publication . Article . 2008

DEA investment strategy in the Brazilian stock market

Newton da Costa, Jr.; Marcus Lima; Edgar Lanzer; Ana Lopes;
Open Access
  • Published: 01 Jan 2008 Journal: Economics Bulletin, volume 13, issue 2, pages 1-10
Abstract
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.
Subjects
free text keywords: jel:M2, jel:M0
Related Organizations
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publication . Article . 2008

DEA investment strategy in the Brazilian stock market

Newton da Costa, Jr.; Marcus Lima; Edgar Lanzer; Ana Lopes;