Análise Comparativa de Estratégias de Investimentos em Ações de Companhias Brasileiras

Authors

  • Leonardo Souza Siqueira Centro de Pós-Graduação e Pesquisas em Administração – CEPEAD-UFMG
  • Marcos Antônio de Camargos Faculdade Ibmec de Minas Gerais - IBMEC-MG e FACE/UFMG.

DOI:

https://doi.org/10.20397/2177-6652/2019.v19i4.1472

Keywords:

Estratégias de Investimento, Índice Shiryaev-Zhou, Buy-and-Hold, Mercado Brasileiro.

Abstract

A estratégia baseada no índice Shiryaev-Zhou (S-Z), ao fornecer o momento ótimo para compra e venda de ações, possibilita a maximização do resultado do investidor, sendo, portanto, um contraponto à estratégia buy-and-hold (B-H). Este artigo é o primeiro na literatura nacional que tem por objetivo comparar a estratégia B-H com as sinalizações do índice S-Z com ações listadas na B3 (Brasil, Bolsa, Balcão). A amostra analisada foi composta pelas 29 ações que permaneceram no Ibovespa entre outubro de 2008 e fevereiro de 2015. As estratégias foram analisadas com e sem a incidência de custos de transação e também por ano. Os resultados indicam de maneira geral que a estratégia B-H se mostrou mais rentável para as ações no período analisado. Há, no entanto, indícios de que o índice S-Z pode ser útil para investidores em períodos de recessão e ao se investir em ações com perspectiva de queda em suas cotações.

Author Biographies

Leonardo Souza Siqueira, Centro de Pós-Graduação e Pesquisas em Administração – CEPEAD-UFMG

Doutorando e Mestre em Administração pelo Centro de Pós-Graduação e Pesquisas em Administração – CEPEAD-UFMG 

Marcos Antônio de Camargos, Faculdade Ibmec de Minas Gerais - IBMEC-MG e FACE/UFMG.

Dr. em Administracao / Professor Adjunto IBMEC-MG e FACE/UFMG

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Published

2019-09-30

How to Cite

Siqueira, L. S., & de Camargos, M. A. (2019). Análise Comparativa de Estratégias de Investimentos em Ações de Companhias Brasileiras. Journal of Management & Technology, 19(4), 58–80. https://doi.org/10.20397/2177-6652/2019.v19i4.1472

Issue

Vol. 19 No. 4 (2019): Julho/Setembro

Section

ARTIGO

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