O uso da estratégia contrária: análise da obtenção de retornos anormais no mercado acionário brasileiro

Abstract

With the growing number of investors in the stock exchange in Sao Paulo, the equities market has gained increasing importance in Brazil. In this context, the study of investment strategies and models that attempt to predict stock returns became increasingly necessary. The goal of this research is to test the possibility of obtaining abnormal returns of capital between January 1, 2000 and December 31, 2009 for the Brazilian stock market. The hypothesis of reversion to the average was investigated.Contrarian strategies with stock portfolios bought "losers" and sold in "winners" were assembled and tested in the full sample and also considering cuts in the global crisis, marked by the bankruptcy of Lehman Brothers, one of the most important investment banks in the United States. In addition to testing the existence of abnormal returns, the work also examined the relationship between these returns and the risk involved, using, for this, the D-CAPM and CAPM models, and the Sharpes, Sortinos and Treynors Ratio. The results found for the full sample and for the clippings of the sample were not conclusive to support the idea of applying the contrarian strategy at Brazilian Stock Market in the studied period. In spite of some strategies presentedexcesses of return, there was no constancy of results. Being so, it was not possible to indicate which the best periods for investment.Considering the studied period, adopting the opposite strategy does not result in earnings statistically significants above the average, and it corroborates with the hypothesis of market efficiency.