Análise da formação de carteiras de investimentos: uma aplicação no mercado acionário brasileiro

Daniel Knebel Baggio, Martinho Luis Kelm, Luis Ferruz Agudo and Isabel Marco Sanjuán

Gestión Joven "Revista de la Agrupación Joven Iberoamericana de Contabilidad y Administración de Empresas". Young Management "Journal of the Young Iberomerican Group of Accounting and Business Administration"., 2009, issue 3

Abstract: O objetivo deste estudo é verificar a capacidade dos modelos financeiros teóricos de gestão de carteiras, em subsidiar a obtenção de retornos anormais no mercado acionário brasileiro. Entre os modelos que se podem citar: o modelo de Gestão de Carteiras de Markowitz (1952), o modelo CAPM de Sharpe (1964), Lintner (1965) e Black (1972). Os resultados comprovam que os dois modelos testados conseguiram gerar rentabilidades anormais, se comparadas com o IBOVESPA no mesmo período e com uma variância inferior. O Índice de Sharpe (1966) apontou a carteira de Markowitz como a que obteve a melhor performance. Our objective is to assess the ability of theoretical models of financial portfolio management, in support to obtain abnormal returns in the Brazilian equity market. Among the models that may be cited: the model of portfolio management of Markowitz (1952), the CAPM of Sharpe (1964), Lintner (1965) and Black (1972). The results show that the two models tested successfully generate abnormal returns compared to the IBOVESPA in the same period and a lower variance. The index of Sharpe (1966) identified the portfolio of Markowitz as that achieved the best performance.

Keywords: Gestão de Carteiras; Mercado Acionário Brasileiro e Investimento em Renda Variável. Management Portfolios; Brazilian Stock Market and Investment in variable income. (search for similar items in EconPapers)
Date: 2009
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