小盘股在巴西股市的回报率是否高于平均水平?

IF 0.7 Q4 BUSINESS, FINANCE

Review of Development Finance Pub Date : 2018-06-01 DOI:10.1016/j.rdf.2018.05.002

Matheus José Silva de Souza , Danilo Guimarães Franco Ramos , Marina Garcia Pena , Vinicius Amorim Sobreiro , Herbert Kimura

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引用次数: 2

摘要

一些研究表明，低资本化股票有很大的潜力提供高于市场平均水平的回报，尽管一些研究表明，应避免投资于小盘股，因为它们是低流动性的市场异常。本文开发了一种基于自动交易系统(ATS)的方法，应用于巴西股票市场，并研究了小盘股与投资者的相关性。研究表明，在巴西证券交易所的情况下，虽然有高回报的可能性，但小盘的技术分析的盈利能力与使用蓝筹股的策略相似。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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

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.

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来源期刊

Review of Development Finance Economics, Econometrics and Finance-Finance

CiteScore

0.80

自引率

0.00%

发文量