根據效率市場假說（Efficient-market hypothesis，EMH），倘若市場是具有效率性的，投資者無法預測股票未來的走勢，包括專業的基金經理人員。但是，在許多財經新聞媒體、商業報紙與商業週刊中，發現證劵經理人或分析師在金融市場中大膽的預測股票未來的走向。這些資訊吸引許多投資者紛紛進場投資，期許能獲得更多利潤。然而，投資者卻忽視發佈的資訊時間點的重要性，幾乎很難求證此消息是否真實。本研究希望探討投資機構之研究彙報能否為投資者帶來異常報酬，並印證市場效率性是否存在。本研究資料透過公開的資訊網站Yahoo Finance收集美國道瓊工業30成份股的資料之金融研究機構建議操作方向，利用事件研究法(Event Study Method)來進行分析。實證結果發現事件發生時，不論是推薦買進或賣出，平均異常報酬率（AAR）有顯著的異於零的報酬率，證實金融研究機構所建議的操作方向的確吸引到市場的注意，造成股價異常波動。而累計平均異常報酬率（CAAR）則是顯示事件發生後約4週，建議買進的事件會出現相當利潤。除此之外，本研究亦針對不同金融研究機構的績效分別進行討論，然而並無發現各金融研究機構有顯著的差異。 / According to the Efficient-Market hypothesis (EMH), if the market is to have efficiency, the investor or professional fund managers cannot predict the future trends of a stock. However, in many financial news media, business newspapers and Business Week, we can find securities managers or analysts in the financial markets boldly predicting the future direction of a stock. This information attracts many investors who enter into investments, hoping to gain more profit. However, investors have neglected the importance of published information at a point in time, and in hindsight, it was hard to verify whether or not this news is true. The present study is to investigate that the mechanism of investment research reports can bring abnormal returns for investors, and confirm the existence of market efficiency. The studies suggested actions of directing public information through research institutions news site Yahoo Finance and collected 30 constituent stocks of the Dow Jones Industrial, to analyze the use of the event study method. The empirical results show when the event occurred, whether it was a buy or sell recommendation, the average abnormal return rate（AAR）has a phenomenal rate of return difference from zero, confirming that the proposed research institutions operating direction did attract the market's attention, resulting in abnormal fluctuations of the stock price. The cumulative average abnormal return rate（CAAR） is a show about four weeks after the incident that recommends buying the event will be quite profitable. In addition, this study discussed separately the performance of different research institutions, however, it found no significant differences between various research institutions. / 目錄 摘要.............................................................................................................Ⅰ Abstract........................................................................................................Ⅱ 目錄............................................................................................................Ⅲ 圖目錄..........................................................................................................Ⅴ 表目錄..........................................................................................................Ⅵ 第壹章 緒論....................................................................................................1 第一節 研究動機.................................................................................................1 第二節 研究目的................................................................................................2 第三節 研究架構.................................................................................................3 第四節 研究貢獻.................................................................................................3 第貳章 文獻回顧.................................................................................................3 第一節 效率市場理論..............................................................................................3 第二節 效率市場層面..............................................................................................5 第三節 專家推薦層面..............................................................................................7 第四節 綜合評析..................................................................................................8 第參章 資料來源與研究方法.........................................................................................8 第一節 資料來源..................................................................................................8 第二節 研究方法.................................................................................................10 第肆章 實證分析.................................................................................................11 第一節 資料敘述.................................................................................................11 第二節 模型設計.................................................................................................13 第三節 結果分析.................................................................................................20 第伍章 結論與建議...............................................................................................33 第一節 結論....................................................................................................33 第二節 後續研究建議.............................................................................................35 參考文獻.........................................................................................................36 中文部分.........................................................................................................36 英文部分.........................................................................................................37 附錄.............................................................................................................38 附錄一 道瓊30成分股中之各證劵彙報建議買進(Upgrade)之個股平均異常報酬（AAR）與累計平均異常報酬（CAAR）圖..................38 附錄二 道瓊30成分股中之各證劵彙報建議賣出(Downgrade)之個股平均異常報酬（AAR）與累計平均異常報酬（CAAR）圖................45 附錄三 篩選後，各家金融研究機構發佈彙報之建議買進(Upgrade)之個股平均異常報酬（AAR）與累計平均個股異常報酬（CAAR）圖........52 附錄四 篩選後，各家金融研究機構發佈彙報之建議賣出(Downgrade)之個股平均異常報酬（AAR）與累計平均個股異常報酬（CAAR）圖......57 圖目錄 圖1. Fama et.al.