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Revista de Administração (São Paulo)

Print version ISSN 0080-2107On-line version ISSN 1984-6142

Abstract

NARDY, André; FAMA, Rubens; GUEVARA, José Arnoldo de Hoyos  and  MUSSA, Adriano. Index effect check in Ibovespa – 2004-2013. Rev. Adm. (São Paulo) [online]. 2015, vol.50, n.2, pp.153-168. ISSN 1984-6142.  https://doi.org/10.5700/rausp1191.

In this article, we analyze the occurrence of abnormal returns and volume for stocks added to Ibovespa between 2004 and 2013 in the context of the index effect, one of the oldest market anomalies reported in finance, using the event study methodology. Unlike other studies, there are positive abnormal returns close to the days before the effective date of the new index portfolio. The results are reversed for periods of longer estimation than the index calculation period. The volumes are abnormally high. The non-persistence of abnormal returns over the input window is consistent with the price pressure hypothesis and can be considered consistent with the semi-strong efficiency form of market.

Keywords : index effect; Ibovespa; anomalies; behavioral finance.

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