Um modelo fuzzy comportamental para análise de sobre-reação e sub-reação no mercado de ações brasileiro

Renato Aparecido Aguiar, Roberto Moura Sales and Lucy Aparecida de Sousa

RAE - Revista de Administração de Empresas, 2008, vol. 48, issue 3

Abstract: This paper presents empirical tests for investigating the occurrence of over-reaction and under-reaction phenomena in the Brazilian stock market. It is proposed that a model based on the theory of fuzzy sets, which bears a strong relationship to representativeness and anchoring heuristics, as established in the theory of behavioral finance, should be used for these tests. The proposed model is used to form portfolios and uses the financial indicators of publicly-quoted companies. Two lots of shares were used for the analyses; one from the oil and petro-chemical sector and the other from the textile sector; the financial indicators for the period 1994 to 2005 were used.

Date: 2008
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