Cyclically Adjusted Price-Earnings Ratio Analysis of Brazilian Stock Market Portfolios, 2011-2019

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Published: 2022-10-27
DOI: https://doi.org/10.22395/seec.v25n58a3
Keywords:
Global financial market, stock market, investment portfolios, value at risk, Brasil

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Ronald Mauricio Martínez Contreras
Politécnico Grancolombiano
https://orcid.org/0000-0001-8233-911X
Rubén Darío Martínez Amado
Institución Universitaria Politécnico Grancolombiano
https://orcid.org/0000-0002-9630-6412
Rodrigo Atehortúa Santamaria
Politécnico Grancolombiano
https://orcid.org/0000-0002-6292-3965
Nydia Consuelo Hernández Mora
Politécnico Grancolombiano

Abstract

This article evaluates the benefits of the cyclically adjusted price-earnings indicator for the construction of investment portfolios in the Brazilian stock market for the period 2011-2019. To meet this objective, information was taken from the value of the shares of thirty-three companies listed on the Brazilian stock exchange and the index is applied to them for the construction of efficient portfolios. The behavior of the financial assets that make up these portfolios was compared with the Bovespa index, and then the value of risk was calculated in order to generate investment portfolios with a risk equivalent to the Bovespa index. Although there are studies on the application of this indicator in various markets, there are few that focus on the cyclically adjusted price-earnings for the construction of investment portfolios and there is no evidence of the existence of this type of analysis focused on the Latin American market, hence the importance of this work. As a result, it was observed that the performance of the portfolios constructed with this methodology exceeds the Bovespa in six of the nine years analyzed; moreover, between 2011 and 2019 the portfolios constructed generated a return 3.27 times higher than the Bovespa.

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Article Details

Issue

Vol. 25 No. 58 (2022): Enero-junio

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Author Biographies

Ronald Mauricio Martínez Contreras, Politécnico Grancolombiano

Administrador de Empresas, Politécnico Grancolombiano, Bogotá, Colombia. Magíster en Administración Financiera, Universidad Sergio Arboleda, Bogotá, Colombia. Director Escuela de Administración y Competitividad, Facultad de Negocios, Gestión y Sostenibilidad, Politécnico Grancolombiano, Bogotá, Colombia. Miembro del Grupo de investigación Administración, Competitividad y Sostenibilidad. Correo electrónico: romartin@poligran.edu.co. Orcid: https://orcid.org/0000-0001-8233-911X.

Rubén Darío Martínez Amado, Institución Universitaria Politécnico Grancolombiano

Economista con énfasis en administración de empresas, Universidad Santo Tomás, Bogotá, Colombia. Magister en Administración, Universidad de La Salle, Bogotá Colombia. Candidato a Doctor en Administración y Desarrollo, Universidad de Celaya, Celaya, México. Profesor tiempo completo Asociado, Institución Universitaria Politécnico Grancolombiano, Bogotá, Colombia. Miembro del Grupo de investigación Administración, Competitividad y Sostenibilidad. Correo electrónico: martinezrubendmag@gmail.com. Orcid: https://orcid.org/0000-0002-9630-6412.

Rodrigo Atehortúa Santamaria, Politécnico Grancolombiano

Administrador público, Escuela Superior de Administración Pública (ESAP), Bogotá, Colombia. Especialista en Economía del Riesgo y de la Información, Universidad de los Andes, Bogotá, Colombia. Magíster en Economía Aplicada, Universidad de los Andes, Bogotá, Colombia. Profesor, Facultad de Negocios Gestión y Sostenibilidad, Politécnico Grancolombiano, Bogotá, Colombia. Miembro del Grupo de investigación Interdisciplinar en Asuntos Públicos (GIAP). Correo electrónico: ratehortua@poligran.edu.co. Orcid: https://orcid.org/0000-0002-6292-3965.

Nydia Consuelo Hernández Mora, Politécnico Grancolombiano

Administrador de Empresas, Politécnico Grancolombiano, Bogotá, Colombia. Especialista en Finanzas, Universidad Externado de Colombia, Bogotá Colombia. Especialista en Gerencia estratégica, Universidad de la Sabana, Bogotá Colombia. Magíster en Dirección y asesoramiento Financiero, Universidad Internacional de la Rioja, España. Profesor e investigador, Facultad de Negocios Gestión y sostenibilidad, Politécnico Grancolombiano, Bogotá, Colombia. Miembro del Grupo de investigación Interdisciplinar en Asuntos Públicos (GIAP). Correo electrónico: nhernand@poligran.edu.co. Orcid: https://orcid.org/0000-0003-3051-4734.

How to Cite

Martínez Contreras, R. M. ., Martínez Amado, R. D., Atehortúa Santamaria, R. ., & Hernández Mora, N. C. . (2022). Cyclically Adjusted Price-Earnings Ratio Analysis of Brazilian Stock Market Portfolios, 2011-2019. Semestre Económico, 25(58), 1-23. https://doi.org/10.22395/seec.v25n58a3

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