SciELO - Scientific Electronic Library Online

vol.33 número2Global optimization of capacity expansion and flow assignment in multicommodity networksA multicriteria prioritization model to support public safety planning índice de autoresíndice de assuntospesquisa de artigos
Home Pagelista alfabética de periódicos  

Serviços Personalizados




Links relacionados


Pesquisa Operacional

versão impressa ISSN 0101-7438


LOVISOLO, Hugo Jacob  e  LEAL, Ricardo Pereira Câmara. Black swans in the brazilian stock market. Pesqui. Oper. [online]. 2013, vol.33, n.2, pp.235-250.  Epub 16-Jul-2013. ISSN 0101-7438.

This study analyzes extreme values in the daily returns of 45 Brazilian stocks between 2 January 1995 and 18 March 2009. The incidence of observations outside the range of three standard deviationsfrom the mean is at least five times greater than under the normal distribution. The occurrence of extreme values in the upper tail is 1.13 times higher than in the lower. The average of the extreme positive returns is higher than that of extreme negative returns. Half percent of the days determined the outcome of the investment. Extreme values are at least ± 7%. Investors should assess whether they will keep their holdings when returns of such magnitude occur. The characteristics of empirical distributions of stock returns favor the passive investor and the use of weight constraints in portfolio allocation models.

Palavras-chave : extreme values; normal distribution; stock risk and return.

        · texto em Inglês     · Inglês ( pdf )


Creative Commons License Todo o conteúdo deste periódico, exceto onde está identificado, está licenciado sob uma Licença Creative Commons