Value and growth strategies in Bovespa stocks: an analysis of seven risk indicators

Authors

  • Luciano Rostagno University of Nevada
  • Rodrigo Oliveira Soares Universidade do Vale do Rio dos Sinos; Centro de Ciências Econômicas; Curso de Mestrado em Ciências Contábeis
  • Karina Talamini Costa Soares Universidade do Vale do Rio dos Sinos; Centro de Ciências Econômicas; Curso de Mestrado em Ciências Contábeis

DOI:

https://doi.org/10.1590/S1519-70772006000300002

Keywords:

Investment Strategies, Growth and Value Portfolios, Risk Parameters, Risk Analysis

Abstract

This paper aims to investigate risk-related aspects of investment strategies involving value and growth stocks at Bovespa. To assemble the portfolios, we used six market indicators capable of identifying value stocks traded in the period from December 1994 to April 2003. The risk analysis was conducted using seven parameters. We also included Lakonishok, Shleifer, and Vishny's (1994) risk approach, which consists of verifying short-term relative returns involving both strategies. The main results show that value strategies involving the fundamental variable earnings/ price present consistent higher returns than growth strategies. Concerning risk analysis, the liquidity index was capable of rationalizing, with statistical significance, the higher returns attained by value strategies. On the other hand, the Sharp index analysis, applied in all parameters used to assemble the portfolios, shows a greater premium per unit of risk for value strategies in comparison with growth strategies.

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Published

2006-12-01

Issue

Vol. 17 No. 42 (2006)

Section

naodefinida

License

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How to Cite

Rostagno, L., Soares, R. O., & Soares, K. T. C. (2006). Value and growth strategies in Bovespa stocks: an analysis of seven risk indicators . Revista Contabilidade & Finanças, 17(42), 7-21. https://doi.org/10.1590/S1519-70772006000300002