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Cyclically Adjusted Price-Earnings Ratio Analysis of Brazilian Stock Market Portfolios, 2011-2019

Análisis del índice precio-beneficio ajustado cíclicamente en portafolios del mercado accionario brasileño, 2011-2019;
Análise do índice preço-benefício ajustado ciclicamente nos portfólios do mercado acionário brasileiro, 2011-2019

dc.contributor.authorMartínez Contreras, Ronald Mauricio
dc.contributor.authorMartínez Amado, Rubén Darío
dc.contributor.authorAtehortúa Santamaria, Rodrigo
dc.contributor.authorHernández Mora, Nydia Consuelo
dc.coverage.spatialLat: 06 15 00 N degrees minutes Lat: 6.2500 decimal degreesLong: 075 36 00 W degrees minutes Long: -75.6000 decimal degrees
dc.date.accessioned2024-01-23T16:11:11Z
dc.date.available2024-01-23T16:11:11Z
dc.date.created2022-10-27
dc.identifier.issn0120-6346
dc.identifier.urihttp://hdl.handle.net/11407/8257
dc.descriptionThis article evaluates the benefits of the cyclically adjusted price-earnings indicator for the construction of investment portfolios in the Brazilian stock market for the period 2011-2019. To meet this objective, information was taken from the value of the shares of thirty-three companies listed on the Brazilian stock exchange and the index is applied to them for the construction of efficient portfolios. The behavior of the financial assets that make up these portfolios was compared with the Bovespa index, and then the value of risk was calculated in order to generate investment portfolios with a risk equivalent to the Bovespa index. Although there are studies on the application of this indicator in various markets, there are few that focus on the cyclically adjusted price-earnings for the construction of investment portfolios and there is no evidence of the existence of this type of analysis focused on the Latin American market, hence the importance of this work. As a result, it was observed that the performance of the portfolios constructed with this methodology exceeds the Bovespa in six of the nine years analyzed; moreover, between 2011 and 2019 the portfolios constructed generated a return 3.27 times higher than the Bovespa.eng
dc.descriptionEste artículo evalúa las bondades del indicador precio-beneficio ajustado cíclicamente para la construcción de portafolios de inversión en el mercado accionario brasileño para el periodo 2011-2019. Para cumplir este objetivo se tomó información del valor de las acciones de treinta y tres empresas que cotizan en la bolsa de valores de Brasil y se les aplica el índice para la construcción de portafolios eficientes. El comportamiento de los activos financieros que componen dichos portafolios se comparó con el índice Bovespa, y luego se procedió a calcular el valor del riesgo, con el fin de generar portafolios de inversión con un riesgo equivalente al Bovespa. A pesar de que existen estudios de aplicación de este indicador en diversos mercados, son pocos los que se enfocan en el precio-beneficio ajustado cíclicamente para la construcción de portafolios de inversión y no se evidencia la existencia de análisis de este tipo enfocados en el mercado latinoamericano, de aquí la importancia de este trabajo. Como resultado, se observó que el rendimiento de los portafolios construidos con esta metodología supera al Bovespa en seis de los nueve años analizados, además, entre 2011 y 2019 los portafolios construidos generaron un rendimiento 3,27 veces superior al Bovespa.spa
dc.descriptionEste artigo avalia as bondades do indicador preço-benefício ajustado ciclicamente para a construção de portfólios de inversão no mercado de ações brasileiro para o período 2011-2019. Para cumplir este objetivo tomou informação do valor das ações de trinta e três empresas que invertem na bolsa de valores do Brasil e se lhes aplica o índice para a construção de portfólios eficientes. O comportamiento dos ativos financeiros que compõem ditos portfólios foi comparado com o índice Bovespa, e depois procedeu-se a calcular o valor de risco, com o objetivo de gerar portfólios de inversão com um risco equivalente ao da Bovespa. Apesar da existência de estudos de aplicação deste indicador em diversos mercados, são poucos os que se concentram no preço-benefício ajustado cíclicamente para a construção de portfólios de inversão e não se percebe a existência de análise desse tipo enfocado no mercado latino-americano, daí a importância desse trabalho. Como resultado, observou-se que o rendimento dos portfólios construído com essa metodologia supera a Bovespa em seis dos nove anos estudados, ademais, entre 2011 e 2019 os portfólios construídos geraram um rendimento 3,27 vezes maior ao da Bovespa.por
dc.formatPDF
dc.format.extentp. 1-23
dc.format.mediumElectrónico
dc.format.mimetypeapplication/pdf
dc.language.isospa
dc.publisherUniversidad de Medellín
dc.relation.ispartofseriesSemestre Económico; Vol. 25 No. 58 (2022)
dc.relation.haspartSemestre Económico; Vol. 25 Núm. 58 enero-junio 2022
dc.relation.urihttps://revistas.udem.edu.co/index.php/economico/article/view/4137
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0*
dc.sourceSemestre Económico; Vol. 25 No. 58 (2022): (enero-junio); 1-23
dc.subjectGlobal financial marketeng
dc.subjectStock marketeng
dc.subjectInvestment portfolioseng
dc.subjectValue at riskeng
dc.subjectBrazileng
dc.subjectMercado financiero globalspa
dc.subjectMercado de accionesspa
dc.subjectPortafolios de inversiónspa
dc.subjectValor en riesgospa
dc.subjectBrasilspa
dc.subjectMercado financeiro globalpor
dc.subjectMercado de açõespor
dc.subjectPortfólios de inversãopor
dc.subjectValor em riscopor
dc.subjectBrasilpor
dc.titleCyclically Adjusted Price-Earnings Ratio Analysis of Brazilian Stock Market Portfolios, 2011-2019eng
dc.titleAnálisis del índice precio-beneficio ajustado cíclicamente en portafolios del mercado accionario brasileño, 2011-2019spa
dc.titleAnálise do índice preço-benefício ajustado ciclicamente nos portfólios do mercado acionário brasileiro, 2011-2019por
dc.typearticle
dc.identifier.doihttps://doi.org/10.22395/seec.v25n58a3
dc.relation.citationvolume25
dc.relation.citationissue58
dc.relation.citationstartpage1
dc.relation.citationendpage23
dc.audienceComunidad Universidad de Medellín
dc.publisher.facultyFacultad de Ciencias Económicas y Administrativas
dc.publisher.placeMedellín
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dc.rights.creativecommonsAttribution-NonCommercial-NoDerivatives 4.0 International*
dc.identifier.eissn2248-4345
dc.type.coarhttp://purl.org/coar/resource_type/c_6501
dc.type.versioninfo:eu-repo/semantics/publishedVersion
dc.type.localArtículo científico
dc.type.driverinfo:eu-repo/semantics/article
dc.identifier.reponamereponame:Repositorio Institucional Universidad de Medellín
dc.identifier.repourlrepourl:https://repository.udem.edu.co/
dc.identifier.instnameinstname:Universidad de Medellín


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