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ARTÍCULO
TITULO

Value & Growth Investing and PEAD in Brazil

Fernando Caio Galdi    
Vinícius Souto-Maior Lima    

Resumen

This paper investigates whether stock picking considering post-earnings announcement drift (PEAD) together with financial statement analysis improve portfolio returns in the Brazilian market. The strategy implemented explores the PEAD anomaly (using SUE portfolios) and both F_Score (Piotroski, 2000) and G_Score (Mohanran, 2005) to build the investment portfolios. To proxy for earnings surprises we use the standardized unexpected earnings (SUE) criteria. Our analysis considers quarterly data from Brazilian listed firms from 2001 to 2011. Our results show that earnings surprise together with fundamental analysis can build portfolios with stronger returns potential considering long-only and long-short positions.

PÁGINAS
pp. 551 - 577
MATERIAS
ECONOMÍA

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