Critérios de formação de carteiras de ativos através de hierarchical clusters

Criteria of portfolio formation of stocks through hierarchical clusters

Pierre Lucena, Antonio Carlos Figueiredo and Gerson Lachtermacher
Authors registered in the RePEc Author Service: Pierre Lucena

MPRA Paper from University Library of Munich, Germany

Abstract: This paper has as main objective to present and to test a tool of multivariate statistics in financial models. This methodology, known as clusters analysis, separates the observations in groups through its determined characteristic, in contrast of the traditional methodology, which is only the order through quantiles. This tool was applied in 213 shares negotiated in the São Paulo Stock Exchange (Bovespa), separating to the groups for size and book-to-market. Later, the new portfolios were applied in the Fama and French Model (1996), comparing the results in a portfolio formation for quintiles and for cluster analysis. Better results were found in the second methodology. The authors conclude that the cluster analysis can be more adequate, because tends to form more homogeneous groups, being useful its application for portfolio formation, and for financial theory.

Keywords: Quantiles; Cluster analysis; Data Mining; Anomalies; Fama and French model (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2008-02-20
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Published in Revista de Administração Mackenzie 2.11(2009): pp. 123-141

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