Short-Run Asset Selection using a Logistic Model

Walter Gonçalves Junior (), Fábio Gallo Garcia (), William Eid Junior () and Luciana Ribeiro Chalela ()
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Walter Gonçalves Junior: Fundação Getulio Vargas
Fábio Gallo Garcia: FGV/EAESP
William Eid Junior: FGV/EAESP
Luciana Ribeiro Chalela: FGV/EAESP

Brazilian Review of Finance, 2011, vol. 9, issue 2, 227-256

Abstract: Investors constantly look for significant predictors and accurate models to forecast future results, whose occasional efficacy end up being neutralized by market efficiency. Regardless, such predictors are widely used for seeking better (and more unique) perceptions. This paper aims to investigate to what extent some of the most notorious indicators have discriminatory power to select stocks, and if it is feasible with such variables to build models that could anticipate those with good performance. In order to do that, logistical regressions were conducted with stocks traded at Bovespa using the selected indicators as explanatory variables. Investigated in this study were the outputs of Bovespa Index, liquidity, the Sharpe Ratio, ROE, MB, size and age evidenced to be significant predictors. Also examined were half-year, logistical models, which were adjusted in order to check the potential acceptable discriminatory power for the asset selection.

Keywords: Financial indicators; financial market; predictors; returns predictability; market efficiency; Financial indicators; financial market; predictors; returns predictability; market efficiency (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:brf:journl:v:9:y:2011:i:2:p:227-256

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