The purpose of this investigation was to test the theoretical possibility of an investor earning a positive cash return from the activities of the stock market despite effectively holding no position at all in said market. The sample data were the daily returns for the shares of the 780 companies listed on the NASDAQ and the New York Stock Exchange (“NYSE”), which fell within the top 500 listed companies by market capitalisation between 1 January 2005 and 31 December 2017. The reversal strategy’s performance was evaluated using portfolios constructed as quantiles of 100 or 500 shares, respectively, where the investor had the option of implementing the reversal strategy immediately after an information-gathering period closed or a day thereafter. The time intervals used were 1 January 2005 to 29 September 2008 (the day the Dow Jones Industrial Average crashed by 777.68 points), 29 September 2008 to 31 December 2017 and 1 January 2005 to 31 December 2017. Of the 1000 portfolios tested in each time interval, at least 416 had positive average returns in every time interval. Of the portfolios that had positive average returns over the time intervals, at least 66 had statistically significant average returns in every time interval. The best-performing portfolio for the entire sample period was a combination of the best-performing pre-crash and post-crash portfolios - an investor who held that portfolio realised a cumulative return of approximately $61.39 for every $1 invested. The conclusion was that it was theoretically possible for an investor to earn a positive cash return from the market’s activities despite effectively holding no position at all in the market. Consequently, it was concluded that the strong form of Fama’s (1970) Efficient Market Hypothesis was disproved. Future research should include out-of-sample tests, tests that include restrictions on short selling and tests that consider the impact of trading costs on portfolio performance, to render the conclusions of this investigation more practically applicable to investors.

Made available in DSpace on 2016-04-25T18:40:17Z (GMT). No. of bitstreams: 1 WilsonLima.pdf: 1049312 bytes, checksum: b2359c76478fa86e67a278b3c988222a (MD5) Previous issue date: 2006-04-24 / Our study is a contribution to the discounted cash flow model application and the use of the information contained in the financial reports for valuation purposes. The presentation starts with a description of the main financial markets, their functioning, most important segments: monetary, credit, capital and foreign exchange markets. The capital market is the place where companies deal their shares. In the stock market the first crucial information is given: the firm s market value that is a result of the share negotiation unit price multiplied by the total number of existing company s stocks. Also important in this part of the work is the reasoning behind investors information use. A detailed overview of the information given by the financial reports and their most common utilization is the next required step of the work. The last part of the theory revision is the presentation of the firm s evaluation models described in the modern financial theory and the presentation of that one to be applied in our case study: the discounted cash flow model. The case was built on the mentioned theory foundations. The material for the case consists of the Companhia Vale do Rio Doce available financial reports taken from the company s site in Internet. They are those required by the Comissão de Valores Mobiliários, the equivalent in Brazil of the Security Exchange Commission. In the conclusion the value calculated through discounted cash flow model based on different assumptions for the value drivers define an interval where the market value of the company can be placed in / O objetivo deste estudo é oferecer uma contribuição à utilização das demonstrações financeiras produzidas segundo as normas contábeis brasileiras como base para a avaliação de empresas segundo o método dos fluxos de caixa descontados. Inicia-se o trabalho pela apresentação dos mercados financeiros: o monetário, o de crédito, o de capitais e o cambial, suas finalidades e seu funcionamento básico. Num segundo momento, focaliza-se um segmento do mercado de capitais: o de ações, suas principais características e o preço das ações que formará o valor de mercado de uma empresa e de que forma o mercado trata a utilização de informações relevantes segundo a teoria de finanças. Em seguida, analisam-se em detalhe a informação contida nos relatórios contábeis e os usos mais comuns dados a esta informação. Por fim descrevemos os modelos de avaliação de empresas da moderna teoria de finanças e o método escolhido para a análise do caso: o do fluxo de caixa descontado. Após a exposição dos fundamentos teóricos, inicia-se o estudo de caso sobre o material disponibilizado pela própria empresa em seu sítio na Internet, contendo as demonstratções financeiras produzidas para fins de atendimento das normas da Comissão de Valores Mobiliários. Como fechamento do trabalho, entende-se que os valores calculados através do fluxo de caixa descontado com base em diferentes hipóteses sobre os direcionadores de valor formam um intervalo estatístico no qual se encontra o valor atribuído à empresa pelo mercado