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Do small caps generate above average returns in the Brazilian stock market?

Matheus José Silva de Souza et al.

Review of Development Finance2018https://doi.org/10.1016/j.rdf.2018.05.002article
AJG 2
Weight
0.39

What the paper says

Some studies suggest that low capitalization stocks have great potential to provide returns above the market average, although some indicate that investment in small caps should be avoided, since they are market anomalies with low liquidity. This article develops a method based on an automated trading system (ATS) applied to the Brazilian stock market, and investigates the relevance of small caps to the investor. The study indicates that, in the case of the Brazilian stock exchange, although there is a possibility of high returns the profitability of technical analysis of small caps is similar to strategies using blue chips.

3 citations

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https://doi.org/https://doi.org/10.1016/j.rdf.2018.05.002

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@article{matheus2018,
  title        = {{Do small caps generate above average returns in the Brazilian stock market?}},
  author       = {Matheus José Silva de Souza et al.},
  journal      = {Review of Development Finance},
  year         = {2018},
  doi          = {https://doi.org/https://doi.org/10.1016/j.rdf.2018.05.002},
}

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Do small caps generate above average returns in the Brazilian stock market?

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Evidence weight

0.39

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.11 × 0.4 = 0.05
M · momentum0.80 × 0.15 = 0.12
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

† Text relevance is estimated at 0.50 on the detail page — for your query’s actual relevance score, open this paper from a search result.