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Título: MEAN REVERSION PATTERNS AT THE BRAZILIAN STOCK MARKET
Autor(es): RODRIGO CARVALHO DE OLIVEIRA
Colaborador(es): LUIS FILIPE ROSSI - Orientador
Catalogação: 04/SET/2007 Língua(s): PORTUGUESE - BRAZIL
Tipo: TEXT Subtipo: SENIOR PROJECT
Notas: [pt] Todos os dados constantes dos documentos são de inteira responsabilidade de seus autores. Os dados utilizados nas descrições dos documentos estão em conformidade com os sistemas da administração da PUC-Rio.
[en] All data contained in the documents are the sole responsibility of the authors. The data used in the descriptions of the documents are in conformity with the systems of the administration of PUC-Rio.
Referência(s): [pt] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=10501@1
[en] https://www.maxwell.vrac.puc-rio.br/projetosEspeciais/TFCs/consultas/conteudo.php?strSecao=resultado&nrSeq=10501@2
DOI: https://doi.org/10.17771/PUCRio.acad.10501
Resumo:
The Brazilian stock market shows strong mean reversion, with greater intensity for returns with a lag from 3 to 27 months. The evidences found suggest that about 50% of future prices formation, to these intervals, can be explained upon their past prices. This percentage stays between 30 and 50% for lags from 6 to 24 months. For 1 month intervals, it was not found significant reversion and, for 30 months, it starts loosing strength, which suggests a U shaped reversion pattern trough the time. It means that it starts null, increases, keeps itself significant, reaches a maximum figure and decreases gradually until loosing its significance. Being the mean reversion a not random walk modality, the random walk hypothesis is rejected.
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