之資本市場效率分成三種假說特性.......................................................................5 圖2. 事件研究法模型的時間線圖.......................................................................................15 圖3. 道瓊30成分股之全部研究彙報建議買進(Upgrade)的平均個股異常報酬（AAR）圖............................................28 圖4. 道瓊30成分股之全部研究彙報建議買進(Upgrade)累計平均個股異常報酬（CAAR）圖..........................................28 圖5. 道瓊30成分股之全部研究彙報建議賣出(Downgrade)的平均個股異常報酬（AAR）圖...........................................29 圖6. 道瓊30成分股之全部研究彙報建議賣出(Downgrade)累計平均個股異常報酬（CAAR）圖........................................29 表目錄 表1. 道瓊30工業指數之成分股（Dow Jones Industrial Index of 30 stocks, ^DJI）.........................................9 表2. 所有金融研究機構有給予道瓊30成分股的總發佈彙報次數................................................................12 表3. 道瓊30篩選後之金融研究機構與彙報發佈次數.........................................................................13 表4. 道瓊30成分股中個別證劵建議買進(Upgrade)的平均個股異常報酬（AAR）...................................................24 表5. 道瓊30成分股中個別證劵建議賣出(Downgrade)的平均個股異常報酬（AAR）.................................................25 表6. 道瓊30成分股中個別證劵建議買進(Upgrade)的累計平均個股異常報酬（CAAR）...............................................26 表7. 道瓊30成分股中個別證劵建議賣出(Downgrade)的累計平均個股異常報酬（CAAR）.............................................27 表8. 篩選後，各家金融研究機構發佈彙報之建議買進(Upgrade)的平均個股異常報酬（AAR）.........................................30 表9. 篩選後，各家金融研究機構發佈彙報之建議賣出(Downgrade)的平均個股異常報酬（AAR）.......................................31 表10. 篩選後，各家金融研究機構發佈彙報之建議買進(Upgrade)的累計平均個股異常報酬（CAAR）...................................32 表11. 篩選後，各家金融研究機構發佈彙報之建議賣出(Downgrade)的累計平均個股異常報酬（CAAR）.................................33

In the first essay titled "The Information Role of Analysts' Contrarian Revisions," I study a special group of revisions: contrarian revisions, defined as recommendation changes that are inconsistent with sizable stock price movements during the past week. I find that contrarian revisions are relatively more informative than trending revisions. In particular, contrarian revisions are associated with a both statistically and economically larger post-announcement drift. I also find contrarian downgrades are less likely to be issued by all-star analysts and analysts with more experience. After implementation of Regulation RD, the market reaction to contrarian revisions issued by all-stars significantly decreases, indicating private information contained in contrarian recommendations has declined. Overall, our results suggest analyst recommendations are important information sources for market participants. In the second essay titled "Market Reaction to Earnings When Investors Disagree," I investigate how the divergence of opinions between individual and institutional investors affects stock price movements around public news events, specifically earnings announcements. I use a discrete static market equilibrium model to illustrate that divergence of investors' opinions has a significant impact on stock price movements around earnings announcements. Specifically, the divergence of opinion has a negative relation with the immediate market reaction but a positive relation with the subsequent stock price drift. I also investigate trading volume around earnings announcements to explore how traders respond to changes in the divergence of investors' opinions. Empirical evidence supports the model implications and indicates announcement trading volume decreases inversely to the divergence of opinions.

This thesis aims to provide detailed investigation into the role and functioning of the FTSE-100 stock index futures contract, by examining four interrelated issues. Chapter 1 reviews the literature, demonstrating that stock index futures can increase investor utility by offering hedging and investment opportunities. Further, the price discovery role of futures is discussed. Chapter 2 investigates the risk return relationship for the FTSE-100 contract within a CAPM framework. While CAPM adequately explains returns prior to October 1987, post-crash the contract is riskier and excess returns and a day of the week effect are evident. Chapter 3 examines the impact of futures on the underlying spot market using GARCH, which allows examination of the link between information and volatility. While spot prices are more volatile post-futures, this is due to more rapid impounding of information. The view that futures destabilise spot markets and should be subject to further regulation is questioned. Chapter 4 examines futures market efficiency using the Johansen cointegration procedure and variance bounds tests which are developed here. Results suggest futures prices provide unbiased predictions of future spot prices for 1, 2 and 4 months prior to maturity of the contract. For 3, 5 and 6 months prior to maturity the unbiasedness hypothesis does not hold. Chapter 5 discusses the major role of futures; hedging. Hedge ratios and hedging effectiveness are examined in relation to duration and expiration effects. Hedge ratio stability is also examined. Finally, hedging strategies based on historical information are examined. Results show there are duration and expiration effect, hedge ratios are stationary and using historical information does not greatly reduce hedging effectiveness. The FTSE-100 contract is shown to be a highly effective means by which to hedge risk. Chapter 6 provides a summary and concluding remarks concerning the relevance of the research carried out here.

