Do small caps generate above average returns in the Brazilian stock market?

被引：1

作者：

Silva de Souza, Matheus Jose ^{[1
]}

Franco Ramos, Danilo Guimaraes ^{[2
]}

Pena, Marina Garcia ^{[3
]}

Sobreiro, Vinicius Amorim ^{[3
]}

Kimura, Herbert ^{[3
]}

机构：

[1] Univ Brasilia, Dept Econ, Campus Darcy Ribeiro, BR-70910900 Brasilia, DF, Brazil

[2] Univ Brasilia, Dept Stat, Campus Darcy Ribeiro, BR-70910900 Brasilia, DF, Brazil

[3] Univ Brasilia, Dept Management, Campus Darcy Ribeiro, BR-70910900 Brasilia, DF, Brazil

来源：

REVIEW OF DEVELOPMENT FINANCE | 2018年 / 8卷 / 01期

关键词：

Small caps; Technical analysis; Brazilian stock market; Moving averages;

D O I：

10.1016/j.rdf.2018.05.002

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Some studies suggest that low capitalization stocks have great potential to provide returns above the market average, although some indicate that investment in small caps should be avoided, since they are market anomalies with low liquidity. This article develops a method based on an automated trading system (ATS) applied to the Brazilian stock market, and investigates the relevance of small caps to the investor. The study indicates that, in the case of the Brazilian stock exchange, although there is a possibility of high returns the profitability of technical analysis of small caps is similar to strategies using blue chips. (C) 2018 Africagrowth Institute. Production and hosting by Elsevier B.V.

引用

页码：18 / 24

页数：7

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