Analysis of the implementation of a stock investment strategy based on a decision aid tool

Leão Lyrio Maurício Vasconcellos (), Prates Wlademir (), Andrade de Lima Marcus Vinícius () and Lunkes Rogério João ()
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Leão Lyrio Maurício Vasconcellos: Sociedade Educacional de Santa Catarina (SOCIESC)
Prates Wlademir: Universidade Federal de Santa Catarina
Andrade de Lima Marcus Vinícius: Universidade Federal de Santa Catarina
Lunkes Rogério João: Universidade Federal de Santa Catarina

Contaduría y Administración, 2015, vol. 60, issue 1, 113-144

Abstract: The present study analyzes the interface between two disciplinary fields - finance and operational research. In this sense, it integrates two approaches to investment analysis - fundamental and technical, as well as an investor’s concern at the time of resources allocation in a Buy & Hold investment strategy. The study uses the Multicriteria Decision Aid (MCDA) as an instrument of intervention. As for results, it was evident that the instrument of intervention used, together with a pre-defined investment strategy, was able to support the decision maker at the time of allocation of resources, generating an accumulated return of 25.14 % in the period, compared with a negative return -13.41% of the Bovespa index in the same period. In order to check the robustness of results, regressions were performed with both the CAPM model as daily and weekly data, and the t test performed on the coefficients of the regression was significant at 1% for the abnormal return of weekly data and 0.1% for the return of abnormal daily data; in addition, the t-statistic was positive in both cases, indicating the presence of abnormal positive feedback, i.e., the portfolio proposed here outperformed its benchmark.

Keywords: investments analysis; fundamental analysis; technical analysis; MCDA-C methodology (search for similar items in EconPapers)
Date: 2015
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