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Type: Relatório
Title: Elusive Anomalies in the Brazilian Stock Market
Author(s)/Inventor(s): Madureira, Leonardo Luiz
Leal, Ricardo Pereira Câmara
Abstract: Indisponível.
Abstract: We study the twist-of-the-Monday effect in the Brazilian stock market and provide evidence that it is due to index construction problems, such as the non-synchronous trading of stocks. The effect is present for indices but absent for most individual stocks and in the most recent sub-periods of the 1986-98 period. When present, it was due to negative weekend returns while Monday intraday returns were significantly positive. When absent, Monday returns remain positively correlated with the previous week return although Monday returns are no longer significantly negative. Monday trading strategies based on the previous week return were profitable in and out of the sample.
Keywords: Finanças
Mercado de capitais
Working paper
Production unit: Instituto COPPEAD de Administração
Publisher: Universidade Federal do Rio de Janeiro
In: Relatórios COPPEAD
Issue: 336
Issue Date: 2000
Publisher country: Brasil
Language: eng
Right access: Acesso Aberto
ISBN: 8575080156
ISSN: 1518-3335
Citation: MADUREIRA, Leonardo Luiz; LEAL, Ricardo Pereira Câmara. Elusive anomalies in the brazilian stock market. Rio de Janeiro: UFRJ, 2000. 20 p. (Relatórios COPPEAD, 336)
Appears in Collections:Relatórios

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