Finanças comportamentais: a aplicações no contexto brasileiro

Halfeld, Mauro; Torres, Fábio de Freitas Leitão

doi:10.1590/S0034-75902001000200007

Resumos

As Finanças Comportamentais são um ramo do estudo de Finanças que tem como objetivo a revisão e o aperfeiçoamento do modelo econômico-financeiro atual, pela incorporação de evidências sobre a irracionalidade do investidor. O artigo faz uma revisão das pesquisas internacionais pioneiras sobre o tema, um relato dos primeiros estudos sobre a identificação dessas anomalias no mercado financeiro brasileiro e um levantamento das principais qualidades e deficiências das Finanças Comportamentais, que fazem deste um dos ramos mais polêmicos no mundo contemporâneo das Finanças.

Finanças Comportamentais; sobre-reação do mercado; anomalias do mercado; autoconfiança excessiva; psicologia do investidor

Behavioral Finance is a line of study of Finance which has as its objective the review and the improvement of the modern economic and financial model through the addition of evidences about investor's irrationality. The article brings a review of the first international papers about the subject. It gives, as well, an account of the studies about the identification of these anomalies on the Brazilian stock market and a research about the major qualities and deficiencies of the Behavioral Finance model that make this study one of the most controversial subjects within the contemporary world of Finance.

Behavioral Finance; market overreaction; market anomalies; investor's overconfidence; investor's psychology

FINANÇAS

Finanças comportamentais: a aplicações no contexto brasileiro

Mauro Halfeld^I; Fábio de Freitas Leitão Torres^II

^IProfessor Titular da Universidade Federal do Paraná. E-mail: mauro@halfeld.com.br

^IIConsultor da Booz-Allen & Hamilton no Brasil. E-mail: ffltorres@hotmail.com

RESUMO

As Finanças Comportamentais são um ramo do estudo de Finanças que tem como objetivo a revisão e o aperfeiçoamento do modelo econômico-financeiro atual, pela incorporação de evidências sobre a irracionalidade do investidor. O artigo faz uma revisão das pesquisas internacionais pioneiras sobre o tema, um relato dos primeiros estudos sobre a identificação dessas anomalias no mercado financeiro brasileiro e um levantamento das principais qualidades e deficiências das Finanças Comportamentais, que fazem deste um dos ramos mais polêmicos no mundo contemporâneo das Finanças.

Palavras-chave: Finanças Comportamentais, sobre-reação do mercado, anomalias do mercado, autoconfiança excessiva, psicologia do investidor.

ABSTRACT

Behavioral Finance is a line of study of Finance which has as its objective the review and the improvement of the modern economic and financial model through the addition of evidences about investor's irrationality. The article brings a review of the first international papers about the subject. It gives, as well, an account of the studies about the identification of these anomalies on the Brazilian stock market and a research about the major qualities and deficiencies of the Behavioral Finance model that make this study one of the most controversial subjects within the contemporary world of Finance.

Key words: Behavioral Finance, market overreaction, market anomalies, investor's overconfidence, investor's psychology.

Texto completo disponível apenas em PDF.

Full text available only in PDF format.

BIBLIOGRAFIA

DA COSTA JR., Newton C. A. Overreaction in the Brazilian stock market. Journal of Banking and Finance, v. 18, n. 4, p. 633-642, Sept. 1994.
DE BONDT, Werner F. M. Investor psychology and the dynamics of security prices. In: AIMR SEMINAR IMPROVING THE INVESTMENT DECISION-MAKING PROCESS: BEHAVIORAL FINANCE AND DECISION THEORY, 1995, p. 7-12. Behavioral finance and decision theory in investment management.
DE BONDT, Werner F. M., THALER, Richard. Does the stock market over-react? Journal of Finance, New York, v. 40, n. 3, p. 793-805, July 1985.
FAMA, Eugene F. Market efficiency, long term returns, and behavioral finance. Chicago: University of Chicago, 1997. Artigo academico.
HALFELD ALVES, Mauro F. A fundamental analysis of Brazilian stock returns. Boletim Tecnico EPUSP, São Paulo, 1999.
HAUGEN, Robert A. Beast on Wall Street: how stock volatility devours our wealth. Upper Saddle River, NJ: Prentice Hall, 1999.
KAHNEMAN, Daniel, TVERSKI, Amos. Prospect Theory: an analysis of decision under risk. Econometrica, v. 47, n. 2, p. 263-291, Mar. 1979.
LAKONISHOK, Josef, SHLEIFER, Andrei, VISHNY, Robert. Contrarian investment, extrapolation and risk. Journal of Finance, v. 49, p. 1541-1578, 1994.
ODEAN, Terrance. Are investors reluctant to realize their losses? Davis: University of California at Davis, 1998a. Artigo academico.
ODEAN, Terrance. Why do investors trade too much? Davis: University of California at Davis, 1998b. Artigo academico.
ONGKRUTARAKSA, Worapot. Behavioral finance: a review of literature. Chiang May, Thailandia: Maejo University, 1996. Artigo academico.
PELTZ, Michael. Winner's curse. Worth, v. 8, n. 2, p. 102-105, 1999.
REKENTHALER, John. Barbarians at the gate: the rise of behavioral Economics. Feb. 1998. Available from Internet: <http://news.morningstar.com/news/MS/TheGuestRoom/IvoryTowers/9802rek.html>
ROLL, Richard. Orange juice and weather. American Economic Review, v. 74, n. 5, p. 861-880, Dec. 1984.
SHILLER, Robert. Market volatility Cambridge: Massachussets Institute of Technology, 1990. Artigo academico.
STATMAN, Meir. Behavioral finance versus standard finance. In: AIMR SEMINAR IMPROVING THE INVESTMENT DECISION-MAKING PROCESS: BEHAVIORAL FINANCE AND DECISION THEORY, 1995, p. 14-21. Behavioral finance and decision theory in investment management.
TVERSKI, Amos. The Psychology of decision making. In: AIMR SEMINAR IMPROVING THE INVESTMENT DECISION-MAKING PROCESS: BEHAVIORAL FINANCE AND DECISION THEORY, 1995, p. 2-5. Behavioral Finance and decision theory in investment management.
TVERSKI, Amos. Investment decisions are filtered through mental biases - hard-wired predispositions that color and frequently cloud perceptions of events and opportunities. Dow Jones Asset Management, v. II, n. 6, p. 21-28, 1998. Leaders in Finance.

