Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T09:37:48Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1007676 bytes, checksum: 5ab68d6efd7a8606a6f70316ee4c942a (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Philipp, The number of pages are incorrect, it's counts from the first page but the number only appear in the introduction. best. Ana Luiza Holme 37993492 on 2016-10-05T12:07:50Z (GMT) / Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T12:32:36Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1006384 bytes, checksum: 48e705c5c456be0e2cbc6205b85705e4 (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Philipp, I apologize but I forgot to metion that the abstract is before the resumo. Also is missing the acknowledgment. Warm regards. Ana Luiza Holme 37993492 on 2016-10-05T14:22:17Z (GMT) / Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T15:22:17Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1007025 bytes, checksum: 5cba006abff9b93c7a4de8ca2fd08ecd (MD5) / Rejected by Ana Luiza Holme (ana.holme@fgv.br), reason: Dear Philipp, Only the acknowledgment is missing. Please include in the thesis before the abstract. Best. Ana Luiza Holme 37993492 on 2016-10-05T16:03:07Z (GMT) / Submitted by Philipp Dambach (philipp.dambach@gmail.com) on 2016-10-05T16:31:21Z No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1009654 bytes, checksum: deaf2c7429e1362493959d5203294fff (MD5) / Approved for entry into archive by Ana Luiza Holme (ana.holme@fgv.br) on 2016-10-05T16:33:13Z (GMT) No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1009654 bytes, checksum: deaf2c7429e1362493959d5203294fff (MD5) / Made available in DSpace on 2016-10-05T17:20:25Z (GMT). No. of bitstreams: 1 APPLYING PIOTROSKI’S F_SCORE TO THE GERMAN STOCK MARKET. EVIDENCE FROM 2002-2016..pdf: 1009654 bytes, checksum: deaf2c7429e1362493959d5203294fff (MD5) Previous issue date: 2016-09-28 / This work project applies Joseph Piotroski’s F_SCORE to the German stock market between 2002 and 2016. Considering the smaller size of the German stock market, a F_SCORE_ADD was created to differentiate between companies with the same score. Portfolios that went long in expected winners and shorted expected losers generated strong results within the small cap sample. For large caps, the abnormality of returns was not significant after controlling for common risk factors and quality. This relates to the results of other researchers and questions the practicality of the investment strategy for institutional investors with a large capital base to employ. / Esta dissertação aplica o F_SCORE de Joseph Piotroski ao mercado de ações alemão entre 2002 e 2016. Por causa do tamanho menor do mercado de ações alemão, um F_SCORE_ADD foi criado para diferenciar entre as empresas com a mesma pontuação. Carteiras que foram 'long' em vencedores esperados e 'short' em perdedores esperados renderam bons resultados dentro da amostra com empresas de baixo valor de mercado. Para as empresas de alta capitalização, a anormalidade de retornos não foi estatisticamente significante após o controle de fatores de risco comuns e qualidade. Isto relaciona-se com os resultados de outros investigadores e questiona a praticidade desta estratégia de investimento para os investidores institucionais com uma grande base de capital para empregar.

Submitted by Pedro Holloway (pedro.holloway@gmail.com) on 2012-05-29T15:33:54Z No. of bitstreams: 1 Dissertação_Pedro_Holloway.pdf: 1129845 bytes, checksum: 158b8f46af1d2ad92b0e77aedc5dfcf6 (MD5) / Approved for entry into archive by Gisele Isaura Hannickel (gisele.hannickel@fgv.br) on 2012-05-29T15:54:37Z (GMT) No. of bitstreams: 1 Dissertação_Pedro_Holloway.pdf: 1129845 bytes, checksum: 158b8f46af1d2ad92b0e77aedc5dfcf6 (MD5) / Made available in DSpace on 2012-05-29T15:57:51Z (GMT). No. of bitstreams: 1 Dissertação_Pedro_Holloway.pdf: 1129845 bytes, checksum: 158b8f46af1d2ad92b0e77aedc5dfcf6 (MD5) Previous issue date: 2012-05-23 / This work contributes to research on value investing in Brazil, analyzing the Brazilian funds that adopt this philosophy. The goal is to identify some of the factors that influence the decisions of managers of value investing to maintain an asset in the portfolio and to buy assets. Other goals are to identify some characteristics about the funds and their adherence to the criteria formalized in the literature. The results show that the variables that influence the manager to maintain an action in the portfolio are: greater stability in earnings per share, high ROA, high gross margin, company size and liquidity of the shares. The index Price / earnings is the only variable that significantly influences the time of purchase in one of the tests. All funds value investing have higher return than the Bovespa index in the sample period, with less risk. Most funds use a few investment instruments - primarily equity and fixed income. / Esta dissertação contribui com as pesquisas sobre value investing no Brasil, analisando os fundos brasileiros que adotam tal filosofia. Seu objetivo é identificar alguns dos fatores que influenciam as decisões dos gestores de value investing a manterem um ativo em sua carteira e a comprarem esses ativos. Secundariamente, é objetivo identificar algumas características sobre os fundos e sua aderência aos critérios formalizados na literatura. Os resultados mostram que as variáveis que influenciam o gestor a manter uma ação na carteira são: maior estabilidade no Lucro por Ação, alto ROA, alta Margem Bruta, tamanho da empresa e liquidez das ações. O índice Preço/Lucro é a única variável que influencia significativamente o momento da compra em um dos testes. Todos os fundos de value investing têm retorno maior que o Ibovespa no período amostral, com menor risco. A maioria dos fundos utiliza poucos instrumentos de investimento – basicamente ações e renda fixa.

