Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica

Opposite strategy and liquidity effect: an econometric analysis

Odilon Saturnino, Valéria Saturnino, Marcos Roberto Gois de Oliveira, Pierre Lucena and Luiz Fernando Araújo
Authors registered in the RePEc Author Service: Pierre Lucena

MPRA Paper from University Library of Munich, Germany

Abstract: Considering the hypothesis of opposite strategy or overreaction in stock prices, this research deals with this type of the market’s anomaly through an econometric analysis, which aims to get more explanatory model of the overreaction in the Brazilian capital market. The procedure was to collect the data monthly closing price of shares traded on the Stock Exchange Sao Paulo - Bovespa, from January 1995 to December 2011, and then calculated their monthly returns in Microsoft Excel 2010, and organized the data. Since then, formed two portfolios - with the 20 who achieved the best performance in the year (winners) and the 20 with the worst performance in the same period (losers) - rebalanced each period, and analyzed their performance in the sixty months of According to several training periods (nine months a year and a half years and one year and nine months). Therefore, the period of training will the portfolios from 1995 to 2006, and analysis, from 1996 to 2011. The results are based on the differential return, calculated as the difference between the average return of the portfolio's average return winner and the loser portfolio in each month of the analysis. The main results obtained, both descriptive and econometric of ARIMA models and panel regression, show that it was significant to use the strategy of overreaction in Brazil, and this is explained by the low liquidity of the roles losers in your training period, which is explained by the liquidity index of negotiability.

Keywords: overreaction effect; liquidity; multifactor model; ARIMA models (search for similar items in EconPapers)
JEL-codes: G11 G14 G17 (search for similar items in EconPapers)
Date: 2012-07
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