Ações de valor e crescimento: novo estudo para o mercado brasileiro base IBrX-50, período de 2003 a 2011

• Ano de defesa: 2012
• Autor(a) principal: Bona, Sergio de
• Orientador(a): Nakamura, Wilson Toshiro
• Banca de defesa: Campos, Anderson Luis Saber , Santos, José Odálio dos
• Tipo de documento: Dissertação
• Tipo de acesso: Acesso aberto
• Idioma: por
• Instituição de defesa: Universidade Presbiteriana Mackenzie
• Programa de Pós-Graduação: Administração de Empresas
• Departamento: Administração
• País: BR
• Palavras-chave em Português: ações de valor; ações de crescimento; relação livro-mercado
• Palavras-chave em Inglês: value stocks; growth stocks; book-to-market ratio
• Área do conhecimento CNPq: CNPQ::CIENCIAS SOCIAIS APLICADAS::ADMINISTRACAO::ADMINISTRACAO DE EMPRESAS
• Link de acesso: http://dspace.mackenzie.br/handle/10899/23418

The Brazilian economy has experienced significant structural changes that have caused the Central Bank of Brazil to reduce interest rates. In addition to maintaining inflation rate close to target for the country it has contributed to the reduction of risks premiums. In this context of low interest rates and risks, evaluation and study of value (high book-to-market ratio) and growth (low book-to-market) type stock portfolios may represent a decisive factor in achieving superior financial returns. As discussed and researched in international markets, we analyzed in the Brazilian market if value stock portfolios have higher returns than growth type when maintained for long term, on a one-year basis. Faced with this prospect, this study analyzed and compared, based on the methodology proposed by Fama and French (1992, 1993), the performance of value and growth type portfolios built from the stocks that comprise the IBrX-50 of the São Paulo Stock Exchange, for the period from 2003 to 2011. For the statistical analysis of the portfolio s returns we used the three-factor pricing model: the market risk (beta), as defined by CAPM, the company size, measured by the market value of the stocks and the book-to-market index, represented by the ratio between the company s books and the market value of equity. The results demonstrated that investments in the value type portfolios in Brazil during this period have provided higher returns than investments in growth type, confirming also the perspective and results from Fama and French s (1992) analysis and published studies in international markets and Brazilian market. This confirmation may result in investment opportunities for investors and financial players on the market.