Authors : Ricardo dos Santos Dias, Donizete Reina, Isaac Gezer Silva de Oliveira, Eliezer Rodrigues da Silva Neto and Vitor Correa da Silva
Abstract: According to Grossman and Stiglitz, the balance of a market in which agents invest more on the acquisition of information have higher performance investment portfolios is possible. This study investigates in line with said theoretic proposal, whether the sophistication in the method for selecting portfolios allows for a better performance. Three portfolio creation methods are evaluated by means of the information on market and accounting prices. The performance evaluation is developed based on three return methods adjusted to risk: the Treynor index, the Sharpe index and the Alfa de Jensen index. The results show that the three portfolio selection methods obtained normal returns. Nonetheless, no evidence was found demonstrating that the most sophisticated strategy obtained higher returns than the others.
Ricardo dos Santos Dias, Donizete Reina, Isaac Gezer Silva de Oliveira, Eliezer Rodrigues da Silva Neto and Vitor Correa da Silva, 2016. Strategies for the Creation of Portfolios with Different Degrees of Sophistication: An Analysis of the Brazilian Capital Market. International Business Management, 10: 429-437.