This dissertation examines three distinctive issues that concern the regulators and policy makers in the development of financial markets. It contains three stand-alone research projects within the context of law, finance and economic growth. Chapter 2 examines the dynamic relationship between banks and economic growth from the points of view of market efficiency and asset pricing theory. Publicly traded banks are broadly representative of a country???s banking sector, so that banking industry stock prices will broadly reflect the performance of a country???s banking sector. Because previous research has established that the institutional framework, as well as the aggregate size, of the banking sector can significantly affect economic growth, this chapter investigates whether the stock returns on a country???s banking sector contain information about future economic growth, and whether the specific country and institutional characteristics that affect the functioning of the banking system and market efficiency also influence this relationship. Using the data from 18 developed and 18 emerging markets, the chapter finds a significant and positive relationship between bank excess return and future economic growth in both the time-series and panel analyses. The chapter also finds that this positive relationship is significantly strengthened by the enforcement of insider trading law, by banking crises, by bank disclosure regulations and financial development, but is weakened by government ownership of banks. Chapter 3 investigates the role of bank idiosyncratic volatility in economic growth and systemic banking crises. Using the same dataset from Chapter 2, this chapter finds an ambiguous relationship between bank volatility and economic growth in the time-series studies, which suggests that the effect of bank volatility on economic growth is more country-specific. In the panel analyses, the chapter finds a negative but very weak relationship between bank volatility and future economic growth. This negative relationship is magnified by banking crises and bank disclosure standards, but is alleviated by the government ownership of banks, the enforcement of insider trading law and financial development. The chapter goes further to examine whether bank volatility leads to the occurrence of systemic banking crises, and finds that the marginal effect of bank volatility on the probability of banking crises is very weak for the sample of all markets, and this result is mainly driven by the data from the emerging markets. However, bank volatility is a significant predictor of banking crises even after being controlled for macroeconomic indicators, which implies that market forces are more powerful in promoting the soundness of the banking system in developed markets. We also find that those macroeconomic and banking risk management indicators have different impacts on the probability of banking crises for the emerging and developed markets. Therefore, caution needs to be taken in interpreting the cross-country results of the studies on banking crises. Chapter 4 studies the corporate governance issues in China, a significant developing country that has been neglected by the current law and finance literature. Incorporated with the legal environment and ownership structure of China???s listed companies, the chapter develops a simple game model to study a neglected aspect of current corporate governance literature: the expropriation arising from the mixture of weak investor protection, ownership concentration coexisting with ownership dispersion, and the absence of a controlling shareholder. The last two chapters find that government ownership undermines the positive link between bank excess return and economic growth, but alleviates the negative impact of bank volatility on growth as well. This chapter shows that government ownership is also a two-edged sword in corporate governance in China: it leads to a double-agency problem; however, the strong legal protection of State assets also increases the cost of expropriation. Using the data from 1996 to 2003, the chapter finds the empirical evidence consistent with the model. By analysing the puzzles in China???s stock market, the chapter suggests that improving the legal protection of investors is the key issue in the future development of the financial market.

