This paper presents a multi-period investment strategy using Data Envelopment Analysis (DEA) in the Brazilian stock market. Results show that the returns based on the DEA strategy were superior to the returns of a Brazilian stock index in most of the 22 quarters analyzed, presenting a significant Jensen's alpha.

Ana Lopes

Edgar Lanzer

Marcus Lima

Newton da Costa, Jr.

English

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DEA investment strategy in the Brazilian stock market

http://www.accessecon.com/pubs/EB/2008/Volume13/EB-07M00002A.pdf

DEA investment strategy in the Brazilian stock market

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Research Papers in Economics