THE LONG-RUN PERFORMANCE OF BRAZILIAN STOCKS TRADED BELOW BOOK VALUE

Autores/as

  • Leandro da Rocha Santos
  • Roberto Marcos da Silva Montezano

DOI:

https://doi.org/10.18028/rgfc.v7i1.2878

Palabras clave:

Value Stocks, Growth Stocks, Price-to-book ratio

Resumen

The price-to-book ratio (stock prices divided by book value per share) is a commonly used a valuation metric to screen for under- or overvalued stocks. Empirical evidence suggests that low price-to-book stocks (i.e., value stocks) outperform high price-to-book stocks (i.e., growth stocks) in the long run. Here we attempt to build on the vast literature on the field by applying a different methodology to Brazilian stocks in the 1989-2009 time period. We build portfolios of stocks traded below book value and compare results to the more comprehensive Ibovespa index. We found strong evidence in favor of the former. Our portfolios outperformed the Ibovespa by 1425.39 percentage points (cumulative real returns). Moreover, our portfolios seem to be less risky than the Ibovespa, given their outperformance in every state of the economy, and, more importantly, their strong relative results during economic downturns and bear markets. We speculate that the reasons for the superior performance are related to behavioral issues. 

Descargas

Los datos de descargas todavía no están disponibles.

Citas

AKERLOF, G. A.; SHILLER, R. J. Berserk weather forecasters, beauty contests, and delicious apples on Wall Street. In: MICHEL-KERJAN, E.; SLOVIC, P. (Org.). The irrational economist: making decisions in a dangerous world. New York: PublicAffairs, 2010. p. 16-20.

ATHANASSAKOS, G. Value versus growth stock returns and the value premium: the Canadian experience 1985-2005. Canadian Journal of Administrative Sciences, Hamilton, v. 26, n. 2, p. 109-121, June 2009.

BASU, S. Investment performance of common stocks in relation to their price-earnings ratios: a test of the efficient market hypothesis. The Journal of Finance, Oxford, v. XXXII, n. 3, p. 663-682, July 1977.

BRAGA, C. A. B. M.; LEAL, R. P. C. Ações de Valor e de Crescimento nos anos 1990. In: BONOMO, Marco (Org.). Finanças Aplicadas ao Brasil. 2. Ed. Rio de Janeiro: Editora FGV, 2004. p. 235-248.

BRAZILIAN CENTRAL BANK. Gross Domestic Product and Growth Rates. [S.l.: s.n.], 2010. Available at: <http://www.bcb.gov.br/?INDECO>. Acessed in: Feb, 10th, 2010.

CHAN, L. K. C.; LAKONISHOK, J. Value and growth investing: review and update. Financial Analysts Journal, Charlottsville, v. 60, n. 1, p. 71-96, Jan./Feb. 2004.

CHIN, J. Y. F.; PREVOST, A. K.; GOTTESMAN, A. A. Contrarian investing in a small capitalization market: evidence from New Zealand. Financial Review, Oxford, v. 37, n. 3, p. 421-446, Aug. 2002.

DEBONDT, W. F. M.; THALER, R. Does the stock market overreact? The Journal of Finance, Oxford, v. XL, n. 3, p. 793-805, July 1985.

FAMA, E. F.; FRENCH, K. R. The cross-section of expected stock returns. The Journal of Finance, Oxford, v. XLVII, n. 2, p. 427-465, June 1992.

FAMA, E. F.; FRENCH, K. R. Value versus growth: the international evidence. The Journal of Finance, Oxford, v. LIII, n. 6, p. 1975-1999, Dec. 1998.

GALDI, F. C. Estratégias de investimento em ações baseadas na análise de demonstrações contábeis: é possível prever o sucesso? Thesis (PhD) - Faculdade de Economia, Administração e Contabilidade. São Paulo: Universidade de São Paulo, 2008.

GRAHAM, B.; DODD, D. Security Analysis. 2. ed. New York: McGraw-Hill, 1940.

GRAHAM, B.; MEREDITH, S. The interpretation of financial statements: the classic 1937 edition. New York: HarperCollins, 1998.

LAKONISHOK, J.; SHLEIFER, A.; VISHNY, R. W. Contrarian investment, extrapolation and risk. The Journal of Finance, Oxford, v. XLIX, n. 5, p. 1541-1578, Dec. 1994.

SANTOS, L. da R.; MONTEZANO, R. M. da S. Value and growth stocks in Brazil: risks and returns for one- and two-dimensional portfolios under different economic conditions. Revista de Contabilidade & Finanças – USP, São Paulo, v. 22, n. 56, p. 189-202, May-Aug. 2011.

SHEFRIN, H. Beyond greed and fear: understanding behavioral finance and the psychology of investing. New York: Oxford, 2002.

Publicado

2017-01-23

Número

Sección

Artigos