Στην παρούσα εργασία ερευνάται η κερδοφορία του τεχνικού κανόνα του κινητού μέσου όρου στο χρηματιστήριο Αθηνών. Συγκεκριμένα, χρησιμοποιούνται ημερήσια δεδομένα του δείκτη FTSE 20 για την περίοδο 2005 έως 2011.Σύμφωνα με τα κύρια αποτελέσματα της έρευνας, οι αποδόσεις αγοράς των μετοχών δεν διαφέρουν από τις αποδόσεις πώλησης των μετοχών. Συνεπώς, με την υιοθέτηση του συγκεκριμένου τεχνικού κανόνα δεν είναι εφικτή η παραγωγή υπερβάλλοντων κερδών. Ωστόσο, παρατηρείται ότι η αγορά είναι καθοδική από το 2008 και μετά, με αποτέλεσμα σε πολλές περιπτώσεις να παρουσιάζεται σημαντική διαφορά μεταξύ των διακυμάνσεων των αποδόσεων αγοράς και των αποδόσεων πώλησης των μετοχών. Όπως είναι φυσικό, κάτι τέτοιο δεν έχει καμία επίδραση στο αποτέλεσμα της μη κερδοφορίας. Επίσης, τα αποτελέσματα της έρευνας δείχνουν ότι οι πιθανότητες κέρδους μέσω της τεχνικής ανάλυσης ελαχιστοποιούνται έως και μηδενίζονται μακροπρόθεσμα. / In this work, the profitability of the moving average MA trading rule is examined in the Athens Stock Exchange. Particularly, dialy data of stock index FTSE 20 are used, over 2005-2011 periods. According to the main results, stocks' buy returns do not differ from stocks' sell returns. Consequently, generation of excess profits is not feasible with the adoption of this technical rule. It is, however, observed that the market has been in recession since 2008, so that there seems to be signigicant difference between the variance of buy returns and the variance of sell returns. It is obvious that, this has no effect on the main results. Also, results show that the probabilities of profitability using technical analysis are minimized or even become zero in the long run.

O principal objetivo da dissertação é verificar se é possível superar o principal índice acionário brasileiro (Ibovespa) no longo prazo utilizando indicadores relativos (múltiplos de mercado), baseados em dados passados ou projetados. Foram escolhidos quatro indicadores, advindos de uma pesquisa com relatórios de 33 instituições que operam no mercado brasileiro e na disponibilidade de dados históricos e projetados. São eles: Preço/Lucro (P/L), Enterprise Value/Ebitda (EV/Ebitda), Preço/Valor Patrimonial (P/VPA) e Enterprise Value/Receita Líquida (EV/RL). A comparação entre portfolios passados e projetados procura verificar se é válido o que o mercado aplica na prática, de melhor performance dos dados futuros em relação aos históricos. Considerando limitações inerentes ao mercado financeiro e ao período da pesquisa, os resultados sugerem que é possível obter um desempenho superior ao principal benchmark nacional, o Ibovespa, principalmente usando carteiras de Valor baseadas em menor Preço/Lucro (P/L) projetado e/ou passado. Os indicadores de menor Preço/ Valor Patrimonial (P/VPA) e Enterprise Value/Receita Líquida (EV/RL) desempenharam bem, inclusive acima do Ibovespa, contudo foram estatisticamente menos significantes do que o P/L em diversos testes. Em relação ao múltiplo EV/Ebitda, os resultados para o portfolio de menor índice projetado foram um tanto quanto decepcionantes. O segundo indicador mais utilizado pelo mercado não teve significância estatística em seus retornos se comparado com zero. A montagem de portfolios considerou um caso base com 12 ações igualmente ponderadas. Também foram feitas sensibilidades de porfolios compostos de diferentes números de ações, bem como com ponderação por valor de mercado, exames de consistência através de portfolios randômicos e testes de retornos diários/mensais. / The main goal of this dissertation is to verify if it is possible to outperform the Brazilian stock index (Ibovespa) over the long term using relative valuation, based on past and predicted data. It was chosen four market multiples, according to a survey done with 33 brazilian investment firms: Price/Earnings (P/E), Enterprise Value/Ebitda (EV/Ebitda), Price/Book (P/B) and Enterprise Value/Net Sales (EV/Sales). Considering the limitation of time and data availability, the results suggest that it is possible to beat the market index using relative valuation, mainly with projected and past Value Price/Earnings portfolios. The P/B and EV/sales portfolios also had a good performance, but in smaller proportion when compared against P/E. Regarding to EV/Ebitda, the results were a little disappointing as the pure returns were not statistically different from zero. The base case portfolios were compounded by 12 stocks equally weighted. It was also run a sensitivity analysis using portfolios with different compositions (ranging from 5 to 18 stocks), randon portfolios and with value weighted.

