Formação de carteira de ações a partir do coeficiente de determinação como critério de seleção de ativos.

Abstract

The study of risk is present in all the work of the financial sector, especially when focused on the evaluation of the assets of a company, the composition of portfolios of assets, among others. Each investor search form their portfolio according to their characteristics. This research aimed to evaluate the performance of stock portfolios constructed from coefficient of determination as selection standard of assets. The methodology used was descriptive characteristic, with bibliographic and documentary procedures, in order to observe and analyze the performances of two opposing portfolios as the coefficient of determination, and compare them with each other and with the performance of the market (IBOVESPA). To achieve the results, a portfolio was formed under related assets (R² <30%) and the other more underlying assets (R²> 65%) market behavior. The results of both portfolios were compared among themselves and with the market showing that the coefficient of determination was not considered a good selection criterion in the formation of portfolios during this period, since the samples have similar performance when used statistical test Wilcoxon for independent samples with significance level of 0.05. On all occasions the tests point descriptive value above 5%, indicating that the samples come from populations whose determination coefficients are no different.