The fundamental profile of winner and looser portfolios at Bovespa between 1995 and 2002

Luciano Martin Rostagno, Karina Talamini Costa Soares and Rodrigo Oliveira Soares
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Luciano Martin Rostagno: CM Capital Markets
Karina Talamini Costa Soares: University do Vale do Rio dos Sinos – UNISINOS
Rodrigo Oliveira Soares: University do Vale do Rio dos Sinos – UNISINOS

Brazilian Business Review, 2008, vol. 5, issue 3, 258-274

Abstract: The controversy involving the efficiency market hypothesis opens space to different proposals of how to evaluate assets, as well as the possibility of predicting stock returns. The empirical analysis conducted in this work follow the fundamental analysis rationale, where we seek to outline portfolio winners and losers profile traded at Bovespa from January of 1995 to December of 2002. We analyzed 37 variables in portfolios built based on monthly returns of stocks. Among the portfolios analyzed, the results pointed out to a better characterization of the profile of lower performance portfolios. The main characteristics found for these portfolios are: high volatility, low debt, small size, low return on assets and equity, besides of being trade at high prices relative to profit, dividends, and EBITDA. The winner portfolios are characterized by high market risk, positive trend on equity return and low performance relative to the market in the previous month.

Keywords: fundamental analysis; portfolios; market efficiency; Bovespa (search for similar items in EconPapers)
Date: 2008
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