Submitted by Rodolfo Zeidler (rodolfo.zeidler@gmail.com) on 2014-10-14T12:22:56Z No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) / Approved for entry into archive by JOANA MARTORINI (joana.martorini@fgv.br) on 2014-10-14T12:55:20Z (GMT) No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) / Made available in DSpace on 2014-10-14T13:09:41Z (GMT). No. of bitstreams: 1 Dissertação_RodolfoZeidler_MPFE_27.09.2014.pdf: 1031393 bytes, checksum: f0f0d7d38e2df5bf53a35f847db68555 (MD5) Previous issue date: 2014-10-13 / O objetivo deste trabalho é realizar procedimento de back-test da Magic Formula na Bovespa, reunindo evidências sobre violações da Hipótese do Mercado Eficiente no mercado brasileiro. Desenvolvida por Joel Greenblatt, a Magic Formula é uma metodologia de formação de carteiras que consiste em escolher ações com altos ROICs e Earnings Yields, seguindo a filosofia de Value Investing. Diversas carteiras foram montadas no período de dezembro de 2002 a maio de 2014 utilizando diferentes combinações de número de ativos por carteira e períodos de permanência. Todas as carteiras, independentemente do número de ativos ou período de permanência, apresentaram retornos superiores ao Ibovespa. As diferenças entre os CAGRs das carteiras e o do Ibovespa foram significativas, sendo que a carteira com pior desempenho apresentou CAGR de 27,7% contra 14,1% do Ibovespa. As carteiras também obtiveram resultados positivos após serem ajustadas pelo risco. A pior razão retorno-volatilidade foi de 1,2, comparado a 0,6 do Ibovespa. As carteiras com pior pontuação também apresentaram bons resultados na maioria dos cenários, contrariando as expectativas iniciais e os resultados observados em outros trabalhos. Adicionalmente foram realizadas simulações para diversos períodos de 5 anos com objetivo de analisar a robustez dos resultados. Todas as carteiras apresentaram CAGR maior que o do Ibovespa em todos os períodos simulados, independentemente do número de ativos incluídos ou dos períodos de permanência. Estes resultados indicam ser possível alcançar retornos acima do mercado no Brasil utilizando apenas dados públicos históricos. Esta é uma violação da forma fraca da Hipótese do Mercado Eficiente. / The main purpose of this work is to back-test the Magic Formula in the Bovespa Stock Exchange, gathering evidences of violations of the Efficient Market Hypothesis in the Brazilian market. The Magic Formula was developed by Joel Greenblatt and consists in a methodology for stock picking that creates portfolios of stocks with high ROICs and high Earnings Yield, following the Value Investing philosophy. Many portfolios were created in the period between December 2002 and May 2014 combining different number of assets per portfolio and different holding periods. All the portfolios, independently of their number of assets or holding periods, presented returns higher than Ibovespa. The differences between the CAGR from the portfolios and from the Ibovespa were significant, the worst performance portfolio presenting CAGR of 27,7%, as compared with 14,1% of Ibovespa. The portfolios also held positive results after being adjusted for risk. The worst return-volatility ratio was 1.2, as compared to 0.6 from Ibovespa. The portfolios containing the assets with the lowest scores also presented good results in the majority of the scenarios, contradicting the initial expectations and the results observed in other works. In addition, simulations were performed for various 5-year periods aiming to check if the results were robust. All the portfolios presented higher CAGR than Ibovespa in all the simulated periods, independently of the number of assets included in the portfolio or the holding period. These results indicate that it is possible to reach above-market returns using historical public data in Brazil. This is a violation of the Efficient Market Hypothesis in its weak form.