Título: | MEAN REVERSION PATTERNS AT THE BRAZILIAN STOCK MARKET | ||||||||||||
Autor(es): |
RODRIGO CARVALHO DE OLIVEIRA |
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Colaborador(es): |
LUIS FILIPE ROSSI - Orientador |
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Catalogação: | 04/SET/2007 | Língua(s): | PORTUGUESE - BRAZIL |
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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. |
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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 |
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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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