Strategy of asset portfolio risk diversification through value drivers

Autores/as

  • Francisco Roberto Farias Guimarães Júnior
  • Charles Ulises de Montreuil Carmona
  • Luciana Gondim de Almeida Guimarães

DOI:

https://doi.org/10.7213/rebrae.08.001.AO04

Palabras clave:

Diversification, Value Drivers, Asset Portfolio Investment.

Resumen

The risk diversification of an asset portfolio of investments is underlying in the idea that all securities have an idiosyncratic behavior which allows compensating a specific stock loss by the gain achieved by other stock into the portfolio. However, we know that the portfolio selection process should excel for choosing assets capable of creating and generating value on the long term. Thus, the objective of this research was to verify if the portfolios selected through their value drivers present the diversification benefits that were determined in prior researches. We had used the data available at Economatica data base of the following Stock Exchanges: Argentina; Brazil; Chile; and Mexico. To select the portfolios by value drivers we used a model based upon the weighted factors decision matrix where the securities were hierarchized by their grades. The variables used as factors, were the Tobin’s Q, Beta, Leverage, Price/Earning Ratio, and the Price Sales Ratio. All portfolios were compared with that selected through Markowitz (1952) model. The results show us that the portfolios selected through value drivers have obtained the benefits of the diversification process convergent with prior researches. On the other hand, we verified that the stocks amount into portfolios constructed through Markowitz (1952) model have had high positive correlation with the stocks amount in the Stock Exchange what resulted in portfolios with 44 assets, for instance. For future studies we suggest: the using of generalized linear model instead the multiple regressions to figure out the factor weights; to use others fundamentalist variables; to apply this study in other Stock Exchanges.

Descargas

Los datos de descargas todavía no están disponibles.

Citas

ADELMAN, M. A.; WATKINS, G. C. Reserve asset values and the Hotelling valuation principle: further evidence. Southern Economic Journal. n. 61, vol. 1, pp. 664–73 1994.

ALI, A.; POPE, P. F. The incremental information content of earnings, funds flow and cash flow: the UK evidence. Journal of Business and Financial Account. V. 22, pp. 19-34, 1995.

BALL, R. J.; BROWN, P. An empirical valuation of accounting income numbers. Journal of Accounting Research. pp. 159-178, 1968

BRITO, N. R. O. O efeito da diversificação de risco no mercado acionário brasileiro. Gestão de Investimentos. São Paulo: Atlas, 1989.

BRUNI, A. L.; FAMÁ, R. Liquidez e avaliação de ativos financeiros: evidências empíricas na Bovespa (1988-1996). In: Encontro Anual da Associação Nacional do Programas de PósGraduação em Administração, 22, 1998. Anais... Foz do Iguaçu, 1998.

CASELLA, G. Leverage and regression through the origin. American Statistician, n. 37 vol. 2, pp. 147–52, 1983.

CERETTA, P. S.; COSTA JR., N. C. A. Quantas ações tornam um portfólio diversificado no mercado de capitais brasileiro? In: COSTA JR., N. C. A.; LEAL, R. P. C.; LEMGRUBER, E. F. Mercado de Capitais: análise empírica no Brasil. São Paulo: Atlas, 2000.

CHAMBERS, R. L.; DUNSTAN, R. Estimating distribution functions from survey data. Biometrika, n. 73, vol. 3, pp. 597–604, 1986.

COSTA JR., N. C. A.; NEVES, M. B. E. As variáveis fundamentalistas e o retorno das ações no Brasil. Revista Brasileira de Economia – RBE. Vol. 54, n. 1 p. 123-137, jan./mar., 2000.

COURT, D.; LOCH, M. Capturing the value. Advertising age. V. 70, pp. 46-48, 1999.

ELTON, E. J., GRUBER, M. J. Risk reduction and portfolio size: an analytical solution. Journal of Business, vol.50, pp. 415-437. Out. 1977.

ERTMUR, Y.; LIVNAT, J.; MARTIKAINEN, M. Differential market reaction to revenue and expensive surprise. Review of Accounting Studies. V. 8, pp. 185-211, 2003.

EVANS, J., ARCHER, S. Diversification and reduction of dispersion: an empirical analysis. Journal of Finance, vol. 23, n. 05. pp.761-767. Dez. 1968.

FAMA, E. F. Tomorrow on the New York Stock Exchange. The Journal of Business. vol. 38, n. 3, pp. 285-299, Jul., 1965.

