DEA investment strategy in the Brazilian stock market
| Autor: | Lopes, A., Lanzer, E., Lima, M., Newton da Costa Jr. |
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| Rok vydání: | 2008 |
| Předmět: | |
| Zdroj: | Web of Science Scopus-Elsevier |
| Popis: | This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha. |
| Databáze: | OpenAIRE |
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