Black swans in the brazilian stock market
AUTOR(ES)
Lovisolo, Hugo Jacob, Leal, Ricardo Pereira Câmara
FONTE
Pesqui. Oper.
DATA DE PUBLICAÇÃO
16/07/2013
RESUMO
This study analyzes extreme values in the daily returns of 45 Brazilian stocks between 2 January 1995 and 18 March 2009. The incidence of observations outside the range of three standard deviationsfrom the mean is at least five times greater than under the normal distribution. The occurrence of extreme values in the upper tail is 1.13 times higher than in the lower. The average of the extreme positive returns is higher than that of extreme negative returns. Half percent of the days determined the outcome of the investment. Extreme values are at least ± 7%. Investors should assess whether they will keep their holdings when returns of such magnitude occur. The characteristics of empirical distributions of stock returns favor the passive investor and the use of weight constraints in portfolio allocation models.
Documentos Relacionados
- Misvaluation and behavioral bias in the Brazilian stock market
- Corwin-Schultz Bid-ask Spread Estimator in the Brazilian Stock Market
- Are Country and Size Risks Priced in the Brazilian Stock Market?
- Tests of Conditional Asset Pricing Models in the Brazilian Stock Market
- Earnings Management and Quarterly Discretionary Accruals Level in the Brazilian Stock Market