Testando a eficiência dos índices de ações brasileiros
Autores
Hagler, Cristina E. Mendonça
Orientador
Brito, Ricardo Dias de Oliveira
Co-orientadores
Citações na Scopus
Tipo de documento
Data
2003
Resumo
Este trabaho teve como objetivo testar a eficiencia em media-variancia dos
principals indices brasileiros usados como proxies para a carteira de mercado e benchmark
para os fundos passives no Brasil: o Ibovespa, o IBX 50, o IBX 100 e o FGV 100. Para
testar a eficiencia destes, foram implementados testes estatisticos multivariados nas versoes
Sharpe-Lintner e Black do CAPM.
Os indices foram testados no periodo de out/1998 a jul/2003, usando uma amostra
de 125 ativos divididos em dois conjuntos de carteiras, 10 carteiras em fungao do tamanho
dos betas e em 12 carteiras segundo o setor industrial. Dos resultados para o modelo Black,
o teste rejeitou a eficiencia de todos os indices para os dois conjuntos de carteiras. Do teste
usando o modelo de Sharpe-Lintner, os resultados foram distintos entre os dois conjuntos
de carteiras. Para as 10 carteiras, somente os indices IBX 50 e IBX 100 foram eficientes,
enquanto que para as 12 carteiras, nenhum dos Indices foi eficiente.
Em suma, mostra-se que para o mercado brasileiro, uma estrategia passiva eficiente
nao e trivial.
The goal of this paper was to test the mean-variance efficiency of the main stock indexes that are proxies to the market portfolio and benchmark to index funds in Brazil: Ibovespa, IBX 50, IBX 100 and FGV 100. To test the efficiency of these indexes, it implemented multivariate tests on the Shape-Lintner and Black versions of the CAPM. These indexes were tested on the period from oct/1998 to jul/2003, using a sample of 125 stocks divided in two sets of portfolios, 10 beta-sorted and 12 industry portfolios. In the Black version, none of the four indexes were efficient for the both sets of portfolios. The results found for the test of the Sharpe-Lintner version were different between the two portfolio sets. For the 10 beta-sorted portfolios, only the indexes IBX 50 e IBX 100 efficient, and for the 12 industry, none of the indexes were efficient. It was shown that for the brazilian market an efficient and index based strategy is was were not trivial.
The goal of this paper was to test the mean-variance efficiency of the main stock indexes that are proxies to the market portfolio and benchmark to index funds in Brazil: Ibovespa, IBX 50, IBX 100 and FGV 100. To test the efficiency of these indexes, it implemented multivariate tests on the Shape-Lintner and Black versions of the CAPM. These indexes were tested on the period from oct/1998 to jul/2003, using a sample of 125 stocks divided in two sets of portfolios, 10 beta-sorted and 12 industry portfolios. In the Black version, none of the four indexes were efficient for the both sets of portfolios. The results found for the test of the Sharpe-Lintner version were different between the two portfolio sets. For the 10 beta-sorted portfolios, only the indexes IBX 50 e IBX 100 efficient, and for the 12 industry, none of the indexes were efficient. It was shown that for the brazilian market an efficient and index based strategy is was were not trivial.
Palavras-chave
Eficiencia da carteira; CAPM; Zero-beta CAPM; Teste Wald; Índices basileiros de ações; Portfolio efficiency; CAPM; Zero-beta CAPM; Wald test; Brazilian stock indexes
Titulo de periódico
URL da fonte
Título de Livro
URL na Scopus
Idioma
pt
Notas
Membros da banca
Brito, Ricardo Dias de Oliveira
Araujo, Eurilton
Varga, Gyorgy
Área do Conhecimento CNPQ
CIENCIAS SOCIAIS APLICADAS
CIENCIAS SOCIAIS APLICADAS::ECONOMIA
CIENCIAS SOCIAIS APLICADAS::ECONOMIA