Abstract:
This paper searches for evidence of predictability in the Brazilian stock market using portfolios grouped by sector and firm size with data from 1999 to 2008. I conduct an automatic variance ratio test using wild bootstrap. This methodology eliminates the arbitrary choice of the holding period as well as improves small sample properties. The results suggest (i) stocks from the industrial sector are highly predictable, (ii) stocks from small firms tend to be more predictable than the ones from large firms, (iii) the Brazilian stock market, measured by the Ibovespa index from 1986 to 2008, shows an increase of efficiency since 1994.
Abstract Portuguese:
Este artigo procura evidências de previsibilidade no mercado acionário brasileiro usando portfólios agrupados por setores e tamanho das firmas com dados de 1999 a 2008. É conduzido um teste de razão de variância automático usando wild bootstrap que elimina a escolha arbitrária dos valores de truncagem e melhora as propriedades de amostra finita. Os resultados sugerem que (i) ações de empresas do setor industrial são altamente previsíveis, (ii) ações de empresas menores são mais previsíveis do que de empresas maiores, (iii) o mercado acionário brasileiro, mensurado através do índice Ibovespa de 1986 a 2008, mostrou um aumento de eficiência desde 1994.
ABNT Citation:
ELY, R. A.Returns predictability and stock market efficiency in Brazil. Revista Brasileira de Finanças, v. 9, n. 4, art. 153, p. 571-584, 2011.
APA Citation:
Ely, R. A.(2011). Returns predictability and stock market efficiency in Brazil. Revista Brasileira de Finanças, 9(4), 571-584.
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