Instruments Avaliagao Performance And Risk In The Brazilian Stock Market: A Study Of Market Anomalies In The Stock Exchange In Sao Paulo (bovespa) [instrumentos De Avaliação De Desempenho E Risco No Mercado Acionário Brasileiro: Um Estudo De Anomalias De Mercado Na Bolsa De Valores De São Paulo (bovespa)]

From the assumption of efficient markets, the discovery of the meaning of the relations among the assets negotiated in the Stock Exchange market and a certain standard of rational conduct, selected (representative) in the decision-making by the investors, this study is aimed at the questions arising from the Arbitrage Pricing Theory (APT) model, based on the Capital Asset Pricing Model (CAPM) of the pricing in portfolios, which relations among its components are translated by Beta. This study applies to the evolution of the evaluation theories, risk measurement and formation of assets' prices (expected pay-back), which, in recent studies, have shown that, many times, the behavior of the investors does not confirm the divulged efficiency of the markets. The study was based on certain areas of the theory of investments, highlighting the risk approach as a factor for decision-making, in addition to the Asset Pricing Models of portfolios evaluation. This study was based on a documental and data research with the São Paulo Stock Exchange, institutions that manage investment funds and the Brazilian Central Bank (from 1997 to 2001) to test the several theories on market efficiency and, finally, the analysis of the information obtained from data modeling, searching to identify the consistency of the results, in view of the different models studied, relating them to the concepts of market weaknesses. As a result, it was possible to define the Security Market Line for the Brazilian market, based on the assets pricing models, beta coefficients and APT factors.6162942(2002) Listagens De Processamen-tos Diarios De Dados Dos Pregoes Da Bolsa De Valores De Sao Paulo, , COTACOES DE ACOES, Sao Paulo, Setembro deDamodaran, A., (1996) Investment Valuation - Tolls and Techniques For Determining the Value of Any Asset. 1- Edigao, , New York, SomaElton, E.J., Gruber, M.J., (1995) Modern Portfolio Theory and Investment Analysis, , 5- edigao, New York, Jonh Wiley & Sons, IncFabozzi, F.J., Holiday trading in futures markets (1994) The Journal of Finance, , MA Christopher K e BRILEY James E, MargoFama, E.F., Efficient Capital Markets: A review of theory and empirical work (1970) Journal of Finance, 25, pp. 383-417Fama, E.F., (1976) Foundation of Finance, , New York, Basic BooksFama, E., French, K.R., The Cross-section of Expected Stock Returns (1992) The Journal of Finance, , Junho deHarris, L., A Transaction Data Study of Weekly and Intradaily Patterns in Stock Returns (1986) Journal of Financial Economics, , JunhoHaugen, R., Jorion, P., The January Effect: Still There after All These Years (1996) Financial Analysis Journal, , HAUGEN, Robert e JORION, Philippe, Janeiro/Fevereiro dewww.bovespa.com.br, INDICE BOVESPA. Disponivel em, Acesso em 08 de setembro de 2002Kim, C.W., Park, J., Holiday effects and stock returns: Further evidence (1994) Journal of Finance and Quantitative Analysis, , Margo deLakonishok, J., Smidt, S., Volume for winners and losers: Taxation and others motives for stock trading (1986) The Journal of Finance, , Setembro deLakonishok, J., Vishny, R.W., Shleifer, A., (1993) Contrarian Investment, Extrapolation and Risk, , Working Paper No. 4360, National Bureau of Economic Research, Maio deLevy, H., Sarnat, M., (1983) Portfolio and Investment Selection: Theory and Practice, , New York, Prentice HallMarkowitz, H.M., Portfolio Selection (1952) The Journal of Finance, , Margo deMartin, D.L., (2002) Anomalias De CalendarioOlivieri, F.J., Instrumentos de Avaliacao de Risco e Desempenho no Mercado de Acoes: Aplicabilidade no Mercado Brasileiro, p. 195. , Dissertagao de Mestrado, UNIFECAP- Centro Universitario Alvares Penteado, Sao Paulo, Margo 2.003Ross, S.A., The Arbitrage Theory of Capital Asset Pricing (1976) Journal of Economic Theory, , Dezem-bro deSharpe, W.F., Capital Asset Prices: A theory of market equilibrium under conditions of risk (1964) Journal of Finance, , Setembro deSharpe, W.F., Mutual Fund Performance (1966) Journal of Business, , Janeiro deSharpe, W.F., (1970) Portfolio Theory and Capital Markets, , New York, McGraw-Hil