarina South University
Newton da Costa: Department of Economics, Federal University of Santa Catarina

Economics Bulletin, 2008, vol. 13, issue 2, pages 1-10

Abstract: This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen’s alpha.

Keywords: Brazilian stock market; Data envelopment analysis; Investment strategy (search for similar items in EconPapers)
JEL-codes: M0 M2 (search for similar items in EconPapers)
Date: 2008-03-26
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