Investor behavior in the Brazilian stock market
DOI:
https://doi.org/10.1590/0101-41614944jcssKeywords:
Market anomalies, Investor behavior, Investment decisions, Momentum, Disposition EffectAbstract
This paper investigates the behavior of groups of investors regarding their asset trading activities
in the Brazilian stock market. It analyzes how the buying and selling volume is related to past
and future market returns. The results stand out for individual and foreign investors. Individual
investors seem to be affected by the Disposition Effect - as they increase their sales after large
positive market returns, but do not do so after large negative market returns. Foreign investors,
on the other hand, are the only group that demonstrates positive and significant correlation
with past as well as future market returns. This result indicates that foreign investors are guided by Momentum strategies and have greater ability to process information, considering that their
portfolios show a better performance.
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