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Master's Dissertation
DOI
10.11606/D.12.2010.tde-25022010-114931
Document
Author
Full name
Eduardo Augusto do Rosário Contani
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2009
Supervisor
Committee
Savoia, Jose Roberto Ferreira (President)
Eid Junior, William
Securato, Jose Roberto
Title in Portuguese
Um estudo do value premium para ações brasileiras
Keywords in Portuguese
Empresas (Avaliação)
Mercado financeiro
Valor (Administração)
Abstract in Portuguese
Esta dissertação analisa a ocorrência do prêmio de valor, ou value premium para ações brasileiras no período de 2000 a 2009. Utilizando a metodologia de Fama e French (1992, 2007), foram coletados dados do múltiplo P/VPA (Preço / Valor Patrimonial da Ação) trimestrais de empresas que compõem os índices Ibovespa e IBrX, e a partir de testes entre decis e quartis desses valores, foram identificadas as relações entre risco e retorno, e elaboradas 20 carteiras com o uso de 22 ações. Foi utilizada a técnica de bootstrapping para testar a hipótese de existência de value premium nas carteiras. Os resultados obtidos corroboram as evidências de estudos recentes que apontam as carteiras formadas por ações de baixo índice P/VPA como as de melhor desempenho. As principais contribuições deste estudo são a identificação do value premium no período recente no mercado de capitais brasileiro e a adoção de testes mais robustos para evidenciar este resultado.
Title in English
Value premium study for Brazilian stocks
Keywords in English
Financial market
Valuation
Value
Abstract in English
This dissertation analyses the value premium for Brazilian stocks from 2000 through 2009. adopting the Fama and French (1992, 2007) methodology and data from Bloomberg. We constructed 20 portfolios, composed of 22 shares based on the calculated P/B (Price/Book) indexes. For every portfolio we calculated risk and return, both in U.S. Dollars and Brazilian Reais. The adopted methodology includes Bootstrapping technique to test the value premium hypothesis. The results support evidence from previous studies which show the strategy of building stock portfolios with low P/B index as the best approach to increase performance. The main contributions of this paper are statistically relevant findings about value premium in the Brazilian stocks market and adoption of robust tests to support the evidences.
 
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Publishing Date
2010-03-09
 
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