O principal objetivo da dissertação é verificar se é possível superar o principal índice acionário brasileiro (Ibovespa) no longo prazo utilizando indicadores relativos (múltiplos de mercado), baseados em dados passados ou projetados. Foram escolhidos quatro indicadores, advindos de uma pesquisa com relatórios de 33 instituições que operam no mercado brasileiro e na disponibilidade de dados históricos e projetados. São eles: Preço/Lucro (P/L), Enterprise Value/Ebitda (EV/Ebitda), Preço/Valor Patrimonial (P/VPA) e Enterprise Value/Receita Líquida (EV/RL). A comparação entre portfolios passados e projetados procura verificar se é válido o que o mercado aplica na prática, de melhor performance dos dados futuros em relação aos históricos. Considerando limitações inerentes ao mercado financeiro e ao período da pesquisa, os resultados sugerem que é possível obter um desempenho superior ao principal benchmark nacional, o Ibovespa, principalmente usando carteiras de Valor baseadas em menor Preço/Lucro (P/L) projetado e/ou passado. Os indicadores de menor Preço/ Valor Patrimonial (P/VPA) e Enterprise Value/Receita Líquida (EV/RL) desempenharam bem, inclusive acima do Ibovespa, contudo foram estatisticamente menos significantes do que o P/L em diversos testes. Em relação ao múltiplo EV/Ebitda, os resultados para o portfolio de menor índice projetado foram um tanto quanto decepcionantes. O segundo indicador mais utilizado pelo mercado não teve significância estatística em seus retornos se comparado com zero. A montagem de portfolios considerou um caso base com 12 ações igualmente ponderadas. Também foram feitas sensibilidades de porfolios compostos de diferentes números de ações, bem como com ponderação por valor de mercado, exames de consistência através de portfolios randômicos e testes de retornos diários/mensais. / The main goal of this dissertation is to verify if it is possible to outperform the Brazilian stock index (Ibovespa) over the long term using relative valuation, based on past and predicted data. It was chosen four market multiples, according to a survey done with 33 brazilian investment firms: Price/Earnings (P/E), Enterprise Value/Ebitda (EV/Ebitda), Price/Book (P/B) and Enterprise Value/Net Sales (EV/Sales). Considering the limitation of time and data availability, the results suggest that it is possible to beat the market index using relative valuation, mainly with projected and past Value Price/Earnings portfolios. The P/B and EV/sales portfolios also had a good performance, but in smaller proportion when compared against P/E. Regarding to EV/Ebitda, the results were a little disappointing as the pure returns were not statistically different from zero. The base case portfolios were compounded by 12 stocks equally weighted. It was also run a sensitivity analysis using portfolios with different compositions (ranging from 5 to 18 stocks), randon portfolios and with value weighted.

This paper aims to apply the Kolmogorov algorithmic complexity theory using the measure proposed by Lempel and Ziv (1976) to analyze its behavior due to changes in parameters such as window size, jumps and the region of stability of high frequency financial series returns of assets traded on the BM&F BOVESPA, as well as to assess the evolution of such a measure when the intervals between the negotiations are extended and to verify the possible evidence of a relationship between the value of the complexity measure and the behavior of autocorrelation curves presented for each trading interval specified. We also discuss the criterion used to measure the relative efficiency of the market proposed by Giglio (2008). / Fundação de Amparo a Pesquisa do Estado de Alagoas / O presente trabalho tem por objetivos: 1) aplicar a teoria da complexidade de Kolmogorov utilizando a medida proposta por Lempel e Ziv (1976) para analisar o comportamento desta diante de alterações em parâmetros como tamanho de janela, salto e de região de estabilidade em séries financeiras de retornos de alta freqüência de ativos negociados na BM&F BOVESPA; 2) avaliar a evolução da medida ao se ampliarem os intervalos entre as negociações; e finalmente, 3) verificar a possibilidade de existir algum indício de relação entre o valor daquela medida e o comportamento das curvas de autocorrelação apresentadas para cada intervalo de negociação especificado. Foi também discutido o critério utilizado para a medida de eficiência relativa de mercado proposto por Giglio (2008).