Datas de Publicação

Publicação nesta coleção
19 Set 2011
Data do Fascículo
Jun 2001

This work is licensed under a Creative Commons Attribution 4.0 International License.

[1] DA COSTA JR., Newton C. A. Overreaction in the Brazilian stock market. Journal of Banking and Finance, v. 18, n. 4, p. 633-642, Sept. 1994.

[2] DE BONDT, Werner F. M. Investor psychology and the dynamics of security prices. In: AIMR SEMINAR IMPROVING THE INVESTMENT DECISION-MAKING PROCESS: BEHAVIORAL FINANCE AND DECISION THEORY, 1995, p. 7-12. Behavioral finance and decision theory in investment management.

[3] DE BONDT, Werner F. M., THALER, Richard. Does the stock market over-react? Journal of Finance, New York, v. 40, n. 3, p. 793-805, July 1985.

[4] FAMA, Eugene F. Market efficiency, long term returns, and behavioral finance. Chicago: University of Chicago, 1997. Artigo academico.

[5] HALFELD ALVES, Mauro F. A fundamental analysis of Brazilian stock returns. Boletim Tecnico EPUSP, São Paulo, 1999.

[6] HAUGEN, Robert A. Beast on Wall Street: how stock volatility devours our wealth. Upper Saddle River, NJ: Prentice Hall, 1999.

[7] KAHNEMAN, Daniel, TVERSKI, Amos. Prospect Theory: an analysis of decision under risk. Econometrica, v. 47, n. 2, p. 263-291, Mar. 1979.

[8] LAKONISHOK, Josef, SHLEIFER, Andrei, VISHNY, Robert. Contrarian investment, extrapolation and risk. Journal of Finance, v. 49, p. 1541-1578, 1994.

[9] ODEAN, Terrance. Are investors reluctant to realize their losses? Davis: University of California at Davis, 1998a. Artigo academico.

[10] ODEAN, Terrance. Why do investors trade too much? Davis: University of California at Davis, 1998b. Artigo academico.

[11] ONGKRUTARAKSA, Worapot. Behavioral finance: a review of literature. Chiang May, Thailandia: Maejo University, 1996. Artigo academico.

[12] PELTZ, Michael. Winner's curse. Worth, v. 8, n. 2, p. 102-105, 1999.

[13] REKENTHALER, John. Barbarians at the gate: the rise of behavioral Economics. Feb. 1998. Available from Internet: <http://news.morningstar.com/news/MS/TheGuestRoom/IvoryTowers/9802rek.html>

[14] ROLL, Richard. Orange juice and weather. American Economic Review, v. 74, n. 5, p. 861-880, Dec. 1984.

[15] SHILLER, Robert. Market volatility Cambridge: Massachussets Institute of Technology, 1990. Artigo academico.

[16] STATMAN, Meir. Behavioral finance versus standard finance. In: AIMR SEMINAR IMPROVING THE INVESTMENT DECISION-MAKING PROCESS: BEHAVIORAL FINANCE AND DECISION THEORY, 1995, p. 14-21. Behavioral finance and decision theory in investment management.

[17] TVERSKI, Amos. The Psychology of decision making. In: AIMR SEMINAR IMPROVING THE INVESTMENT DECISION-MAKING PROCESS: BEHAVIORAL FINANCE AND DECISION THEORY, 1995, p. 2-5. Behavioral Finance and decision theory in investment management.

[18] TVERSKI, Amos. Investment decisions are filtered through mental biases - hard-wired predispositions that color and frequently cloud perceptions of events and opportunities. Dow Jones Asset Management, v. II, n. 6, p. 21-28, 1998. Leaders in Finance.