Cisnes negros no mercado de ações brasileiro

Abstract

The incidence of extreme values in the return series of Brazilian stocks is huge and its impacts are devastating. We analyzed the daily logarithmic returns of 45 Brazilian stocks between 2 January 1995 and 18 March 2009. The incidence of observations outside the three standard deviations from the mean range is on average five times greater than that under the normal distribution. The incidence of extreme values in the upper tail is 1.13 times higher than in the lower tail. The average of the extreme positive returns is higher than that of extreme negative returns. About half percent of the days determined the outcome of the investment over a period of more than 2300 business days for each stock. The minimum positive or negative extreme returns average about ± 7%. The average stock return on the remaining days did not contribute significantly to the outcome of the investment. Investors should assess whether they will keep their holdings when returns of such magnitude occur. The characteristics of empirical distributions of stock returns in Brazil favor the passive investor (buy and hold).