Made available in DSpace on 2014-12-17T13:53:30Z (GMT). No. of bitstreams: 1 RaimundaMLS_DISSERT.pdf: 638002 bytes, checksum: f4c7693a6b7a4b11a332a1d4e60703e4 (MD5) Previous issue date: 2010-09-20 / The financial crisis that occurred between the years 2007 and 2008, known as the subprime crisis, has highlighted the governance of companies in Brazil and worldwide. To monitor the financial risk, quantitative tools of risk management were created in the 1990s, after several financial disasters. The market turmoil has also led companies to invest in the development and use of information, which are applied as tools to support process control and decision making. Numerous empirical studies on informational efficiency of the market have been made inside and outside Brazil, revealing whether the prices reflect the information available instantly. The creation of different levels of corporate governance on BOVESPA, in 2000, made the firms had greater impairment in relation to its shareholders with greater transparency in their information. The purpose of this study is to analyze how the subprime financial crisis has affected, between January 2007 and December 2009, the volatility of stock returns in the BM&BOVESPA of companies with greater liquidity at different levels of corporate governance. From studies of time series and through the studies of events, econometric tests were performed by the EVIEWS, and through the results obtained it became evident that the adoption of good practices of corporate governance affect the volatility of returns of companies / A crise financeira ocorrida entre os anos de 2007 e 2008, conhecida como crise do subprime, colocou em evid?ncia a governan?a das empresas no Brasil e no mundo. Para monitorar o risco financeiro, ferramentas quantitativas de gest?o de risco foram criadas na d?cada de 1990, ap?s v?rios desastres financeiros. A turbul?ncia do mercado tamb?m tem levado as empresas a investirem no desenvolvimento e utiliza??o de informa??es, que s?o aplicadas como ferramentas de apoio aos processos de controle e tomada de decis?o. In?meros estudos emp?ricos sobre efici?ncia informacional do mercado t?m sido efetuados dentro e fora do Brasil, revelando se os pre?os refletem instantaneamente as informa??es dispon?veis. A cria??o de n?veis diferenciados de governan?a corporativa na BOVESPA, em 2000, fez com que empresas tivessem maior comprometimento em rela??o aos seus acionistas, com maior n?vel de transpar?ncia em suas informa??es. A proposta desse trabalho ? analisar como a crise financeira do subprime afetou, entre janeiro de 2007 e dezembro de 2009, a volatilidade do retorno das a??es na BM&FBOVESPA de empresas com maior liquidez em diferentes n?veis de governan?a corporativa. A partir de estudos das s?ries temporais e, atrav?s de estudos de eventos, foram realizados testes econom?tricos, atrav?s do EVIEWS, e pelos resultados apresentados tornou-se evidente que a ado??o de boas pr?ticas de governan?a corporativa influenciam a volatilidade dos retornos das empresas

O principal objetivo da dissertação é verificar se é possível superar o principal índice acionário brasileiro (Ibovespa) no longo prazo utilizando indicadores relativos (múltiplos de mercado), baseados em dados passados ou projetados. Foram escolhidos quatro indicadores, advindos de uma pesquisa com relatórios de 33 instituições que operam no mercado brasileiro e na disponibilidade de dados históricos e projetados. São eles: Preço/Lucro (P/L), Enterprise Value/Ebitda (EV/Ebitda), Preço/Valor Patrimonial (P/VPA) e Enterprise Value/Receita Líquida (EV/RL). A comparação entre portfolios passados e projetados procura verificar se é válido o que o mercado aplica na prática, de melhor performance dos dados futuros em relação aos históricos. Considerando limitações inerentes ao mercado financeiro e ao período da pesquisa, os resultados sugerem que é possível obter um desempenho superior ao principal benchmark nacional, o Ibovespa, principalmente usando carteiras de Valor baseadas em menor Preço/Lucro (P/L) projetado e/ou passado. Os indicadores de menor Preço/ Valor Patrimonial (P/VPA) e Enterprise Value/Receita Líquida (EV/RL) desempenharam bem, inclusive acima do Ibovespa, contudo foram estatisticamente menos significantes do que o P/L em diversos testes. Em relação ao múltiplo EV/Ebitda, os resultados para o portfolio de menor índice projetado foram um tanto quanto decepcionantes. O segundo indicador mais utilizado pelo mercado não teve significância estatística em seus retornos se comparado com zero. A montagem de portfolios considerou um caso base com 12 ações igualmente ponderadas. Também foram feitas sensibilidades de porfolios compostos de diferentes números de ações, bem como com ponderação por valor de mercado, exames de consistência através de portfolios randômicos e testes de retornos diários/mensais. / The main goal of this dissertation is to verify if it is possible to outperform the Brazilian stock index (Ibovespa) over the long term using relative valuation, based on past and predicted data. It was chosen four market multiples, according to a survey done with 33 brazilian investment firms: Price/Earnings (P/E), Enterprise Value/Ebitda (EV/Ebitda), Price/Book (P/B) and Enterprise Value/Net Sales (EV/Sales). Considering the limitation of time and data availability, the results suggest that it is possible to beat the market index using relative valuation, mainly with projected and past Value Price/Earnings portfolios. The P/B and EV/sales portfolios also had a good performance, but in smaller proportion when compared against P/E. Regarding to EV/Ebitda, the results were a little disappointing as the pure returns were not statistically different from zero. The base case portfolios were compounded by 12 stocks equally weighted. It was also run a sensitivity analysis using portfolios with different compositions (ranging from 5 to 18 stocks), randon portfolios and with value weighted.