Relevância do uso da semivariância como medida auxiliar no estudo do risco individual das ações que compõem a carteira teórica IBRX50 no período 2010-2013.

Abstract

The questions about risk and individual behavior under conditions of uncertainty, date back from ancient times until today and drive, the constant search for tools that enable a better understanding and measurement. In Finance, the development of the risk aversion concept, and the advents of financial markets crowned the variance and standard deviation as key measures of individual study of stocks because it believes that the historical returns of the same, could be interpreted by the normal probability distribution. However , questions and inquiries about the effectiveness of these traditional measures in such volatile environment as the stock market, sparked new studies and, consequently, new theories of investor behavior face to risk decisions. Arises, therefore, a new tool that aims to assess the risk under this new perspective: the semivariance and semi standard deviation. Although best fit the new investor design found, many scholars, mostly foreigners, disagree with the need for its use, which generates an illustrated impasse in the current financial literature. Faced with this impasse, it would be relevant the use of semivariance as a measure of risk assist in the Brazilian stock market? To answer this question, this study was based on the following objective: Identify whether there is relevance of the use of semi-variance as an aid in the study of individual stock risk measure in the Brazilian market, using as a database for the study, the historical returns in the period 2010-2013 of stocks that make up the theoretical portfolio IbrX 50. This is a research that has as purposes, exploratory and descriptive, and had the quantitative methods used to evaluate variables which, descriptive statistics and hypothesis testing to achieve results; and as for the media, literature. The survey results indicated, through hypothesis testing, which is relevant the use of semivariance risk study of Brazilian stocks in the context of IbrX 50 during the study period, the research setting as an important means to improve the study of risk and as a model for testing new applications in other contexts.