Anomalias de mercado: PEAD e crescimento/valor como ferramentas de análise fundamentalista no mercado acionário brasileiro

Abstract

This work aimed to verify whether the combination of fundamentalist criteria with the PostEarnings Announcement Drift (PEAD) was capable of increasing the profitability of a portfolio, via strategies for buying and selling growth and value shares. In this way, the PEAD and growth/value anomalies were represented by the variables Standardized Unexpected Earnings (SUE) and Price/Equity Value (P/VPA). Furthermore, growth and value stocks received fundamentalist criteria, being called, respectively, BrG_Score and BrF_Score. In total, this dissertation used quarterly data from 309 companies listed or already listed on Brasil, Bolsa, Balcão (B3), covering the time horizon from the first quarter of 1994 to the fourth quarter of 2021. Based on the empirical evidence found, it can be it is generally inferred that the combination of PEAD with growth/value, taking into account fundamentalist criteria, can increase the profitability of portfolios and be useful for market agents (only considering the average test), This is the main contribution of the research. However, the econometric model tested did not offer sufficient values to be statistically validated.