FAMA, E. F.; BLUME, M. E. Filter Rules and Stock-Markets Trading. The Journal of Business. vol 39, n.1, Part:2 Supplement on Security Prices. pp. 226-241. Jan., 1966.

FISHER, L., LORIE, J. H. Some studies of variability of returns on investments in common stocks. Journal of Business, vol. 43, no. 2, pp.99-133. Abr. 1970.

HAZZAN, S. Desempenho de ações da Bolsa de Valores de São Paulo e sua relação com o índice preço/lucro. 1991. Tese de Doutorado. São Paulo: EAESP, Fundação Getúlio Vargas, 1991.

HOPWOOD, W. S.; McKEOWON, J. C. The incremental information content of interim expenses over interim sales. Journal of Accounting Research. 23, pp. 191-174, 1985.

HOSKIN, R. E.; HUGHES, J. S.; RICKS, W. E. Evidence on the incremental information content of additional firm disclosure made concurrently with earnings. Journal of Accounting Research. 24, pp. 1-32, 1986.

JEGADESH, N.; LIVNAT, J. Revenue surprise and stock returns. Working Paper, 2004.

JENSEN, M. C. The Performance of Mutual Funds in the period 1945-1964. Journal of Finance. Vol. 23, n. 2, pp. 389-416. May, 1968.

LINDENBERG, E.; ROSS, S., Tobin's Q Ratio and Industrial Organization, Journal of Business, v. 54, 1981.

LIU, J.; NISSIM, D.; THOMAS, J. Equity valuation using multiples. Journal of Accounting Research. v. 40, n. 1, March, 2002.

MACHADO, M. A. V.; MEDEIROS, O. R. Modelos de Precificação de Ativos e o Efeito Liquidez: Evidências Empíricas no Mercado Acionário Brasileiro. Revista Brasileira de Finanças. Rio de Janeiro, vol. 9, n. 3, pp. 383–412 Set. 2011.

MARKOWITZ, H. Portfolio Selection. Journal of Finance, v. 7, pp. 77-91, 1952.

MARKOWITZ, H. Portfolio Selection: Efficient Diversification of Investments. New Haven: Yale University Press, 1959.

NAGANO, M. S.; MERLO, E. M.; SILVA, M. C. As variáveis fundamentalistas e seus impactos na taxa de retorno das ações no Brasil. Revista FAE. Curitiba, v. 6, n. 2, pp. 13-28, maio/dez 2003.

PAULA LEITE, H.; SANVICENTE, A. Z. Valor patrimonial: usos, abusos e conteúdo informacional. Revista de Administração de Empresas. São Paulo, v. 30, n. 3, pp. 17-31, jul./set. 1990.

REES, L.; SIVARAMAKRISHNAN, K. Valuation implication of revenue forecast. Texas A&M University: Working Paper, jun. 2001.

REINHART, W. J., The Theoretical Development and Empirical Investigation of a Relative Valuation Concept. Ph.D. Dissertation. Chapel Hill: University of North Carolina, 1977.

SANVICENTE, A. Z.; BELLATO, L. L. N. Determinação do grau necessário de diversificação de uma carteira de ações no mercado de capitais brasileiro. VII Seminários de Administração da USP – SEMEAD, Anais..., 2004.

SHARPE, W. F. A simplified model for portfolio analysis. Management Science. vol. 09, n. 2, pp. 277-293. Jan. 1963.

STATMAN, M. How many stocks make a diversified portfolio? Journal of Financial and Quantitative Analysis, vol. 22, no. 3, pp.353-363. Sept. 1987.

SWAMINATHAN, S.; WEINTROP, J. The information content of earnings, revenues and expenses. Journal of Accounting Research. v. 29, pp. 418-427, 1991.

WAGNER, W. H.; LAU, S. C. the effect of diversification on risk. Financial Analysts Journal. Nov.-Dec., 1971.

XAVIER, C. N. A precificação da liquidez no mercado brasileiro de ações, 2007, 55f. Dissertação (Mestrado em Economia) – Faculdade de Economia do IBMEC, São Paulo, 2007.

Descargas

Publicado

2015-07-27

Cómo citar

Farias Guimarães Júnior, F. R., de Montreuil Carmona, C. U., & Gondim de Almeida Guimarães, L. (2015). Strategy of asset portfolio risk diversification through value drivers. REBRAE, 8(1), 53–68. https://doi.org/10.7213/rebrae.08.001.AO04

Número

Sección

Articles