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Relative strength momentum: the Brazilian evidence
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Orientador(es)
Resumo(s)
International academic studies show strong support to momentum effects but the
literature applied to Brazil presents mixed results. This study examines the
profitability of momentum strategies in the Brazilian market from February 1995 until
December 2017, replicating the methodology of the pioneering work of Jegadeesh
and Titman (1993). “Winners Minus Losers” strategies beat the market according to
their risk-return profile. However, results obtained suggest lack of evidence of
significant abnormal returns in the full period of estimation and in normal periods.
“Winners” manage to exhibit positive abnormal returns for the full period, suggesting
that following a long-only strategy is more attractive for investors. The sub-period
analysis conducted demonstrates that “winners” drive returns, whereas “losers”
negatively impact profitability and are also suggested to be the main cause of the
momentum crashes.
Descrição
Palavras-chave
Momentum Relative strength Abnormal returns Crises