Teste da abordagem de Benjamin Graham para Investidores Defensivos no mercado de ações brasileiro

Antonio Santos; Luís Carazza

doi:10.23925/cafi.71.65982

Authors

Antonio Santos Universidade Federal Rural de Pernambuco https://orcid.org/0000-0003-0482-2573
Luís Carazza Universidade Federal Rural de Pernambuco https://orcid.org/0000-0001-5682-4744

DOI:

https://doi.org/10.23925/cafi.71.65982

Keywords:

Brazilian capital market, financial statements analysis, investment strategy, stocks, value investing

Abstract

Graham believed that investors willing to spend little time valuing assets could be successful if they purchased stocks in companies that met seven criteria that measured the quality of their financial performance and price attractiveness. Although several Brazilian studies demonstrate the effectiveness of Graham's philosophy, to our knowledge, none apply the recommendations in the exact way published by the author. This article, therefore, aims to verify if the strategy destined for Defensive Investors presented by Benjamin Graham in The Intelligent Investor is effective in the Brazilian stock market. To achieve this objective, we constructed portfolios of stocks that met the Graham criteria in April of each year between 2011 and 2020. We then evaluated their performance based on the Fama-French Three-Factor Model at 2, 4, 6, 8, and 10 years of investment. Finally, we used the Ordinary Least Squares (OLS) technique to estimate the Model's coefficients. The results reveal that the portfolios showed an excess return to the market at intervals of eight and ten years of investment. Thus, the strategy proves to be effective for the Brazilian stock market.

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