2009 Reports

Inefficiency in Hedge Fund Strategies at Sao Paulo Stock Exchange: A Random Coefficients Modeling Approach

Favero, Luis Paulo Lopes

Literature has not reached a consensus on how the firm and industry effects influence the stoic price performance of publicly-traded companies over time. Based on the premise of significant changes in the stock price performance of companies listed on Sao Paulo Stock Exchange (Bovespa) in recent years, and the occurrence of these variations in function of the characteristics of each firm and activity industry, this study uses hierarchical modeling with repeated measures to propose an approach that permits analyzing random effects as an alternative for profitability evolution analysis. Through a sample of 45 companies working in ten industries during an eight-year period (2001-2008), totaling 317 observations, low representativeness of the activity industry is verified to distinguish the mean annual profitability and the growth rates of stock prices among companies listed on Bovespa in recent years.