This paper had as basic objective analyze possible persistence on the short term of the stock returns traded on the Brazilian capital market, in this case, on the São Paulo Stock Exchange (Bovespa). The hypothesis was that winner stocks remains winners and loser stocks trend maintain its returns under of the market return's media at the period of six months, in a strategy based on momentum effect. This supposition was made having as base the impulsive investor's behavior in front of stocks with high liquidity, being this calculated for volume in money and supposing that be a relevant variable for the maintenance of good return's results at the short term. With the purpose to analyze this strategy were formed nine portfolios of stocks classified according to volume on the categories high, medium and low and each other subdivided in groups of winners, medium and losers according to monthly medium return. The formation corresponded to a semiannual period, from October 1994 to March 2011, being the stocks classified according to portfolios formed with basis in volume in money and cumulative abnormal return. According to analysis of portfolios performance after six months (from April 1995 to September 2011), was evaluated the hypothesis of that stocks with high returns in a recent past continuum giving good return's results on the short term, especially six months of formation and analysis semiannual subsequently. Was verified through time series analysis that was recommended the maintenance of stocks with low volume in portfolio by at least three months. The cross section analysis lead to a multifactor version of the CAPM's model consisting of the lagged return's incorporation and of the volume's natural logarithm, being after rotated the data panel regression. The results confirmed that winner stocks with low liquidity and intermediate volume were the best investment's options in Brazil.
Momentum Effect; Liquidity; Multifactor model; Arima models; Regression analysis
