ESTRATÉGIAS DE VALOR NO MERCADO DE AÇÕES BRASILEIRO

Abstract

This paper seeks to verify, in the Brazilian stock market, the hypothesis that value strategies outperform growth strategies. The test involves the period running from June of 1995 to June of 2001. Within the variables used to assemble value and growth portfolios are book-to-market ratio, earnings-price ratio, dividend-price ratio, and sales-price ratio, all in US dollar. The analysis was conducted using the methodologies presented by Fama and French (1992) and Lakonishok, Shleifer, and Vishny (1994). The results show that value portfolios present superior performance and less risk, measured by beta, over growth portfolios for all proxies for future earnings tested. Additionally, value portfolios provided consistent higher returns relative to the market after a turbulent period. Evidences suggest that value investing has higher returns because of expectational errors made by investors and not because it is fundamentally riskier.